Systemic Risk and Default Clustering for Large Financial Systems

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015

Entangled Dilaton Dyons

Einstein-Maxwell theory coupled to a dilaton is known to give rise to extremal solutions with hyperscaling violation. We study the behaviour of these solutions in the presence of a small magnetic field. We find that in a region of parameter space the magnetic field is relevant in the infra-red and completely changes the behaviour of the solution which now flows to an $AdS_2\times R^2$ attractor. As a result there is an extensive ground state entropy and the entanglement entropy of a sufficiently big region on the boundary grows like the volume. In particular, this happens for values of parameters at which the purely electric theory has an entanglement entropy growing with the area, $A$, like $A \log(A)$ which is believed to be a characteristic feature of a Fermi surface. Some other thermodynamic properties are also analysed and a more detailed characterisation of the entanglement entropy is also carried out in the presence of a magnetic field. Other regions of parameter space not described by the $AdS_2\times R^2$ end point are also discussed.Comment: Some comments regarding comparison with weakly coupled Fermi liquid changed, typos corrected and caption of a figure modifie

Non-relativistic metrics from back-reacting fermions

It has recently been pointed out that under certain circumstances the back-reaction of charged, massive Dirac fermions causes important modifications to AdS_2 spacetimes arising as the near horizon geometry of extremal black holes. In a WKB approximation, the modified geometry becomes a non-relativistic Lifshitz spacetime. In three dimensions, it is known that integrating out charged, massive fermions gives rise to gravitational and Maxwell Chern-Simons terms. We show that Schrodinger (warped AdS_3) spacetimes exist as solutions to a gravitational and Maxwell Chern-Simons theory with a cosmological constant. Motivated by this, we look for warped AdS_3 or Schrodinger metrics as exact solutions to a fully back-reacted theory containing Dirac fermions in three and four dimensions. We work out the dynamical exponent in terms of the fermion mass and generalize this result to arbitrary dimensions.Comment: 26 pages, v2: typos corrected, references added, minor change

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

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

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 the production of a W boson in association with a charm quark in pp collisions at √s = 7 TeV with the ATLAS detector

The production of a W boson in association with a single charm quark is studied using 4.6 fb−1 of pp collision data at s√ = 7 TeV collected with the ATLAS detector at the Large Hadron Collider. In events in which a W boson decays to an electron or muon, the charm quark is tagged either by its semileptonic decay to a muon or by the presence of a charmed meson. The integrated and differential cross sections as a function of the pseudorapidity of the lepton from the W-boson decay are measured. Results are compared to the predictions of next-to-leading-order QCD calculations obtained from various parton distribution function parameterisations. The ratio of the strange-to-down sea-quark distributions is determined to be 0.96+0.26−0.30 at Q 2 = 1.9 GeV2, which supports the hypothesis of an SU(3)-symmetric composition of the light-quark sea. Additionally, the cross-section ratio σ(W + +c¯¯)/σ(W − + c) is compared to the predictions obtained using parton distribution function parameterisations with different assumptions about the s−s¯¯¯ quark asymmetry

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

Search for squarks and gluinos with the ATLAS detector in final states with jets and missing transverse momentum using √s=8 TeV proton-proton collision data

A search for squarks and gluinos in final states containing high-p T jets, missing transverse momentum and no electrons or muons is presented. The data were recorded in 2012 by the ATLAS experiment in s√=8 TeV proton-proton collisions at the Large Hadron Collider, with a total integrated luminosity of 20.3 fb−1. Results are interpreted in a variety of simplified and specific supersymmetry-breaking models assuming that R-parity is conserved and that the lightest neutralino is the lightest supersymmetric particle. An exclusion limit at the 95% confidence level on the mass of the gluino is set at 1330 GeV for a simplified model incorporating only a gluino and the lightest neutralino. For a simplified model involving the strong production of first- and second-generation squarks, squark masses below 850 GeV (440 GeV) are excluded for a massless lightest neutralino, assuming mass degenerate (single light-flavour) squarks. In mSUGRA/CMSSM models with tan β = 30, A 0 = −2m 0 and μ > 0, squarks and gluinos of equal mass are excluded for masses below 1700 GeV. Additional limits are set for non-universal Higgs mass models with gaugino mediation and for simplified models involving the pair production of gluinos, each decaying to a top squark and a top quark, with the top squark decaying to a charm quark and a neutralino. These limits extend the region of supersymmetric parameter space excluded by previous searches with the ATLAS detector