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Within the scenario of large extra dimensions, the Planck scale is lowered to values soon accessible. Among the predicted effects, the production of TeV mass black holes at the LHC is one of the most exciting possibilities. Though the final phases of the black hole’s evaporation are still unknown, the formation of a black hole remnant is a theoretically well motivated expectation. We analyze the observables emerging from a black hole evaporation with a remnant instead of a final decay. We show that the formation of a black hole remnant yields a signature which differs substantially from a final decay. We find the total transverse momentum of the black hole event to be significantly dominated by the presence of a remnant mass providing a strong experimental signature for black hole remnant formation.
Probing the density dependence of the symmetry potential in intermediate energy heavy ion collisions
(2005)
Based on the ultrarelativistic quantum molecular dynamics (UrQMD) model, the effects of the density-dependent symmetry potential for baryons and of the Coulomb potential for produced mesons are investigated for neutron-rich heavy ion collisions at intermediate energies. The calculated results of the Delta-/Delta++ and pi -/pi + production ratios show a clear beam-energy dependence on the density-dependent symmetry potential, which is stronger for the pi -/pi + ratio close to the pion production threshold. The Coulomb potential of the mesons changes the transverse momentum distribution of the pi -/pi + ratio significantly, though it alters only slightly the pi- and pi+ total yields. The pi- yields, especially at midrapidity or at low transverse momenta and the p-/pi+ ratios at low transverse momenta, are shown to be sensitive probes of the density-dependent symmetry potential in dense nuclear matter. The effect of the density-dependent symmetry potential on the production of both, K0 and K+ mesons, is also investigated.
In this study, we analyze the recently proposed charge transfer fluctuations within a finite pseudo-rapidity space. As the charge transfer fluctuation is a measure of the local charge correlation length, it is capable of detecting inhomogeneity in the hot and dense matter created by heavy ion collisions. We predict that going from peripheral to central collisions, the charge transfer fluctuations at midrapidity should decrease substantially while the charge transfer fluctuations at the edges of the observation window should decrease by a small amount. These are consequences of having a strongly inhomogeneous matter where the QGP component is concentrated around midrapidity. We also show how to constrain the values of the charge correlations lengths in both the hadronic phase and the QGP phase using the charge transfer fluctuations.
The regeneration of hadronic resonances is discussed for heavy ion collisions at SPS and SIS-300 energies. The time evolutions of Delta, rho and phi resonances are investigated. Special emphasize is put on resonance regeneration after chemical freeze-out. The emission time spectra of experimentally detectable resonances are explored.
The influence of the isospin-independent, isospin- and momentum-dependent equation of state (EoS), as well as the Coulomb interaction on the pion production in intermediate energy heavy ion collisions (HICs) is studied for both isospin-symmetric and neutron-rich systems. The Coulomb interaction plays an important role in the reaction dynamics, and strongly influences the rapidity and transverse momentum distributions of charged pions. It even leads to the pi- pi+ ratio deviating slightly from unity for isospin-symmetric systems. The Coulomb interaction between mesons and baryons is also crucial for reproducing the proper pion flow since it changes the behavior of the directed and the elliptic flow components of pions visibly. The EoS can be better investigated in neutron-rich system if multiple probes are measured simultaneously. For example, the rapidity and the transverse momentum distributions of the charged pions, the pi- pi+ ratio, the various pion flow components, as well as the difference of pi+-pi- flows. A new sensitive observable is proposed to probe the symmetry potential energy at high densities, namely the transverse momentum distribution of the elliptic flow difference [Delta v_2^pi+ - pi-(p_t rm c.m.].
It is investigated whether canonical suppression associated with the exact conservation of an U(1)-charge can be reproduced correctly by current transport models. Therefore a pion-gas having a volume-limited cross section for kaon production and annihilation is simulated within two different transport prescriptions for realizing the inelastic collisions. It is found that both models can indeed dynamically account for the canonical suppression in the yields of rare strange particles.
