The Determinants of Credit Default Swap Premia

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent with theory and that the estimates are highly significant both statistically and economically. The explanatory power of the theoretical variables for levels of default swap premia is approximately 60%. The explanatory power for the differences in the premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there is only weak evidence for a residual common factor and also suggests that the theoretical variables explain a significant amount of the variation in the data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default swap premia, as predicted by theory. En utilisant une nouvelle base de données de credit default swaps, nous étudions les relations entre les déterminants théoriques du risque de défaut et la prime actuelle du marché en utilisant la régression linéaire. Ces déterminants théoriques sont le niveau d’endettement de la firme, la volatilité et le taux d’intérêt sans risque. Nous trouvons que les coefficients estimés pour ces variables sont en accord avec la théorie et que les estimations sont fortement significatives aussi bien statistiquement qu’économiquement. Le pouvoir explicatif de ces variables théoriques sur le niveau de la prime du default swap est d’environ 60 %. Le pouvoir explicatif sur les différences de prime est de 23 %.La volatilité et le niveau d’endettement en eux-mêmes ont aussi un pouvoir explicatif substantiel pour la prime du credit default swap. Une analyse en composantes principales des résidus et de la prime montre qu’il n’y a pratiquement aucune trace d’un facteur commun résiduel et suggère également que les variables théoriques expliquent une part significative de la variance des données. Nous concluons donc que le niveau d’endettement, la volatilité et le taux sans risque sont d’importants déterminants de la prime des credit default swap, comme prédit par la théorie.credit default swap; credit risk; structural model; leverage; volatility, credit default swap, risque de crédit, modèle structurel niveau d’endettement, volatilité

On variable hydrostatic transmission for road vehicles, powered by supply of fluid at constant pressure

Various hydrostatic power transmission systems for automotive applications with power supply at constant pressure and unrestricted flow and with a Volvo Flygmotor variable displacement motor as the principal unit were investigated. Two most promising concepts were analyzed in detail and their main components optimized for minimum power loss at the EPA Urban Driving Cycle. The best fuel consumption is less than 10 lit. per 100 kM for a 1542 kG vehicle with a hydrostatic motor and a two speed gear box in series (braking power not recovered). Realistic system pressure affects the fuel consumption just slightly, but the package volume/weight drastically. Back pressure increases losses significantly. Special attention was paid to description of the behavior and modeling of the losses of variable displacement hydrostatic machines

Gust penetration loads and elastic vehicle response for Saturn 5 launch vehicles

Analysis of gust penetration loads and associated elastic vehicle response of Saturn 5 launch vehicles AS-505 through AS-508 penetrating sinusoidal gust

Measurement of geometric phase for mixed states using single photon interferometry

Geometric phase may enable inherently fault-tolerant quantum computation. However, due to potential decoherence effects, it is important to understand how such phases arise for {\it mixed} input states. We report the first experiment to measure mixed-state geometric phases in optics, using a Mach-Zehnder interferometer, and polarization mixed states that are produced in two different ways: decohering pure states with birefringent elements; and producing a nonmaximally entangled state of two photons and tracing over one of them, a form of remote state preparation.Comment: To appear in Phys. Rev. Lett. 4 pages, 3 figure

Injury Risk Estimation Expertise Assessing the ACL Injury Risk Estimation Quiz

Background: Available methods for screening anterior cruciate ligament (ACL) injury risk are effective but limited in application as they generally rely on expensive and time-consuming biomechanical movement analysis. A potential efficient alternative to biomechanical screening is skilled movement analysis via visual inspection (ie, having experts estimate injury risk factors based on observations of athletes’ movements). Purpose: To develop a brief, valid psychometric assessment of ACL injury risk factor estimation skill: the ACL Injury Risk Estimation Quiz (ACL-IQ). Study Design: Cohort study (diagnosis); Level of evidence, 3. Methods: A total of 660 individuals participated in various stages of the study, including athletes, physicians, physical therapists, athletic trainers, exercise science researchers/students, and members of the general public in the United States. The ACL-IQ was fully computerized and made available online (www.ACL-IQ.org). Item sampling/reduction, reliability analysis, cross-validation, and convergent/discriminant validity analysis were conducted to optimize the efficiency and validity of the assessment. Results: Psychometric optimization techniques identified a short (mean time, 2 min 24 s), robust, 5-item assessment with high reliability (test-retest: r = 0.90) and consistent discriminability (average difference of exercise science professionals vs general population: Cohen d = 1.98). Exercise science professionals and general population individuals scored 74% and 53% correct, respectively. Convergent and discriminant validity was demonstrated. Scores on the ACL-IQ were most associated with ACL knowledge and various cue utilities and were least associated with domain-general spatial/decision-making ability, personality, or other demographic variables. Overall, 23% of the total sample (40% exercise science professionals; 6% general population) performed better than or equal to the ACL nomogram. Conclusion: This study presents the results of a systematic approach to assess individual differences in ACL injury risk factor estimation skill; the assessment approach is efficient (ie, it can be completed in\3 min) and psychometrically robust. The results provide evidence that some individuals have the ability to visually estimate ACL injury risk factors more accurately than other instrument-based ACL risk estimation methods (ie, ACL nomogram). The ACL-IQ provides the foundation for assessing the efficacy of observational ACL injury risk factor assessment (ie, does simple skilled visual inspection reduce ACL injuries?). It also provides a representative task environment that can be used to increase our understanding of the perceptual-cognitive mechanisms underlying observational movement analysis and to improve injury risk assessment performance

