States That Have Not Met Their Constitutional Requirements

The importance of sound financial risk management has become increasingly emphasised in recent years, especially with the financial crisis of 2007-08. The Basel Committee sets the international standards and regulations for banks and financial institutions, and in particular under market risk, they prescribe the internal application of the measure Value-at-Risk. However, the most established non-parametric Value-at-Risk model, historical simulation, has been criticised for some of its unrealistic assumptions. This thesis investigates alternative approaches for estimating non-parametric Value-at-Risk, by examining and comparing the capability of three counterbalancing weighting methodologies for historical simulation: an exponentially decreasing time weighting approach, a volatility updating method and, lastly, a more general weighting approach that enables the specification of central moments of a return distribution. With real financial data, the models are evaluated from a performance based perspective, in terms of accuracy and capital efficiency, but also in terms of their regulatory suitability, with a particular focus on the Swedish market. The empirical study shows that the capability of historical simulation is improved significantly, from both performance perspectives, by the implementation of a weighting methodology. Furthermore, the results predominantly indicate that the volatility updating model with a 500-day historical observation window is the most adequate weighting methodology, in all incorporated aspects. The findings of this paper offer significant input both to existing research on Value-at-Risk as well as to the quality of the internal market risk management of banks and financial institutions.Betydelsen av sund finansiell riskhantering har blivit alltmer betonad på senare år, i synnerhet i och med finanskrisen 2007-08. Baselkommittén fastställer internationella normer och regler för banker och finansiella institutioner, och särskilt under marknadsrisk föreskriver de intern tillämpning av måttet Value-at-Risk. Däremot har den mest etablerade icke-parametriska Value-at-Risk-modellen, historisk simulering, kritiserats för några av dess orealistiska antaganden. Denna avhandling undersöker alternativa metoder för att beräkna icke-parametrisk Value-at‑Risk, genom att granska och jämföra prestationsförmågan hos tre motverkande viktningsmetoder för historisk simulering: en exponentiellt avtagande tidsviktningsteknik, en volatilitetsuppdateringsmetod, och slutligen ett mer generellt tillvägagångssätt för viktning som möjliggör specifikation av en avkastningsfördelnings centralmoment. Modellerna utvärderas med verklig finansiell data ur ett prestationsbaserat perspektiv, utifrån precision och kapitaleffektivitet, men också med avseende på deras lämplighet i förhållande till existerande regelverk, med särskilt fokus på den svenska marknaden. Den empiriska studien visar att prestandan hos historisk simulering förbättras avsevärt, från båda prestationsperspektiven, genom införandet av en viktningsmetod. Dessutom pekar resultaten i huvudsak på att volatilitetsuppdateringsmodellen med ett 500 dagars observationsfönster är den mest användbara viktningsmetoden i alla berörda aspekter. Slutsatserna i denna uppsats bidrar i väsentlig grad både till befintlig forskning om Value-at-Risk, liksom till kvaliteten på bankers och finansiella institutioners interna hantering av marknadsrisk

The foundations of statistical mechanics from entanglement: Individual states vs. averages

We consider an alternative approach to the foundations of statistical mechanics, in which subjective randomness, ensemble-averaging or time-averaging are not required. Instead, the universe (i.e. the system together with a sufficiently large environment) is in a quantum pure state subject to a global constraint, and thermalisation results from entanglement between system and environment. We formulate and prove a "General Canonical Principle", which states that the system will be thermalised for almost all pure states of the universe, and provide rigorous quantitative bounds using Levy's Lemma.Comment: 12 pages, v3 title changed, v2 minor change

Population policies and education: exploring the contradictions of neo-liberal globalisation

The world is increasingly characterised by profound income, health and social inequalities (Appadurai, 2000). In recent decades development initiatives aimed at reducing these inequalities have been situated in a context of increasing globalisation with a dominant neo-liberal economic orthodoxy. This paper argues that neo-liberal globalisation contains inherent contradictions regarding choice and uniformity. This is illustrated in this paper through an exploration of the impact of neo-liberal globalisation on population policies and programmes. The dominant neo-liberal economic ideology that has influenced development over the last few decades has often led to alternative global visions being overlooked. Many current population and development debates are characterised by polarised arguments with strongly opposing aims and views. This raises the challenge of finding alternatives situated in more middle ground that both identify and promote the socially positive elements of neo-liberalism and state intervention, but also to limit their worst excesses within the population field and more broadly. This paper concludes with a discussion outling the positive nature of middle ground and other possible alternatives

Single hadron response measurement and calorimeter jet energy scale uncertainty with the ATLAS detector at the LHC

The uncertainty on the calorimeter energy response to jets of particles is derived for the ATLAS experiment at the Large Hadron Collider (LHC). First, the calorimeter response to single isolated charged hadrons is measured and compared to the Monte Carlo simulation using proton-proton collisions at centre-of-mass energies of sqrt(s) = 900 GeV and 7 TeV collected during 2009 and 2010. Then, using the decay of K_s and Lambda particles, the calorimeter response to specific types of particles (positively and negatively charged pions, protons, and anti-protons) is measured and compared to the Monte Carlo predictions. Finally, the jet energy scale uncertainty is determined by propagating the response uncertainty for single charged and neutral particles to jets. The response uncertainty is 2-5% for central isolated hadrons and 1-3% for the final calorimeter jet energy scale.Comment: 24 pages plus author list (36 pages total), 23 figures, 1 table, submitted to European Physical Journal

