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Asset securitisation as a risk management and funding tool : what does it hold in store for SMES?
(2005)
The following chapter critically surveys the attendant benefits and drawbacks of asset securitisation on both financial institutions and firms. It also elicits salient lessons to be learned about the securitisation of SME-related obligations from a cursory review of SME securitisation in Germany as a foray of asset securitisation in a bank-centred financial system paired with a strong presence of SMEs in industrial production. JEL Classification: D81, G15, M20
As a sign of ambivalence in the regulatory definition of capital adequacy for credit risk and the quest for more efficient refinancing sources collateral loan obligations (CLOs) have become a prominent securitisation mechanism. This paper presents a loss-based asset pricing model for the valuation of constituent tranches within a CLO-style security design. The model specifically examines how tranche subordination translates securitised credit risk into investment risk of issued tranches as beneficial interests on a designated loan pool typically underlying a CLO transaction. We obtain a tranchespecific term structure from an intensity-based simulation of defaults under both robust statistical analysis and extreme value theory (EVT). Loss sharing between issuers and investors according to a simplified subordination mechanism allows issuers to decompose securitised credit risk exposures into a collection of default sensitive debt securities with divergent risk profiles and expected investor returns. Our estimation results suggest a dichotomous effect of loss cascading, with the default term structure of the most junior tranche of CLO transactions (“first loss position”) being distinctly different from that of the remaining, more senior “investor tranches”. The first loss position carries large expected loss (with high investor return) and low leverage, whereas all other tranches mainly suffer from loss volatility (unexpected loss). These findings might explain why issuers retain the most junior tranche as credit enhancement to attenuate asymmetric information between issuers and investors. At the same time, the issuer discretion in the configuration of loss subordination within particular security design might give rise to implicit investment risk in senior tranches in the event of systemic shocks. JEL Classifications: C15, C22, D82, F34, G13, G18, G20
Observation of an exotic S = -2, Q = -2 baryon resonance in proton-proton collisions at the CERN SPS
(2003)
Results of resonance searches in the Xi- pi-, Xi- pi+, antiXi+ pi- and antiXi+ pi+ invariant mass spectra in proton-proton collisions at sqrt s=17.2 GeV are presented. Evidence is shown for the existence of a narrow Xi- pi- baryon resonance with mass of 1.862+/-0.002 GeV/c^2 and width below the detector resolution of about 0.018 GeV/c^2. The significance is estimated to be 4.0 sigma. This state is a candidate for the hypothetical exotic Xi_(3/2)^-- baryon with S = -2, I = 3/2 and a quark content of (d s d s ubar). At the same mass a peak is observed in the Xi- pi+ spectrum which is a candidate for the Xi_(3/2)^0 member of this isospin quartet with a quark content of (d s u s dbar). The corresponding antibaryon spectra also show enhancements at the same invariant mass.
Results are presented on event-by-event fluctuations in transverse momentum of charged particles, produced at forward rapidities in p+p, C+C, Si+Si and Pb+Pb collisions at 158 AGeV. Three different characteristics are discussed: the average transverse momentum of the event, the Phi_pT fluctuation measure and two-particle transverse momentum correlations. In the kinematic region explored, the dynamical fluctuations are found to be small. However, a significant system size dependence of Phi_pT is observed, with the largest value measured in peripheral Pb+Pb interactions. The data are compared with predictions of several models. PACS numbers: 14.20.Jn, 13.75.Cs, 12.39.-x
Production of Lambda and Antilambda hyperons was measured in central Pb-Pb collisions at 40, 80, and 158 A GeV beam energy on a fixed target. Transverse mass spectra and rapidity distributions are given for all three energies. The Lambda/pi ratio at mid-rapidity and in full phase space shows a pronounced maximum between the highest AGS and 40 A GeV SPS energies, whereas the anti-Lambda}/pi ratio exhibits a monotonic increase. PACS numbers: 25.75.-q
Fluctuations of charged particle number are studied in the canonical ensemble. In the infinite volume limit the fluctuations in the canonical ensemble are different from the fluctuations in the grand canonical one. Thus, the well-known equivalence of both ensembles for the average quantities does not extend for the fluctuations. In view of a possible relevance of the results for the analysis of fluctuations in nuclear collisions at high energies, a role of the limited kinematical acceptance is studied.
A non-monotonic energy dependence of the K + / pi + ratio with a sharp maximum close to 30 A GeV is observed in central Pb+Pb collisions. Within a statistical model of the early stage, this is interpreted as a sign of the phase transition to a QGP, which causes a sharp change in the energy dependence of the strangeness to entropy ratio. This observation naturally motivates us to study the production of multistrange hyperons (Xi, Omega) as a function of the beam energy. Furthermore it was suggested that the kinematic freeze-out of Omega takes place directly at QGP hadronization. If this is indeed the case, the transverse momentum spectra of the Omega directly reflect the transverse expansion velocity of a hadronizing QGP. In this report we show preliminary NA49 results on Omega - and Omega + production in central Pb+Pb collisions at 40 and 158 A GeV and compare them to measurements of Xi - and Xi + production in central Pb+Pb collisions at 30, 40, 80 and 158 A GeV.
Report from NA49
(2004)
The most recent data of NA49 on hadron production in nuclear collisions at CERN SPS energies are presented. Anomalies in the energy dependence of pion and kaon production in central Pb+Pb collisions are observed. They suggest that the onset of deconfinement is located at about 30 AGeV. Large multiplicity and transverse momentum fluctuations are measured for collisions of intermediate mass systems at 158 AGeV. The need for a new experimental programme at the CERN SPS is underlined.
The transverse mass mt distributions for deuterons and protons are measured in Pb+Pb reactions near midrapidity and in the range 0<mt–m<1.0 (1.5) GeV/c2 for minimum bias collisions at 158A GeV and for central collisions at 40 and 80 A GeV beam energies. The rapidity density dn/dy, inverse slope parameter T and mean transverse mass <mt> derived from mt distributions as well as the coalescence parameter B2 are studied as a function of the incident energy and the collision centrality. The deuteron mt spectra are significantly harder than those of protons, especially in central collisions. The coalescence factor B2 shows three systematic trends. First, it decreases strongly with increasing centrality reflecting an enlargement of the deuteron coalescence volume in central Pb+Pb collisions. Second, it increases with mt. Finally, B2 shows an increase with decreasing incident beam energy even within the SPS energy range. The results are discussed and compared to the predictions of models that include the collective expansion of the source created in Pb+Pb collisions.
Preliminary results on pion-pion Bose-Einstein correlations in central Pb+Pb collisions measured by the NA49 experiment are presented. Rapidity as well as transverse momentum dependence of the HBT-radii are shown for collisions at 20, 30, 40, 80, and 158 AGeV beam energy. Including results from AGS and RHIC experiments only a weak energy dependence of the radii is observed. Based on hydrodynamical models parameters like lifetime and geometrical radius of the source are derived from the dependence of the radii on transverse momentum.