Introduction to Cognitive Processes of Expert Pilots

This report addresses the historical problem that a very high percentage of accidents have been classified as involving pilot error. Through extensive research since 1977, the Federal Aviation Administration determined that the predominant underlying cause of htese types of accidents involved decisional problems or cognitive information processing. To attack these problems, Aeronautical Decision Making (ADM) training materials were developed and tested for ten years. Since the publication of the ADM traning manuals in 1987, significant reductions in human performance error (HPE) accidents have been documented both in the U.S. and world wide. However, shortcomings have been observed in the use of these materials for recurrency training and in their relevance to more experienced pilots. The following discussion defines the differences between expert and novice decision makers from a cognitive information processing perspective, correlates the development of expert pilot cognitive processes with training and experience, and reviews accident scenarios which exemplify those processes. THis introductory material is a necessary prerequisite to an undertanding of how to formulate expert pilot decision making training innovations; and, to continue the record of improved safety through ADM training

Peso al nacer de niños brasileños menores de dos años

Low birth weight is associated with increased risk of dying in the first year of life. This study was motivated by recent changes in the determination of birth weight patterns with the advent of the perinatal epidemiological transition. We analyzed data from the Brazilian National Survey of Demographic and Health of Children and Women including only children < 24 months. Prevalence of low birth weight in Brazil was 6.1%. Risk factors included female gender, residence in the South and Southeast geographic regions, low maternal education, and maternal smoking. The low birth weight profile changed, with higher prevalence in more economically developed regions, reflecting the neonatal epidemiological transition determined by changes in patterns of childbirth care and incorporation of perinatal life support technologies, in addition to the previously known biological risks associated with poverty and misinformation.El bajo peso al nacer tiene una gran relación con el riesgo de morir en el primer año de vida. Estudios muestran su asociación con problemas de desarrollo en la infancia y enfermedades en la vida adulta. Dada la importancia de este indicador, el objetivo de este estudio fue investigar los factores sociales, demográficos, biológicos y ambientales involucrados en su determinación. Se analizaron los datos de la Investigación Nacional de Demografía y Salud del Niño y de la Mujer (PNDS-2006), incluyendo solamente niños menores de 24 meses de vida. La prevalencia de bajo peso al nacer en Brasil fue de un 6,1%. Los factores de riesgo identificados fueron sexo femenino, residir en las macrorregiones Sur y Sudeste y ser hijo de madres con baja escolaridad o tabaquistas. Hubo cambios en el perfil de bajo peso al nacer, con mayor prevalencia en regiones más desarrolladas económicamente, reflejando la transición epidemiológica perinatal, caracterizada por cambios en los padrones de asistencia al parto e incorporación de los avances tecnológicos en la asistencia perinatal, además de factores de riesgo biológicos conocidos, asociados a la pobreza y a la desinformación.O baixo peso ao nascer tem grande relação com risco de morrer no primeiro ano de vida. Estudos mostram sua associação com problemas de desenvolvimento na infância e doenças na vida adulta. Dada a importância desse indicador, o objetivo deste estudo foi investigar os fatores sociais, demográficos, biológicos e ambientais envolvidos na sua determinação. Analisaram-se dados da Pesquisa Nacional de Demografia e Saúde da Criança e da Mulher (PNDS-2006), incluindo apenas crianças menores de 24 meses de vida. A prevalência de baixo peso ao nascer no Brasil foi de 6,1%. Os fatores de risco identificados foram sexo feminino, residir nas macrorregiões Sul e Sudeste e ser filho de mães com baixa escolaridade ou tabagistas. Houve mudanças no perfil do baixo peso ao nascer, com maior prevalência em regiões mais desenvolvidas economicamente, refletindo a transição epidemiológica perinatal, caracterizada por mudanças nos padrões de assistência ao parto e incorporação dos avanços tecnológicos na assistência perinatal, além de fatores de risco biológicos conhecidos associados à pobreza e à desinformação.Universidade Federal de São Paulo (UNIFESP)UNIFESPSciEL

Geometric Quantum Computation

We describe in detail a general strategy for implementing a conditional geometric phase between two spins. Combined with single-spin operations, this simple operation is a universal gate for quantum computation, in that any unitary transformation can be implemented with arbitrary precision using only single-spin operations and conditional phase shifts. Thus quantum geometrical phases can form the basis of any quantum computation. Moreover, as the induced conditional phase depends only on the geometry of the paths executed by the spins it is resilient to certain types of errors and offers the potential of a naturally fault-tolerant way of performing quantum computation.Comment: 15 pages, LaTeX, uses cite, eepic, epsfig, graphicx and amsfonts. Accepted by J. Mod. Op

Scaling of the low temperature dephasing rate in Kondo systems

We present phase coherence time measurements in quasi-one-dimensional Ag wires doped with Fe Kondo impurities of different concentrations $n_s$. Due to the relatively high Kondo temperature $T_{K}\approx 4.3K$ of this system, we are able to explore a temperature range from above $T_{K}$ down to below $0.01 T_{K}$. We show that the magnetic contribution to the dephasing rate $\gamma_m$ per impurity is described by a single, universal curve when plotted as a function of $(T/T_K)$. For $T>0.1 T_K$, the dephasing rate is remarkably well described by recent numerical results for spin $S=1/2$ impurities. At lower temperature, we observe deviations from this theory. Based on a comparison with theoretical calculations for $S>1/2$, we discuss possible explanations for the observed deviations.Comment: 4 pages, 3 figures, submitted to Phys. Rev. Let