Measurements of fiducial and differential cross sections for Higgs boson production in the diphoton decay channel at s√=8 TeV with ATLAS

Measurements of fiducial and differential cross sections are presented for Higgs boson production in proton-proton collisions at a centre-of-mass energy of s√=8 TeV. The analysis is performed in the H → γγ decay channel using 20.3 fb−1 of data recorded by the ATLAS experiment at the CERN Large Hadron Collider. The signal is extracted using a fit to the diphoton invariant mass spectrum assuming that the width of the resonance is much smaller than the experimental resolution. The signal yields are corrected for the effects of detector inefficiency and resolution. The pp → H → γγ fiducial cross section is measured to be 43.2 ±9.4(stat.) − 2.9 + 3.2 (syst.) ±1.2(lumi)fb for a Higgs boson of mass 125.4GeV decaying to two isolated photons that have transverse momentum greater than 35% and 25% of the diphoton invariant mass and each with absolute pseudorapidity less than 2.37. Four additional fiducial cross sections and two cross-section limits are presented in phase space regions that test the theoretical modelling of different Higgs boson production mechanisms, or are sensitive to physics beyond the Standard Model. Differential cross sections are also presented, as a function of variables related to the diphoton kinematics and the jet activity produced in the Higgs boson events. The observed spectra are statistically limited but broadly in line with the theoretical expectations

Search for squarks and gluinos in events with isolated leptons, jets and missing transverse momentum at s√=8 TeV with the ATLAS detector

The results of a search for supersymmetry in final states containing at least one isolated lepton (electron or muon), jets and large missing transverse momentum with the ATLAS detector at the Large Hadron Collider are reported. The search is based on proton-proton collision data at a centre-of-mass energy s√=8 TeV collected in 2012, corresponding to an integrated luminosity of 20 fb−1. No significant excess above the Standard Model expectation is observed. Limits are set on supersymmetric particle masses for various supersymmetric models. Depending on the model, the search excludes gluino masses up to 1.32 TeV and squark masses up to 840 GeV. Limits are also set on the parameters of a minimal universal extra dimension model, excluding a compactification radius of 1/R c = 950 GeV for a cut-off scale times radius (ΛR c) of approximately 30

Measurement of χ c1 and χ c2 production with s√ = 7 TeV pp collisions at ATLAS

The prompt and non-prompt production cross-sections for the χ c1 and χ c2 charmonium states are measured in pp collisions at s√ = 7 TeV with the ATLAS detector at the LHC using 4.5 fb−1 of integrated luminosity. The χ c states are reconstructed through the radiative decay χ c → J/ψγ (with J/ψ → μ + μ −) where photons are reconstructed from γ → e + e − conversions. The production rate of the χ c2 state relative to the χ c1 state is measured for prompt and non-prompt χ c as a function of J/ψ transverse momentum. The prompt χ c cross-sections are combined with existing measurements of prompt J/ψ production to derive the fraction of prompt J/ψ produced in feed-down from χ c decays. The fractions of χ c1 and χ c2 produced in b-hadron decays are also measured

Measurement of the flavour composition of dijet events in pp collisions at root s=7 TeV with the ATLAS detector

This paper describes a measurement of the flavour composition of dijet events produced in pp collisions at √s=7 TeV using the ATLAS detector. The measurement uses the full 2010 data sample, corresponding to an integrated luminosity of 39 pb−1. Six possible combinations of light, charm and bottom jets are identified in the dijet events, where the jet flavour is defined by the presence of bottom, charm or solely light flavour hadrons in the jet. Kinematic variables, based on the properties of displaced decay vertices and optimised for jet flavour identification, are used in a multidimensional template fit to measure the fractions of these dijet flavour states as functions of the leading jet transverse momentum in the range 40 GeV to 500 GeV and jet rapidity |y|<2.1. The fit results agree with the predictions of leading- and next-to-leading-order calculations, with the exception of the dijet fraction composed of bottom and light flavour jets, which is underestimated by all models at large transverse jet momenta. The ability to identify jets containing two b-hadrons, originating from e.g. gluon splitting, is demonstrated. The difference between bottom jet production rates in leading and subleading jets is consistent with the next-to-leading-order predictions

Evidence for the Higgs-boson Yukawa coupling to tau leptons with the ATLAS detector

Results of a search for H → τ τ decays are presented, based on the full set of proton-proton collision data recorded by the ATLAS experiment at the LHC during 2011 and 2012. The data correspond to integrated luminosities of 4.5 fb−1 and 20.3 fb−1 at centre-of-mass energies of √s = 7 TeV and √s = 8 TeV respectively. All combinations of leptonic (τ → `νν¯ with ` = e, µ) and hadronic (τ → hadrons ν) tau decays are considered. An excess of events over the expected background from other Standard Model processes is found with an observed (expected) significance of 4.5 (3.4) standard deviations. This excess provides evidence for the direct coupling of the recently discovered Higgs boson to fermions. The measured signal strength, normalised to the Standard Model expectation, of µ = 1.43 +0.43 −0.37 is consistent with the predicted Yukawa coupling strength in the Standard Model