The dynamics of short- and long-term CDS-spreads of banks

This paper studies 'Stylised Facts' and 'Determinants' of short-and long-term CDS-spreads of banks. As short-term spreads we choose 6M-, as long-term spreads we choose 5Y-spreads. In the section 'Stylised Facts' we found that the correlation between short-and long-term spreads for the total period is high (97%). However, the correlation in sub-periods varies across all possible correlations. Particularly, spreads can have negative correlation. In contrast to [Covitz and Downing, 2007], we find high positive (Covitz/Downing: high negative) correlation for turbulent market circumstances. In the section 'Deteminants' we confirm the Merton-factors (stock price, stock price volatility, interest rate level) for the 5Y-segment, but not for the 6M-segment. Furthermore, we do not find any empirical support that short-term spreads are particularly sensitive to illiquidity factors. In that sense, we also contrast [Covitz and Downing, 2007]. --Liquidity,insolvency,banks

Liquiditätsmodellierung von Kreditzusagen (term facilities and revolver)

This paper discusses the management of loan commitments (Kreditzusagen). First, we elaborate on the necessary steps to efficiently manage liquidity facilities. In particular, the drawdown pattern of single commitments and a portfolio of such commitments have to be modelled. Based on the drawdown model, internal transfer prices for loan commitments can be derived. In the context of an industry project, we describe how to set up and to calibrate drawdown models for several types of commitments in practise. We present several model approaches, discuss their properties and provide a perspective for further enhancements. --Kreditzusagen,internes Modell,Liquiditätsrisiko,Banken

New Constraints on Chiral Gauge Theories

Recently, a new constraint on the structure of a wide class of strongly coupled field theories has been proposed. It takes the form of an inequality limiting the number of degrees of freedom in the infrared description of a theory to be no larger than the number of underlying, ultraviolet degrees of freedom. Here we apply this inequality to chiral gauge theories. For some models we find that it is always satisfied, while for others we find that the assumption of the validity of the inequality implies a strong additional restriction on the spectrum of massless composite particles.Comment: 11 pages, Revte

Flankierende Ansätze zur Verbesserung der Markttransparenz und Bekämpfung von Marktmissbrauch im Rohstoffterminhandel

Over the course of the previous decade, price fluctuations on international commodity markets have been observed to be significantly higher than in the decades before. While in the 1980’s and 90’s price dynamics on these markets could almost entirely be explained by supply and demand alone, special emphasis has also been placed on commodity future trading as an explanatory factor in recent years. It is the aim of this survey to identify possible auxiliary approaches for increasing market transparency and preventing market abuse. Therefore, the size of the market as well as its relevance is assessed in a first step along with the relative importance of individual groups of investors and commodities. An in-depth evaluation of the existing scientific literature then provides an overview over possible means for increasing price stability especially through an increase in market transparency and the limitation of potential market manipulations. Finally, additional approaches are analyzed that have been the subject of recent discussions or have already been implemented in other markets (e.g. electricity market) or countries (e.g. USA). Throughout this survey, institutional knowledge is acquired by interviewing market participants and analyzing expert sentiments in order to further the understanding of investment decisions and market structures. The research project is conducted in cooperation with the Frankfurt School of Finance & Management and True North Partners LLC

Higher dimensional supersymmetry in 4D superspace

We present an explicit formulation of supersymmetric Yang-Mills theories from \D= 5 to 10 dimensions in the familiar \N=1,\D=4 superspace. This provides the rules for globally supersymmetric model building with extra dimensions and in particular allows us to simply write down $\N=1$ SUSY preserving interactions between bulk fields and fields localized on branes. We present a few applications of the formalism by way of illustration, including supersymmetric ``shining'' of bulk fields, orbifolds and localization of chiral fermions, anomaly inflow and super-Chern-Simons theories.Comment: Typos corrected. Added reference to early work by Marcus, Sagnotti and Siegel and a term to the non-Abelian Lagrangian for D>5 formally needed for gauge invariance. The results however remain unchange

Uniform electroactive fiber-like micelle nanowires for organic electronics

AbstractMicelles formed by the self-assembly of block copolymers in selective solvents have attracted widespread attention and have uses in a wide variety of fields, whereas applications based on their electronic properties are virtually unexplored. Herein we describe studies of solution-processable, low-dispersity, electroactive fibre-like micelles of controlled length from π-conjugated diblock copolymers containing a crystalline regioregular poly(3-hexylthiophene) core and a solubilizing, amorphous regiosymmetric poly(3-hexylthiophene) or polystyrene corona. Tunnelling atomic force microscopy measurements demonstrate that the individual fibres exhibit appreciable conductivity. The fibres were subsequently incorporated as the active layer in field-effect transistors. The resulting charge carrier mobility strongly depends on both the degree of polymerization of the core-forming block and the fibre length, and is independent of corona composition. The use of uniform, colloidally stable electroactive fibre-like micelles based on common π-conjugated block copolymers highlights their significant potential to provide fundamental insight into charge carrier processes in devices, and to enable future electronic applications.</jats:p

What Precision Electroweak Physics Says About the SU(6)/Sp(6) Little Higgs

We study precision electroweak constraints on the close cousin of the Littlest Higgs, the SU(6)/Sp(6) model. We identify a near-oblique limit in which the heavy W' and B' decouple from the light fermions, and then calculate oblique corrections, including one-loop contributions from the extended top sector and the two Higgs doublets. We find regions of parameter space that give acceptably small precision electroweak corrections and only mild fine tuning in the Higgs potential, and also find that the mass of the lightest Higgs boson is relatively unconstrained by precision electroweak data. The fermions from the extended top sector can be as light as 1 TeV, and the W' can be as light as 1.8 TeV. We include an independent breaking scale for the B', which can still have a mass as low as a few hundred GeV.Comment: 52 pages, 16 figure