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

Form factors of descendant operators in the massive Lee-Yang model

The form factors of the descendant operators in the massive Lee-Yang model are determined up to level 7. This is first done by exploiting the conserved quantities of the integrable theory to generate the solutions for the descendants starting from the lowest non-trivial solutions in each operator family. We then show that the operator space generated in this way, which is isomorphic to the conformal one, coincides, level by level, with that implied by the $S$-matrix through the form factor bootstrap. The solutions we determine satisfy asymptotic conditions carrying the information about the level that we conjecture to hold for all the operators of the model.Comment: 23 page

Beauty of seduction in a Tokyo host club

'I just want to be thought of as special', says a mildly intoxicated woman in her late 20s as she is taped for an NTV special on Tokyo's host clubs. Her face fuzzed out for privacy, she leans toward her male host and looks at him, perhaps with shy, yet impish, eyes. The host returns her gaze with an ambiguous smile. Maybe he likes her...

Form factors of descendant operators: Free field construction and reflection relations

The free field representation for form factors in the sinh-Gordon model and the sine-Gordon model in the breather sector is modified to describe the form factors of descendant operators, which are obtained from the exponential ones, \e^{\i\alpha\phi}, by means of the action of the Heisenberg algebra associated to the field $\phi(x)$. As a check of the validity of the construction we count the numbers of operators defined by the form factors at each level in each chiral sector. Another check is related to the so called reflection relations, which identify in the breather sector the descendants of the exponential fields \e^{\i\alpha\phi} and \e^{\i(2\alpha_0-\alpha)\phi} for generic values of $\alpha$. We prove the operators defined by the obtained families of form factors to satisfy such reflection relations. A generalization of the construction for form factors to the kink sector is also proposed.Comment: 29 pages; v2: minor corrections, some references added; v3: minor corrections; v4,v5: misprints corrected; v6: minor mistake correcte

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

Syntactic Control of Interference Revisited

In Syntactic Control of Interference (POPL, 1978), J. C. Reynolds proposes three design principles intended to constrain the scope of imperative state effects in Algol-like languages. The resulting linguistic framework seems to be a very satisfactory way of combining functional and imperative concepts, having the desirable attributes of both purely functional languages (such as pcf) and simple imperative languages (such as the language of while programs). However, Reynolds points out that the obvious syntax for interference control has the unfortunate property that fi-reductions do not always preserve typings. Reynolds has subsequently presented a solution to this problem (ICALP, 1989), but it is fairly complicated and requires intersection types in the type system. Here, we present a much simpler solution which does not require intersection types. We first describe a new type system inspired in part by linear logic and verify that reductions preserve typings. We then define a class of bireflective models, which provide a categorical analysis of structure underlying the new typing rules; a companion paper Bireflectivity, in this volume, exposes wider ramifications of this structure. Finally, we describe a concrete model for an illustrative programming language based on the new type system; this improves on earlier such efforts in that states are not assumed to be structured using locations