What risks and challenges do credit default swaps pose to the stability of financial markets?

Credit default swaps (CDSs) pose a number of risks to institutions and markets, many of which are not unique. These risks include counterparty credit, operational, concentration, and jump-to-default risks. CDSs also pose other risks and challenges. For example, CDS markets generally lacked transparency, which may have compounded market uncertainty about participants’ overall risk exposures, the concentration of exposures, and the market value of contracts during the recent crisis. Further, regulators note that the potential existed for market participants to manipulate certain CDS prices to profi t in other markets that CDS prices might infl uence, such as the equity market, and that the lack of transparency could contribute to this risk. Others also raised concerns about the use of CDSs for speculative purposes, including concerns about uncovered or “naked” CDS positions – the use of CDSs for speculative purposes when a party to a CDS contract does not own the underlying reference entity or obligation. While regulators and market participants note that over-the-counter (OTC) derivatives, to varying degrees, pose some similar risks, particularly equity derivatives, the US regulatory structure for CDSs does not provide any one regulator with authority over all participants in the CDS market, thereby making monitoring and managing potential systemic risk diffi cult.

The Development of Web-Based Interface to Census Interaction Data

This project involves the development of a Web interface to origin-destination statistics from the 1991 Census (in a form that will be compatible with planned 2001 outputs). It provides the user with a set of screen-based tools for setting the parameters governing each data extraction (data set, areas, variables) in the form of a query. Traffic light icons are used to signal what the user has set so far and what remains to be done. There are options to extract different types of flow data and to generate output in different formats. The system can now be used to access the interaction flow data contained in the 1991 Special Migration Statistics Sets 1 and 2 and Special Workplace Statistics Set C. WICID has been demonstrated at the Origin-Destination Statistics Roadshows organised by GRO Scotland and held during May/June 2000 and the Census Offices have expressed interest in using the software in the Census Access Project

Interaction Data Sets In The UK: An Audit

Interaction or flow data involves counts of flows between origin and destination areas and can be extracted from a range of sources. The Centre for Interaction Data Estimation and Research (CIDER) maintains a web-based system (WICID) that allows academic researchers to access and extract migration and commuting flow data (the so-called Origin-Destination Statistics) from the last three censuses. However, there are many other sources of interaction data other than the decadal census, including national administrative or registration procedures and large scale social surveys. This paper contains an audit of interaction data sets in the UK, providing detailed description and exemplification in each case and outlining the advantages and shortcomings of the different types of data where appropriate. The Census Origin-Destination Statistics have been described elsewhere in detail and only a short synopsis is provided here together with review of the interaction data that can be derived from other census products. The primary aims of the audit are to identify those interaction data sets that exist that might complement the census origin-destination statistics currently contained in WICID and to assess their suitability and availability as potential data sets to be held in an expanded version of WICID. Tables or flow data sets are included for exemplification. The paper concludes with a series of recommendations as to which of these data sets should be incorporated into a new information system for interaction flows that complement the census data and also provide opportunities for new research projects

Measuring Confidentiality Risks in Census Data

Two trends have been on a collision course over the recent past. The first is the increasing demand by researchers for greater detail and flexibility in outputs from the decennial Census of Population. The second is the need felt by the Census Offices to demonstrate more clearly that Census data have been explicitly protected from the risk of disclosure of information about individuals. To reconcile these competing trends the authors propose a statistical measure of risks of disclosure implicit in the release of aggregate census data. The ideas of risk measurement are first developed for microdata where there is prior experience and then modified to measure risk in tables of counts. To make sure that the theoretical ideas are fully expounded, the authors develop small worked example. The risk measure purposed here is currently being tested out with synthetic and a real Census microdata. It is hoped that this approach will both refocus the census confidentiality debate and contribute to the safe use of user defined flexible census output geographies

A system using solid ceramic oxygen electrolyte cells to measure oxygen fugacities in gas-mixing systems

Details are given for the construction and operation of a 101.3 kN/sq m (1 atmosphere) redox control system. A solid ceramic oxygen electrolyte cell is used to monitor the oxygen fugacity in the furnace. The system consists of a vertical quench, gas mixing furnace with heads designed for mounting the electrolyte cell and with facilities for inserting and removing the samples. The system also contains the high input impedance electronics necessary for measurements, a simplified version of a gas mixing apparatus, and devices for experiments under controlled rates of change relative to temperature and redox state. The calibration and maintenance of the system are discussed

Proton energy into the magnetosphere on 26 May 1967

Proton entry into magnetosphere over polar cap on 26 May 196

Identifying Finite-Time Coherent Sets from Limited Quantities of Lagrangian Data

A data-driven procedure for identifying the dominant transport barriers in a time-varying flow from limited quantities of Lagrangian data is presented. Our approach partitions state space into pairs of coherent sets, which are sets of initial conditions chosen to minimize the number of trajectories that "leak" from one set to the other under the influence of a stochastic flow field during a pre-specified interval in time. In practice, this partition is computed by posing an optimization problem, which once solved, yields a pair of functions whose signs determine set membership. From prior experience with synthetic, "data rich" test problems and conceptually related methods based on approximations of the Perron-Frobenius operator, we observe that the functions of interest typically appear to be smooth. As a result, given a fixed amount of data our approach, which can use sets of globally supported basis functions, has the potential to more accurately approximate the desired functions than other functions tailored to use compactly supported indicator functions. This difference enables our approach to produce effective approximations of pairs of coherent sets in problems with relatively limited quantities of Lagrangian data, which is usually the case with real geophysical data. We apply this method to three examples of increasing complexity: the first is the double gyre, the second is the Bickley Jet, and the third is data from numerically simulated drifters in the Sulu Sea.Comment: 14 pages, 7 figure

A Data-Driven Approximation of the Koopman Operator: Extending Dynamic Mode Decomposition

The Koopman operator is a linear but infinite dimensional operator that governs the evolution of scalar observables defined on the state space of an autonomous dynamical system, and is a powerful tool for the analysis and decomposition of nonlinear dynamical systems. In this manuscript, we present a data driven method for approximating the leading eigenvalues, eigenfunctions, and modes of the Koopman operator. The method requires a data set of snapshot pairs and a dictionary of scalar observables, but does not require explicit governing equations or interaction with a "black box" integrator. We will show that this approach is, in effect, an extension of Dynamic Mode Decomposition (DMD), which has been used to approximate the Koopman eigenvalues and modes. Furthermore, if the data provided to the method are generated by a Markov process instead of a deterministic dynamical system, the algorithm approximates the eigenfunctions of the Kolmogorov backward equation, which could be considered as the "stochastic Koopman operator" [1]. Finally, four illustrative examples are presented: two that highlight the quantitative performance of the method when presented with either deterministic or stochastic data, and two that show potential applications of the Koopman eigenfunctions

Lattice quark propagator with staggered quarks in Landau and Laplacian gauges

We report on the lattice quark propagator using standard and improved Staggered quark actions, with the standard, Wilson gauge action. The standard Kogut-Susskind action has errors of \oa{2} while the ``Asqtad'' action has \oa{4}, \oag{2}{2} errors. The quark propagator is interesting for studying the phenomenon of dynamical chiral symmetry breaking and as a test-bed for improvement. Gauge dependent quantities from lattice simulations may be affected by Gribov copies. We explore this by studying the quark propagator in both Landau and Laplacian gauges. Landau and Laplacian gauges are found to produce very similar results for the quark propagator.Comment: 11 pages, 15 figure