Longitudinal hadron spectra from proton-proton (pp) and nucleus-nucleus (AA) collisions from E_lab= 2 AGeV to sqrt s=200 AGeV are investigated. The widths of the rapidity spectra for various particle species increases monotonously with energy. The present calculation indicates no sign of a step like behaviour as excepted from the Kaon transverse mass systematics. For Pions, the transport simulation is consistent with a Landau type scaling of the rapidity widths, both in central AA reactions and in pp collisions. However, other hadron species do not follow the Landau scaling. The present model predicts a decreasing rapidity width with particle mass for newly produced particles, not supporting a Landau type flow interpretation.
Transverse hadron spectra from proton-proton, proton-nucleus and nucleus-nucleus collisions from 2 AGeV to 21.3 ATeV are investigated within two independent transport approaches (HSD and UrQMD). For central Au+Au (Pb+Pb) collisions at energies above E lab ~ 5 AGeV, the measured K +- transverse mass spectra have a larger inverse slope parameter than expected from the default calculations. The additional pressure - as suggested by lattice QCD calculations at finite quark chemical potential mu q and temperature T - might be generated by strong interactions in the early pre-hadronic/partonic phase of central Au+Au (Pb+Pb) collisions. This is supported by a non-monotonic energy dependence of v2/pT in the present transport model.
Within the ADD-model, we elaborate an idea by Vacavant and Hinchliffe and show quantitatively how to determine the fundamental scale of TeV-gravity and the number of compactified extra dimensions from data at LHC. We demonstrate that the ADD-model leads to strong correlations between the missing E_T in gravitons at different center of mass energies. This correlation puts strong constraints on this model for extra dimensions, if probed at sqr s=5.5 TeV and sqrt s=14 TeV at LHC.
The cumulant method is applied to study elliptic flow (v_2) in Au+Au collisions at sqrt s=200 AGeV, with the UrQMD model. In this approach, the true event plane is known and both the non-flow effects and event-by-event spatial (epsilon) and v_2 fluctuations exist. Qualitatively, the hierarchy of v_2 's from two, four and six-particle cumulants is consistent with the STAR data, however, the magnitude of v_2 in the UrQMD model is only 60% of the data. We find that the four and six-particle cumulants are good measures of the real elliptic flow over a wide range of centralities except for the most central and very peripheral events. There the cumulant method is affected by the v_2 fluctuations. In mid-central collisions, the four and six-particle cumulants are shown to give a good estimation of the true differential v_2, especially at large transverse momentum, where the two-particle cumulant method is heavily affected by the non-flow effects.
We predict transverse and longitudinal momentum spectra and yields of rho 0 and omega mesons reconstructed from hadron correlations in C+C reactions at 2~AGeV. The rapidity and pT distributions for reconstructable rho 0 mesons differs strongly from the primary distribution, while the omega's distributions are only weakly modified. We discuss the temporal and spatial distributions of the particles emitted in the hadron channel. Finally, we report on the mass shift of the rho 0 due to its coupling to the N*(1520), which is observable in both the di-lepton and pi pi channel. Our calculations can be tested with the Hades experiment at GSI, Darmstadt.
Trapping black hole remnants
(2005)
Large extra dimensions lower the Planck scale to values soon accessible. The production of TeV mass black holes at the LHC is one of the most exciting predictions. However, the final phases of the black hole's evaporation are still unknown and there are strong indications that a black hole remnant can be left. Since a certain fraction of such objects would be electrically charged, we argue that they can be trapped. In this paper, we examine the occurrence of such charged black hole remnants. These trapped remnants are of high interest, as they could be used to closely investigate the evaporation characteristics. Due to the absence of background from the collision region and the controlled initial state, the signal would be very clear. This would allow to extract information about the late stages of the evaporation process with high precision.
