Do CDS spreads reflect default risks? Evidence from UK bank bailouts

CDS spreads are generally considered to reflect the credit risks of their reference entities. However, CDS spreads of the major UK banks remained relatively stable in response to the recent credit crisis. We suggest that this can be explained by changes in loss given default (LGD). To obtain the result we first derive the probabilities of default from stock option prices and then determine the LGD consistent with actual CDS spreads. Our results reveal a significant decrease in the LGD of bailed out banks over the observed period in contrast to banks which were not bailed out and non-financial companies

Convergence Among the U.S. States: Absolute, Conditional, or Club?

This paper attempts to ascertain which of the convergence hypotheses – absolute, conditional, or club – best describes the economic development of the U.S. states since 1950. We use regression tree analysis to identify convergence clubs among the states and argue that the club characterization of the data dominates the other two. We find three convergence clubs with a state's age and it's initial densities of post offices and telephone cable determining club membership. Abstracting from catch-up effects, those states with higher densities tend to grow faster.

Finite temperature density matrix and two-point correlations in the antiferromagnetic XXZ chain

We derive finite temperature versions of integral formulae for the two-point correlation functions in the antiferromagnetic XXZ chain. The derivation is based on the summation of density matrix elements characterizing a finite chain segment of length $m$. On this occasion we also supply a proof of the basic integral formula for the density matrix presented in an earlier publication.Comment: 35 page

Magnetization of SrCu2(BO3)2 in ultrahigh magnetic fields up to 118 T

The magnetization process of the orthogonal-dimer antiferromagnet SrCu2(BO3)2 is investigated in high magnetic fields of up to 118 T. A 1/2 plateau is clearly observed in the field range 84 to 108 T in addition to 1/8, 1/4 and 1/3 plateaux at lower fields. Using a combination of state-of-the-art numerical simulations, the main features of the high-field magnetization, a 1/2 plateau of width 24 T, a 1/3 plateau of width 34 T, and no 2/5 plateau, are shown to agree quantitatively with the Shastry-Sutherland model if the ratio of inter- to intra-dimer exchange interactions J'/J=0.63. It is further predicted that the intermediate phase between the 1/3 and 1/2 plateau is not uniform but consists of a 1/3 supersolid followed by a 2/5 supersolid and possibly a domain-wall phase, with a reentrance into the 1/3 supersolid above the 1/2 plateau.Comment: 5 pages + 10 pages supplemental materia

Fifth-neighbor spin-spin correlator for the anti-ferromagnetic Heisenberg chain

We study the generating function of the spin-spin correlation functions in the ground state of the anti-ferromagnetic spin-1/2 Heisenberg chain without magnetic field. We have found its fundamental functional relations from those for general correlation functions, which originate in the quantum Knizhink-Zamolodchikov equation. Using these relations, we have calculated the explicit form of the generating functions up to n=6. Accordingly we could obtain the spin-spin correlator up to k=5.Comment: 10 page

Ultrahigh Magnetic Field Optical Study of Single-walled Carbon Nanotubes Film

Excitons in Single-Walled Carbon Nanotubes (SWNTs) have emerged as an ideal candidate for exploring one-dimensional (1-D) exciton physics. Exciton states which dominate optical properties of SWNTs even at room temperature, are not clarify yet. The optical absorption spectra of aligned SWNTs films under ultra high magnetic fields up to 190 T are examined to investigate this issue. Shifting and splitting of the absorption peaks due to Aharonov-Bohm effect was observed clearly above 80 T in the configuration where the magnetic fields were applied in parallel to the alignment of SWNTs. The lowest singlet exciton state has been determined through the analysis of energy splitting of excitons by the application of magnetic fields.

Traces on the Sklyanin algebra and correlation functions of the eight-vertex model

We propose a conjectural formula for correlation functions of the Z-invariant (inhomogeneous) eight-vertex model. We refer to this conjecture as Ansatz. It states that correlation functions are linear combinations of products of three transcendental functions, with theta functions and derivatives as coefficients. The transcendental functions are essentially logarithmic derivatives of the partition function per site. The coefficients are given in terms of a linear functional on the Sklyanin algebra, which interpolates the usual trace on finite dimensional representations. We establish the existence of the functional and discuss the connection to the geometry of the classical limit. We also conjecture that the Ansatz satisfies the reduced qKZ equation. As a non-trivial example of the Ansatz, we present a new formula for the next-nearest neighbor correlation functions.Comment: 35 pages, 2 figures, final versio