Credit ratings and credit risk

This paper investigates the information in corporate credit ratings. We examine the extent to which firms' credit ratings measure raw probability of default as opposed to systematic risk of default, a firm's tendency to default in bad times. We find that credit ratings are dominated as predictors of corporate failure by a simple model based on publicly available financial information (`failure score'), indicating that ratings are poor measures of raw default probability. However, ratings are strongly related to a straightforward measure of systematic default risk: the sensitivity of firm default probability to its common component (`failure beta'). Furthermore, this systematic risk measure is strongly related to credit default swap risk premia. Our findings can explain otherwise puzzling qualities of ratings.Credit Rating, Credit Risk, Default Probability, Forecast Accuracy, Systematic Default Risk

How Much Do Investors Care About Macroeconomic Risk? Evidence From Scheduled Economic Announcements

Stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp for all the other days, suggesting that over 60% of the cumulative annual equity risk premium is earned on announcement days. The Sharpe ratio is 10 times higher. In contrast, the risk-free rate is detectably lower on announcement days, consistent with a precautionary saving motive. Our results demonstrate a trade-off between macroeconomic risk and asset returns, and provide an estimate of the premium investors demand to bear this risk

One Central Bank to Rule Them All

While global stock markets enjoy high returns on days surrounding FOMC meetings, there is no comparable result for other central banks either internationally or, more surprisingly, domestically. Neither announcement surprises nor currency moves drive these findings, which hold even for stocks with a domestic focus. The difference in announcement premia is not explained by economy size, exposure to multinationals, or policy activism. We conclude that the Fed exerts a unique impact on global equities. Consistent with this hypothesis, uncertainty drops across global markets following FOMC announcements but not those of other central banks. Furthermore, the Fed is generally the leader among central banks in setting monetary policy

Global overview of the management of acute cholecystitis during the COVID-19 pandemic (CHOLECOVID study)

Background: This study provides a global overview of the management of patients with acute cholecystitis during the initial phase of the COVID-19 pandemic. Methods: CHOLECOVID is an international, multicentre, observational comparative study of patients admitted to hospital with acute cholecystitis during the COVID-19 pandemic. Data on management were collected for a 2-month study interval coincident with the WHO declaration of the SARS-CoV-2 pandemic and compared with an equivalent pre-pandemic time interval. Mediation analysis examined the influence of SARS-COV-2 infection on 30-day mortality. Results: This study collected data on 9783 patients with acute cholecystitis admitted to 247 hospitals across the world. The pandemic was associated with reduced availability of surgical workforce and operating facilities globally, a significant shift to worse severity of disease, and increased use of conservative management. There was a reduction (both absolute and proportionate) in the number of patients undergoing cholecystectomy from 3095 patients (56.2 per cent) pre-pandemic to 1998 patients (46.2 per cent) during the pandemic but there was no difference in 30-day all-cause mortality after cholecystectomy comparing the pre-pandemic interval with the pandemic (13 patients (0.4 per cent) pre-pandemic to 13 patients (0.6 per cent) pandemic; P = 0.355). In mediation analysis, an admission with acute cholecystitis during the pandemic was associated with a non-significant increased risk of death (OR 1.29, 95 per cent c.i. 0.93 to 1.79, P = 0.121). Conclusion: CHOLECOVID provides a unique overview of the treatment of patients with cholecystitis across the globe during the first months of the SARS-CoV-2 pandemic. The study highlights the need for system resilience in retention of elective surgical activity. Cholecystectomy was associated with a low risk of mortality and deferral of treatment results in an increase in avoidable morbidity that represents the non-COVID cost of this pandemic

Measurement of single top-quark production in association with a W boson in the single-lepton channel at \sqrt{s} = 8\,\text {TeV} with the ATLAS detector

The production cross-section of a top quark in association with a W boson is measured using proton–proton collisions at \sqrt{s} = 8\,\text {TeV}. The dataset corresponds to an integrated luminosity of 20.2\,\text {fb}^{-1}, and was collected in 2012 by the ATLAS detector at the Large Hadron Collider at CERN. The analysis is performed in the single-lepton channel. Events are selected by requiring one isolated lepton (electron or muon) and at least three jets. A neural network is trained to separate the tW signal from the dominant t{\bar{t}} background. The cross-section is extracted from a binned profile maximum-likelihood fit to a two-dimensional discriminant built from the neural-network output and the invariant mass of the hadronically decaying W boson. The measured cross-section is \sigma _{tW} = 26 \pm 7\,\text {pb}, in good agreement with the Standard Model expectation