The recently proposed baryon-strangeness correlation (C_BS) is studied with a string-hadronic transport model (UrQMD) for various energies from E_lab=4 AGeV to \sqrt s=200 AGeV. It is shown that rescattering among secondaries can not mimic the predicted correlation pattern expected for a Quark-Gluon-Plasma. However, we find a strong increase of the C_BS correlation function with decreasing collision energy both for pp and Au+Au/Pb+Pb reactions. For Au+Au reactions at the top RHIC energy (\sqrt s=200 AGeV), the C_BS correlation is constant for all centralities and compatible with the pp result. With increasing width of the rapidity window, C_BS follows roughly the shape of the baryon rapidity distribution. We suggest to study the energy and centrality dependence of C_BS which allow to gain information on the onset of the deconfinement transition in temperature and volume.
We analyze longitudinal pion spectra from E_lab= 2AGeV to sqrt s_NN=200GeV within Landau's hydrodynamical model. From the measured data on the widths of the pion rapidity spectra, we extract the sound velocity c_s in the early stage of the reactions. It is found that the sound velocity has a local minimum (indicating a softest point in the equation of state, EoS) at E_beam=30AGeV. This softening of the EoS is compatible with the assumption of the formation of a mixed phase at the onset of deconfinement.
The results from the STAR Collaboration on directed flow (v1), elliptic flow (v2), and the fourth harmonic (v4) in the anisotropic azimuthal distribution of particles from Au+Au collisions at sqrt[sNN]=200GeV are summarized and compared with results from other experiments and theoretical models. Results for identified particles are presented and fit with a blast-wave model. Different anisotropic flow analysis methods are compared and nonflow effects are extracted from the data. For v2, scaling with the number of constituent quarks and parton coalescence are discussed. For v4, scaling with v22 and quark coalescence are discussed.
Midrapidity open charm spectra from direct reconstruction of D0(D0-bar)-->K± pi ± in d+Au collisions and indirect electron-positron measurements via charm semileptonic decays in p+p and d+Au collisions at sqrt[sNN]=200 GeV are reported. The D0(D0-bar) spectrum covers a transverse momentum (pT) range of 0.1<pT<3 GeV/c, whereas the electron spectra cover a range of 1<pT<4 GeV/c. The electron spectra show approximate binary collision scaling between p+p and d+Au collisions. From these two independent analyses, the differential cross section per nucleon-nucleon binary interaction at midrapidity for open charm production from d+Au collisions at BNL RHIC is d sigma NNcc-bar/dy=0.30±0.04(stat)±0.09(syst) mb. The results are compared to theoretical calculations. Implications for charmonium results in A+A collisions are discussed.
We present the first large-acceptance measurement of event-wise mean transverse momentum <pt> fluctuations for Au-Au collisions at nucleon-nucleon center-of-momentum collision energy sqrt[sNN] = 130 GeV. The observed nonstatistical <pt> fluctuations substantially exceed in magnitude fluctuations expected from the finite number of particles produced in a typical collision. The r.m.s. fractional width excess of the event-wise <pt> distribution is 13.7±0.1(stat) ±1.3(syst)% relative to a statistical reference, for the 15% most-central collisions and for charged hadrons within pseudorapidity range | eta |<1,2 pi azimuth, and 0.15 <= pt <= 2 GeV/c. The width excess varies smoothly but nonmonotonically with collision centrality and does not display rapid changes with centrality which might indicate the presence of critical fluctuations. The reported <pt> fluctuation excess is qualitatively larger than those observed at lower energies and differs markedly from theoretical expectations. Contributions to <pt> fluctuations from semihard parton scattering in the initial state and dissipation in the bulk colored medium are discussed.
