Optimal Central Counterparty Risk Management

In order to protect themselves against the potential losses in case of a participant's default and to contain systemic risk, central counterparties (CCPs) need to maintain sufficient financial resources. Typically, these financial resources consist of margin requirements and contributions to a collective default fund. Based on a stylized model of CCP risk management, this article analyzes the main factors affecting the trade-off between margins and default fund. The optimal balance between these two risk management instruments is found to depend on collateral costs, participants' default probability, and the extent to which margin requirements are associated with risk-mitigating incentives. Given the increasing role of CCPs in financial markets in general and for financial stability in particular, these considerations are not only important for CCPs themselves, but also for financial regulators.Central counterparty, margin requirements, default fund, financial stability, incentives

Effects of Alpine hydropower dams on particle transport and lacustrine sedimentation

Abstract.: The effects of high-alpine hydropower damming on lacustrine sedimentation and transport of solid particles were investigated in the glaciated Grimsel area and in downstream Lake Brienz, providing quantitative denudation rates and sediment yield on a source-sink basis. A total of 271 kt/yr of solid particles entered the Grimsel reservoirs on average in the last 71 years, mostly by turbiditic underflows that focused sedimentation in depocenters upstream of obstacles such as bedrock ridges, submerged moraines, or dams. This is equivalent to a sediment yield of 2430 t/(km2yr) in the catchment (111.5 km2) or a denudation rate of 0.94 mm/yr. A total of 39 kt/yr of the fine fraction (<~4 μm) leave the reservoirs and are transported to downstream Lake Brienz, while 232 kt/yr of mostly coarse particles are retained, reducing total sediment input of the River Aare into Lake Brienz by two thirds. Modeling the particle budgets in the Aare with and without dams indicates that the fine fraction budgets are only slightly affected by damming, but that the reservoirs cause a shift in seasonal runoff timing resulting in increasing and decreasing particle transport in winter and summer, respectively. Thus, hydrodamming alters mostly deltaic sedimentation in Lake Brienz, where the coarse fraction is deposited, whereas fine grained distal sedimentation and varve formation on lateral slopes are less affected. All varved records of the reservoirs and Lake Brienz that provide sediment rates and grain size records on an annual basis indicate that climate is the main control on these proxies, while, for instance, the onset of pump storage activity in the reservoirs did not impose any significant change in lacustrine sedimentation patter

First results from the JWST Early Release Science Program Q3D: Ionization cone, clumpy star formation and shocks in a z=3z=3 extremely red quasar host

Massive galaxies formed most actively at redshifts $z=1-3$ during the period known as `cosmic noon.' Here we present an emission-line study of an extremely red quasar SDSSJ165202.64+172852.3 host galaxy at $z=2.94$, based on observations with the Near Infrared Spectrograph (NIRSpec) integral field unit (IFU) on board JWST. We use standard emission-line diagnostic ratios to map the sources of gas ionization across the host and a swarm of companion galaxies. The quasar dominates the photoionization, but we also discover shock-excited regions orthogonal to the ionization cone and the quasar-driven outflow. These shocks could be merger-induced or -- more likely, given the presence of a powerful galactic-scale quasar outflow -- these are signatures of wide-angle outflows that can reach parts of the galaxy that are not directly illuminated by the quasar. Finally, the kinematically narrow emission associated with the host galaxy presents as a collection of 1 kpc-scale clumps forming stars at a rate of at least 200 $M_{\odot}$ yr$^{-1}$. The ISM within these clumps shows high electron densities, reaching up to 3,000 cm$^{-3}$ with metallicities ranging from half to a third solar with a positive metallicity gradient and V band extinctions up to 3 magnitudes. The star formation conditions are far more extreme in these regions than in local star-forming galaxies but consistent with that of massive galaxies at cosmic noon. JWST observations reveal an archetypical rapidly forming massive galaxy undergoing a merger, a clumpy starburst, an episode of obscured near-Eddington quasar activity, and an extremely powerful quasar outflow simultaneously.Comment: 19 pages, 8 figures. Accepted for publication in Ap

First results from the JWST Early Release Science Program Q3D: The Warm Ionized Gas Outflow in z ~ 1.6 Quasar XID 2028 and its Impact on the Host Galaxy

Quasar feedback may regulate the growth of supermassive black holes, quench coeval star formation, and impact galaxy morphology and the circumgalactic medium. However, direct evidence for quasar feedback in action at the epoch of peak black hole accretion at z ~ 2 remains elusive. A good case in point is the z = 1.6 quasar WISEA J100211.29+013706.7 (XID 2028) where past analyses of the same ground-based data have come to different conclusions. Here we revisit this object with the integral field unit of the Near Infrared Spectrograph (NIRSpec) on board the James Webb Space Telescope (JWST) as part of Early Release Science program Q3D. The excellent angular resolution and sensitivity of the JWST data reveal new morphological and kinematic sub-structures in the outflowing gas plume. An analysis of the emission line ratios indicates that photoionization by the central quasar dominates the ionization state of the gas with no obvious sign for a major contribution from hot young stars anywhere in the host galaxy. Rest-frame near-ultraviolet emission aligned along the wide-angle cone of outflowing gas is interpreted as a scattering cone. The outflow has cleared a channel in the dusty host galaxy through which some of the quasar ionizing radiation is able to escape and heat the surrounding interstellar and circumgalactic media. The warm ionized outflow is not powerful enough to impact the host galaxy via mechanical feedback, but radiative feedback by the AGN, aided by the outflow, may help explain the unusually small molecular gas mass fraction in the galaxy host.Comment: 17 pages, 9 figures, accepted for publication in The Astrophysical Journa

Effects of Alpine hydropower dams on particle transport and lacustrine sedimentation

ISSN:1015-1621ISSN:1420-905

European Multi-level Governance: Contrasting Images in National Research, Edited by Beate Kohler-Koch and Fabrice Larat, Edward Elgar, Cheltenham, 2009, 222 p.

‘The Anglo-Scottish Union [of 1707] is in serious difficulty.’ Following such a statement the possibility of an independent Scotland is pondered by Michael Keating. He warns the reader about not confusing independence and secession as synonymous concepts. There is a growing strand of academics who contest the overdetermining view that a nation is to equate par force a sovereign state. This debate is highly pertinent to stateless nations, such as Scotland, which are integrated in both a union-state (UK) and a union-continent (EU).Peer reviewe