Measurement and interpretation of same-sign W boson pair production in association with two jets in pp collisions at s = 13 TeV with the ATLAS detector

This paper presents the measurement of fducial and diferential cross sections for both the inclusive and electroweak production of a same-sign W-boson pair in association with two jets (W±W±jj) using 139 fb−1 of proton-proton collision data recorded at a centre-of-mass energy of √s = 13 TeV by the ATLAS detector at the Large Hadron Collider. The analysis is performed by selecting two same-charge leptons, electron or muon, and at least two jets with large invariant mass and a large rapidity diference. The measured fducial cross sections for electroweak and inclusive W±W±jj production are 2.92 ± 0.22 (stat.) ± 0.19 (syst.)fb and 3.38±0.22 (stat.)±0.19 (syst.)fb, respectively, in agreement with Standard Model predictions. The measurements are used to constrain anomalous quartic gauge couplings by extracting 95% confdence level intervals on dimension-8 operators. A search for doubly charged Higgs bosons H±± that are produced in vector-boson fusion processes and decay into a same-sign W boson pair is performed. The largest deviation from the Standard Model occurs for an H±± mass near 450 GeV, with a global signifcance of 2.5 standard deviations

Studies of new Higgs boson interactions through nonresonant HH production in the b¯bγγ fnal state in pp collisions at √s = 13 TeV with the ATLAS detector

A search for nonresonant Higgs boson pair production in the b ¯bγγ fnal state is performed using 140 fb−1 of proton-proton collisions at a centre-of-mass energy of 13 TeV recorded by the ATLAS detector at the CERN Large Hadron Collider. This analysis supersedes and expands upon the previous nonresonant ATLAS results in this fnal state based on the same data sample. The analysis strategy is optimised to probe anomalous values not only of the Higgs (H) boson self-coupling modifer κλ but also of the quartic HHV V (V = W, Z) coupling modifer κ2V . No signifcant excess above the expected background from Standard Model processes is observed. An observed upper limit µHH < 4.0 is set at 95% confdence level on the Higgs boson pair production cross-section normalised to its Standard Model prediction. The 95% confdence intervals for the coupling modifers are −1.4 < κλ < 6.9 and −0.5 < κ2V < 2.7, assuming all other Higgs boson couplings except the one under study are fxed to the Standard Model predictions. The results are interpreted in the Standard Model efective feld theory and Higgs efective feld theory frameworks in terms of constraints on the couplings of anomalous Higgs boson (self-)interactions

Model-independent search for the presence of new physics in events including H → γγ with s \sqrt{s} = 13 TeV pp data recorded by the ATLAS detector at the LHC

Abstract A model-independent search for new physics leading to final states containing a Higgs boson, with a mass of 125.09 GeV, decaying to a pair of photons is performed with 139 fb−1 of s $$\sqrt{s}$$ = 13 TeV pp collision data recorded by the ATLAS detector at the Large Hadron Collider at CERN. This search examines 22 final states categorized by the objects that are produced in association with the Higgs boson. These objects include isolated electrons or muons, hadronically decaying τ-leptons, additional photons, missing transverse momentum, and hadronic jets, as well as jets that are tagged as containing a b-hadron. No significant excesses above Standard Model expectations are observed and limits on the production cross section at 95% confidence level are set. Detector efficiencies are reported for all 22 signal regions, which can be used to convert detector-level cross-section limits reported in this paper to particle-level cross-section constraints

Combination of searches for invisible decays of the Higgs boson using 139 fb−1 of proton-proton collision data at root s=13 TeV collected with the ATLAS experiment

Many extensions of the Standard Model predict the production of dark matter particles at the LHC. Sufficiently light dark matter particles may be produced in decays of the Higgs boson that would appear invisible to the detector. This Letter presents a statistical combination of searches for H→invisible decays where multiple production modes of the Standard Model Higgs boson are considered. These searches are performed with the ATLAS detector using 139 fb−1of proton–proton collisions at a centre–of–mass energy of √s=13TeV at the LHC. In combination with the results at √s=7TeV and 8TeV, an upper limit on the H→invisible branching ratio of 0.107 (0.077) at the 95% confidence level is observed (expected). These results are also interpreted in the context of models where the 125GeV Higgs boson acts as a portal to dark matter, and limits are set on the scattering cross-section of weakly interacting massive particles and nucleons