The short-lived K(892)* resonance provides an efficient tool to probe properties of the hot and dense medium produced in relativistic heavy-ion collisions. We report measurements of K* in sqrt[sNN]=200GeV Au+Au and p+p collisions reconstructed via its hadronic decay channels K(892)*0-->K pi and K(892)*±-->K0S pi ± using the STAR detector at the Relativistic Heavy Ion Collider at Brookhaven National Laboratory. The K*0 mass has been studied as a function of pT in minimum bias p+p and central Au+Au collisions. The K*pT spectra for minimum bias p+p interactions and for Au+Au collisions in different centralities are presented. The K*/K yield ratios for all centralities in Au+Au collisions are found to be significantly lower than the ratio in minimum bias p+p collisions, indicating the importance of hadronic interactions between chemical and kinetic freeze-outs. A significant nonzero K*0 elliptic flow (v2) is observed in Au+Au collisions and is compared to the K0S and Lambda v2. The nuclear modification factor of K* at intermediate pT is similar to that of K0S but different from Lambda . This establishes a baryon-meson effect over a mass effect in the particle production at intermediate pT (2<pT <= 4GeV/c).
We present a systematic analysis of two-pion interferometry in Au+Au collisions at sqrt[sNN]=200GeV using the STAR detector at Relativistic Heavy Ion Collider. We extract the Hanbury-Brown and Twiss radii and study their multiplicity, transverse momentum, and azimuthal angle dependence. The Gaussianness of the correlation function is studied. Estimates of the geometrical and dynamical structure of the freeze-out source are extracted by fits with blast-wave parametrizations. The expansion of the source and its relation with the initial energy density distribution is studied.
Correlations in the hadron distributions produced in relativistic Au+Au collisions are studied in the discrete wavelet expansion method. The analysis is performed in the space of pseudorapidity (| eta | <= 1) and azimuth(full 2 pi ) in bins of transverse momentum (pt) from 0.14 <= pt <= 2.1GeV/c. In peripheral Au+Au collisions a correlation structure ascribed to minijet fragmentation is observed. It evolves with collision centrality and pt in a way not seen before, which suggests strong dissipation of minijet fragmentation in the longitudinally expanding medium.
The challenging intricacies of strongly correlated electronic systems necessitate the use of a variety of complementary theoretical approaches. In this thesis, we analyze two distinct aspects of strong correlations and develop further or adapt suitable techniques. First, we discuss magnetization transport in insulating one-dimensional spin rings described by a Heisenberg model in an inhomogeneous magnetic field. Due to quantum mechanical interference of magnon wave functions, persistent magnetization currents are shown to exist in such a geometry in analogy to persistent charge currents in mesoscopic normal metal rings. The second, longer part is dedicated to a new aspect of the functional renormalization group technique for fermions. By decoupling the interaction via a Hubbard-Stratonovich transformation, we introduce collective bosonic variables from the beginning and analyze the hierarchy of flow equations for the coupled field theory. The possibility of a cutoff in the momentum transfer of the interaction leads to a new flow scheme, which we will refer to as the interaction cutoff scheme. Within this approach, Ward identities for forward scattering problems are conserved at every instant of the flow leading to an exact solution of a whole hierarchy of flow equations. This way the known exact result for the single-particle Green's function of the Tomonaga-Luttinger model is recovered.
Market discipline for financial institutions can be imposed not only from the liability side, as has often been stressed in the literature on the use of subordinated debt, but also from the asset side. This will be particularly true if good lending opportunities are in short supply, so that banks have to compete for projects. In such a setting, borrowers may demand that banks commit to monitoring by requiring that they use some of their own capital in lending, thus creating an asset market-based incentive for banks to hold capital. Borrowers can also provide banks with incentives to monitor by allowing them to reap some of the benefits from the loans, which accrue only if the loans are in fact paid o.. Since borrowers do not fully internalize the cost of raising capital to the banks, the level of capital demanded by market participants may be above the one chosen by a regulator, even when capital is a relatively costly source of funds. This implies that capital requirements may not be binding, as recent evidence seems to indicate. JEL Classification: G21, G38
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion. Klassifikation: G12
We provide a novel benefit of "Alternative Risk Transfer" (ART) products with parametric or index triggers. When a reinsurer has private information about his client's risk, outside reinsurers will price their reinsurance offer less aggressively. Outsiders are subject to adverse selection as only a high-risk insurer might find it optimal to change reinsurers. This creates a hold-up problem that allows the incumbent to extract an information rent. An information-insensitive ART product with a parametric or index trigger is not subject to adverse selection. It can therefore be used to compete against an informed reinsurer, thereby reducing the premium that a low-risk insurer has to pay for the indemnity contract. However, ART products exhibit an interesting fate in our model as they are useful, but not used in equilibrium because of basis-risk. Klassifikation: D82, G22
The paper is a follow-up to an article published in Technique Financière et Developpement in 2000 (see the appendix to the hardcopy version), which portrayed the first results of a new strategy in the field of development finance implemented in South-East Europe. This strategy consists in creating microfinance banks as greenfield investments, that is, of building up new banks which specialise in providing credit and other financial services to micro and small enterprises, instead of transforming existing credit-granting NGOs into formal banks, which had been the dominant approach in the 1990s. The present paper shows that this strategy has, in the course of the last five years, led to the emergence of a network of microfinance banks operating in several parts of the world. After discussing why financial sector development is a crucial determinant of general social and economic development and contrasting the new strategy to former approaches in the area of development finance, the paper provides information about the shareholder composition and the investment portfolio of what is at present the world's largest and most successful network of microfinance banks. This network is a good example of a well-functioning "private public partnership". The paper then provides performance figures and discusses why the creation of such a network seems to be a particularly promising approach to the creation of financially self-sustaining financial institutions with a clear developmental objective.
EU financial integration : is there a 'Core Europe'? ; evidence from a cluster-based approach
(2005)
Numerous recent studies, e.g. EU Commission (2004a), Baele et al. (2004), Adam et al.(2002), and the research pooled in ECB-CFS (2005), Gaspar, Hartmann, and Sleijpen(2003), have documented progress in EU financial integration from a micro-level view.This paper contributes to this research by identifying groups of financially integratedcountries from a holistic, macro-level view. It calculates cross-sectional dispersions, andinnovates by applying an inter-temporal cluster analysis to eight euro area countries for the period 1995-2002. The indicators employed represent the money, government bond and credit markets. Our results show that euro countries were divided into two stable groups of financially more closely integrated countries in the pre-EMU period. Back then, geographic proximity and country size might have played a role. This situation has changed remarkably with the euro's introduction. EMU has led to a shake-up both in the number and composition of groups. The evidence puts a question mark behin d using Germany as a benchmark in the post-EMU period. The ¯ndings suggest as well that ¯nancial integration takes place in waves. Stable periods and periods of intense transition alternate. Based on the notion of 'maximum similarity', the results suggest that there exist 'maximum similarity barriers'. It takes extraordinary events, such as EMU, to push the degree of ¯nancial integration beyond these barriers. The research encourages policymakers to move forward courageously in the post-FSAP era, and provides comfort that the substantial di®erences between the current and potentially new euro states can be overcome. The analysis could be extended to the new EU member countries, to the global level, and to additional indicators.
The German corporate governance system has long been cited as the standard example of an insider-controlled and stakeholder-oriented system. We argue that despite important reforms and substantial changes of individual elements of the German corporate governance system the main characteristics of the traditional German system as a whole are still in place. However, in our opinion the changing role of the big universal banks in the governance undermines the stability of the corporate governance system in Germany. Therefore a breakdown of the traditional system leading to a control vacuum or a fundamental change to a capital market-based system could be in the offing.
Small and medium-sized firms typically obtain capital via bank financing. They often rely on a mixture of relationship and arm’s-length banking. This paper explores the reasons for the dominance of heterogeneous multiple banking systems. We show that the incidence of inefficient credit termination and subsequent firm liquidation is contingent on the borrower’s quality and on the relationship bank’s information precision. Generally, heterogeneous multiple banking leads to fewer inefficient credit decisions than monopoly relationship lending or homogeneous multiple banking, provided that the relationship bank’s fraction of total firm debt is not too large.
Small and medium-sized firms typically obtain capital via bank financing. They often rely on a mixture of relationship and arm’s-length banking. This paper explores the reasons for the dominance of heterogeneous multiple banking systems. We show that the incidence of inefficient credit termination and subsequent firm liquidation is contingent on the borrower’s quality and on the relationship bank’s information precision. Generally, heterogeneous multiple banking leads to fewer inefficient credit decisions than monopoly relationship lending or homogeneous multiple banking, provided that the relationship bank’s fraction of total firm debt is not too large.
This paper makes an attempt to present the economics of credit securitisation in a non-technical way, starting from the description and the analysis of a typical securitisation transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is at the heart of securitisation transactions, may allow commercial banks to maximize their shareholder value. However, the analysis makes also clear that the conditions under which credit securitisation enhances welfare, are fairly restrictive, and require not only an active role of the banking supervisory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort.
We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in the low-end segment. If optimal, CRT unambiguously fosters financial deepening, i.e., it reduces credit-rationing in the economy. These effects rely upon the ability of banks to commit to the optimal CRT at the funding stage. The optimal degree of CRT depends on the combination of moral hazard, general riskiness, and the cost of monitoring in non-monotonic ways.
We provide insights into determinants of the rating level of 371 issuers which defaulted in the years 1999 to 2003, and into the leader-follower relationship between Moody’s and S&P. The evidence for the rating level suggests that Moody’s assigns lower ratings than S&P for all observed periods before the default event. Furthermore, we observe two-way Granger causal-ity, which signifies information flow between the two rating agencies. Since lagged rating changes influence the magnitude of the agencies’ own rating changes it would appear that the two rating agencies apply a policy of taking a severe downgrade through several mild down-grades. Further, our analysis of rating changes shows that issuers with headquarters in the US are less sharply downgraded than non-US issuers. For rating changes by Moody’s we also find that larger issuers seem to be downgraded less severely than smaller issuers.
This article presents an overview of the contemporary German insurance market, its structure, players, and development trends. First, brief information about the history of the insurance industry in Germany is provided. Second, the contemporary market is analyzed in terms of its legal and economic structure, with statistics on the number of companies, insurance density and penetration, the role of insurers in the capital markets, premiums split, and main market players and their market shares. Furthermore, the three biggest insurance lines—life, health, and property and casualty—are considered in more detail, such as product range, country specifics, and insurance and investment results. A section on regulation outlines its implementation in the insurance sector, offering information on the underlying legislative basis, supervisory body, technical procedures, expected developments, and sources of more detailed information.
Electric charge correlations were studied for p+p, C+C, Si+Si, and centrality selected Pb+Pb collisions at sqrt[sNN]=17.2 GeV with the NA49 large acceptance detector at the CERN SPS. In particular, long-range pseudorapidity correlations of oppositely charged particles were measured using the balance function method. The width of the balance function decreases with increasing system size and centrality of the reactions. This decrease could be related to an increasing delay of hadronization in central Pb+Pb collisions.
Dt. Fassung: Der Umgang mit Rechtsparadoxien: Derrida, Luhmann, Wiethölter. In: Christian Joerges und Gunther Teubner (Hg.) Rechtsverfassungsrecht: Recht-Fertigungen zwischen Sozialtheorie und Privatrechtsdogmatik. Nomos, Baden-Baden 2003, 249-272.
This paper starts out by pointing out the challenges and weaknesses which the German banking systems faces according to the prevailing views among national and international observers. These challenges include a generalproblem of profitability and, possibly as its main reason, the strong role of public banks. These concerns raise the questions whether the facts support this assessment of a general profitability problem and whether there are reasons to expect a fundamental or structural transformation of the German banking system. The paper contains four sections. The first one presents the evidence concerning the profitability problem in a comparative, international perspective. The second section presents information about the so-called three-pillar system of German banking. What might be surprising in this context is that the group of pub lic banks is not only the largest segment of the German banking system, but that the primary savings banks also are its financially most successful part. The German banking system is highly fragmented. This fact suggests to discuss past, present and possible future consolidations in the banking system in the third section. The authors provide evidence to the effect that within- group consolidation has been going on at a rapid pace in the public and the cooperative banking groups in recent years and that this development has not yet come to an end, while within-group consolidation among the large private banks, consolidation across group boundaries at a national level and cross-border or international consolidation has so far only happened at a limited scale, and do not appear to gain momentum in the near future. In the last section, the authors develop their explanation for the fact that large-scale and cross border consolidation has so far not materialized to any great extent. Drawing on the concept of complementarity, they argue that it would be difficult to expect these kinds of mergers and acquisitions happening within a financial system which is itself surprisingly stable, or, as one cal also call it, resistant to change.
Asset-backed securitization (ABS) has become a viable and increasingly attractive risk management and refinancing method either as a standalone form of structured finance or as securitized debt in Collateralized Debt Obligations (CDO). However, the absence of industry standardization has prevented rising investment demand from translating into market liquidity comparable to traditional fixed income instruments, in all but a few selected market segments. Particularly low financial transparency and complex security designs inhibits profound analysis of secondary market pricing and how it relates to established forms of external finance. This paper represents the first attempt to measure the intertemporal, bivariate causal relationship between matched price series of equity and ABS issued by the same entity. In a two-dimensional linear system of simultaneous equations we investigate the short-term dynamics and long-term consistency of daily secondary market data from the U.K. Sterling ABS/MBS market and exchange traded shares between 1998 and 2004 with and without the presence of cointegration. Our causality framework delivers compelling empirical support for a strong co-movement between matched price series of ABS-equity pairs, where ABS markets seem to contribute more to price discovery over the long run. Controlling for cointegration, risk-free interest and average market risk of corporate debt hardly alters our results. However, once we qualify the magnitude and direction of price discovery on various security characteristics, such as the ABS asset class, we find that ABS-equity pairs with large-scale CMBS/RMBS and credit card/student loan ABS reveal stronger lead-lag relationships and joint price dynamics than whole business ABS. JEL Classifications: G10, G12, G24
Although the commoditisation of illiquid asset exposures through securitisation facilitates the disciplining effect of capital markets on the risk management, private information about securitised debt as well as complex transaction structures could possibly impair the fair market valuation. In a simple issue design model without intermediaries we maximise issuer proceeds over a positive measure of issue quality, where a direct revelation mechanism (DRM) by profitable informed investors engages endogenous price discovery through auction-style allocation preference as a continuous function of perceived issue quality. We derive an optimal allocation schedule for maximum issuer payoffs under different pricing regimes if asymmetric information requires underpricing. In particular, we study how the incidence of uninformed investors at varying levels of valuation uncertainty and their function of clearing the market effects profitable informed investment. We find that the issuer optimises own payoffs at each valuation irrespective of the applicable pricing mechanism by awarding informed investors the lowest possible allocation (and attendant underpricing) that still guarantees profitable informed investment. Under uniform pricing the composition of the investor pool ensures that informed investors appropriate higher profit than uninformed types. Any reservation utility by issuers lowers the probability of information disclosure by informed investors and the scope of issuers to curtail profitable informed investment. JEL Classifications: D82, G12, G14, G23
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
System-size dependence of strangeness production in nucleus-nucleus collisions at √sNN = 17.3 GeV
(2005)
Emission of pi, K, phi and Lambda was measured in near-central C+C and Si+Si collisions at 158 AGeV beam energy. Together with earlier data for p+p, S+S and Pb+Pb, the system-size dependence of relative strangeness production in nucleus-nucleus collisions is obtained. Its fast rise and the saturation observed at about 60 participating nucleons can be understood as onset of the formation of coherent partonic subsystems of increasing size. PACS numbers: 25.75.-q
Results are presented on Omega production in central Pb+Pb collisions at 40 and 158 AGeV beam energy. Given are transverse-mass spectra, rapidity distributions, and total yields for the sum Omega+Antiomega at 40 AGeV and for Omega and Antiomega separately at 158 AGeV. The yields are strongly under-predicted by the string-hadronic UrQMD model and are in better agreement with predictions from a hadron gas models. PACS numbers: 25.75.Dw
Phase diagram of strongly interacting matter is discussed within the exactly solvable statistical model of the quark-gluon bags. The model predicts two phases of matter: the hadron gas at a low temperature T and baryonic chemical potential muB, and the quark-gluon gas at a high T and/or muB. The nature of the phase transition depends on a form of the bag mass-volume spectrum (its pre-exponential factor), which is expected to change with the muB/T ratio. It is therefore likely that the line of the 1st} order transition at a high muB/T ratio is followed by the line of the 2nd order phase transition at an intermediate muB/T, and then by the lines of "higher order transitions" at a low muB/T.
Chlorine monoxide (ClO) plays a key role in stratospheric ozone loss processes at midlatitudes. We present two balloonborne in situ measurements of ClO conducted in northern hemisphere midlatitudes during the period of the maximum of total inorganic chlorine loading in the atmosphere. Both ClO measurements were conducted on board the TRIPLE balloon payload, launched in November 1996 in Le´on, Spain, and in May 1999 in Aire sur l’Adour, France. For both flights a ClO daylight and night time vertical profile could be derived over an altitude range of approximately 15–31 km. ClO mixing ratios are compared to model simulations performed with the photochemical box model version of the Chemical Lagrangian Model of the Stratosphere (CLaMS). Simulations along 24-h backward trajectories were performed to study the diurnal variation of ClO in the midlatitude lower stratosphere. Model simulations for the flight launched in Aire sur l’Adour 1999 show a good agreement with the ClO measurements. For the flight launched in Le´on 1996, a similar good agreement is found, except at around ~ 650 K potential temperature (~26km altitude). However, a tendency is found that for solar zenith angles greater than 86°–87° the simulated ClO mixing ratios substantially overestimate measured ClO by approximately a factor of 2.5 or more for both flights. Therefore we conclude that no indication can be deduced from the presented ClO measurements that substantial uncertainties exist in midlatitude chlorine chemistry of the stratosphere. An exception is the situation at solar zenith angles greater than 86°–87° where model simulations substantial overestimate ClO observations.
Results are presented from a search for the decays D0 -> K min pi plus and D0 bar -> K plus pi min in a sample of 3.8x10^6 central Pb-Pb events collected with a beam energy of 158A GeV by NA49 at the CERN SPS. No signal is observed. An upper limit on D0 production is derived and compared to predictions from several models.
Particle production in central Pb+Pb collisions was studied with the NA49 large acceptance spectrometer at the CERN SPS at beam energies of 20, 30, 40, 80, and 158 GeV per nucleon. A change of the energy dependence is observed around 30A GeV for the yields of pions and strange particles as well as for the shapes of the transverse mass spectra. At present only a reaction scenario with onset of deconfinement is able to reproduce the measurements.
Despite a lot of re-structuring and many innovations in recent years, the securities transaction industry in the European Union is still a highly inefficient and inconsistently configured system for cross-border transactions. This paper analyzes the functions performed, the institutions involved and the parameters concerned that shape market and ownership structure in the industry. Of particular interest are microeconomic incentives of the main players that can be in contradiction to social welfare. We develop a framework and analyze three consistent systems for the securities transaction industry in the EU that offer superior efficiency than the current, inefficient arrangement. Some policy advice is given to select the 'best' system for the Single European Financial Market.