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# INFLATIONARY LAMBDA-UNIVERSE WITH TIME-VARYING FUNDAMENTAL CONSTANTS

## Abstract

We solve the Universe for dark energy represented by a variable cosmological constant, along with a JBD (Jordan-Brans-Dicke) model with tine varying speed of light, entailing variable fine structure constant. Inflation is taken as the prevailing scenario, but we provide food for thought, to discuss how this model with fundamental constants applies to the present accelerating phase. Along with a curious discussion of a possible Planck´s time not coincident with ten to the power -43, in seconds, this model is full of novelties.

PACS: 98.80 Hw.

INFLATIONARY LAMBDA-UNIVERSE

WITH TIME-VARYING

FUNDAMENTAL CONSTANTS

BY MARCELO S. BERMAN AND LUIS A. TREVISAN

Dark energy is possibly represented by a time-varying cosmological ”constant”. On the other hand, the fact that the equation of state of the present Universe is very near $`p=\rho `$ , where $`p,\rho `$ are cosmic pressure and energy density, makes us think that inflationary scenario with exponential scale factor could not only be of importance as early Universe phase, but could also be important for the present accelerating Universe, because the deceleration parameter would be negative, as required by modern developments in the observational front. The present paper will deal with such questions. We extend here the results of J.D.Barrow , who in a series of papers authored by him alone, or with collaborators, dealt with variable “constants“ , cosmological models, including fine structure ”constant” , and inflationary scenario cosmologies ; we calculate the possibility of different than the accepted values for Planck´s Universe quantities (like Planck‘s time or Planck’s energy, etc), due to the effects of inflation on such time variations.

Weinberg , has reviewed modern cosmology, and we refer to him for updated information. Riess et al  found evidence for an accelerating Universe with an observed deceleration parameter average near $`1`$ , by means of Supernovae observations. Not only were placed constraints on the Hubble´s constant but also on the mass density, the cosmological constant (i.e, the vacuum energy density), the dynamical age of the Universe, and most important in our opinion, the deceleration parameter. In the abstract of one of the papers published by Riess and his group, there is a comment that eternally expanding models with positive cosmological constants are favoured unanimously. In the present paper, we shall find a theoretical model of the Universe that could eventually point to such an eternal Universe with infinite age ( –$`\mathrm{}<t<\mathrm{}`$ ), or else it could be understood as defining an exponential inflationary phase for the early Universe, when according to our calculations the fine structure constant should have a huge value, when compared with its present value ( $`\alpha _01/137`$ $`).`$ Both possibilities render useful the study of $`q=1`$ cosmologies.

On the other hand, Webb et al  found evidence, in the spectra of distant quasars, for a time varying fine structure constant, spanning 23% to 87% of the age of the Universe, if we suppose that there was a big bang, say about 18 billion years ago. Webb et al. found that $`\alpha `$ was smaller in the past than it is today. This could be explained by time variations of at least one of the constants that appear in its definition( the electron charge, the speed of light or Planck´s constant). They also comment that a common property of unified theories, when applied to cosmology, is that they predict time-space dependence of the coupling constants.

We shall show how to accommodate both results into a JBD (Jordan-Brans-Dicke) framework, where the speed of light is also variable, as in Barrow . John D. Barrow  analyzed generalizations of General Relativity that incorporates a cosmic time variation of the velocity of light in vacuum and the Newtonian gravitational constant G, as proposed by Albrecht and Magueijo . He found exact solutions for Friedmann Universes and determined the rate of variation of $`c`$ required to solve the flatness and classical cosmological constant problems. Potential problems with this approach were discussed by Barrow, and Jordan-Brans-Dicke solutions were also presented.

Barrow  has pointed out the possible relevance of scalar-tensor gravity theories in the study of the inflationary phase during the early Universe. He obtained exact solutions for homogeneous and isotropic cosmologies in vacuum and radiation cases, for a variable coupling ”constant” , $`\omega =\omega (\varphi ),`$ where $`\varphi `$ stands for the scalar field. Although classical standard Big Bang scenario imposes entropy conservation, in 1981 A. Guth  proposed that the flatness along with the monopole and the horizon problems could be made to disappear if the Universe traversed an epoch with negative pressure and terminated it in a huge entropy increase (old inflation).Many new models were afterward been invented, in particular the new inflationary, Linde´s chaotic version of it and extended inflation. Berman and Som  further have shown that in Brans-Dicke theory we can accommodate an inflationary exponential phase with positive pressure. For accounts on inflation, see, for instance, Linde’s book or the updated Weinberg .

We define the deceleration parameter, in terms of the scale factor and its time derivatives as:

$$q=\frac{\ddot{R}R}{\dot{R}^2}.$$
(1)
It is evident that an exponential scale factor, like

$$R=R_0e^{Ht}$$
(2)
($`R_0`$ and $`H`$ constants) yields the desired result, i.e.

$$q=1.$$
(3)
Before introducing the cosmological ”constant”, we first work with Barrow´s equations , which do not contain a $`\mathrm{\Lambda }`$ term and zero tricurvature:

$$H^2=\frac{8\pi \rho }{\varphi }\frac{\dot{\varphi }}{\varphi }H+\frac{\omega }{6}\frac{\dot{\varphi }^2}{\varphi ^2}$$
(4)
$$\dot{\rho }+3H\left(\rho +\frac{p}{c^2}\right)=0$$
(5)
$$\ddot{\varphi }+3H\dot{\varphi }=\frac{8\pi }{(3+2\omega )}\left(\rho \frac{3p}{c^2(t)}\right)$$
(6)
where $`\rho ,`$ $`p,`$ $`\varphi ,`$ $`\omega `$ and $`k`$ stand respectively for energy density, cosmic pressure, scalar field, coupling constant, and tricurvature. This applies to a Robertson-Walker´s metric. Equation (5) represents the energy-momentum tensor conservation, for the original matter fluid.

We find the following solution:

$$\varphi =\varphi _0e^{\beta t}$$
(7)
$$\rho =A\varphi _0e^{\beta t}$$
(8)
$$\beta =3H\left(1+\gamma \right)$$
(9)
$$c=c_0e^{\delta Ht}$$
(10)
subject to the following conditions :

$$\frac{p}{c^2}=\gamma \rho $$
(11)
$$H^2=\frac{8\pi A}{\left[2+3\gamma +\frac{3}{2}\omega (1+\gamma )^2\right]}$$
(12)
$$A=\frac{(3+2\omega )(\beta +3H)\beta }{(13\gamma )}.$$
(13)
We remark that the last three conditions were obtained by plugging our solution into the three field equations obtained by Barrow . It is better to restrict our study to the case $`k=0`$, in order that we need not bother with possible $`\dot{c}`$ terms in the above field equations.

If we introduce a cosmological term $`\mathrm{\Lambda }=\mathrm{\Lambda }(t),`$ we resort to Barrow-Bertolami theorem given by Berman  which assumes the form of replacement:

$$\rho \rho +\mathrm{\Lambda }/(8\pi )$$

,

$$p/c^2p/c^2\mathrm{\Lambda }/(8\pi )+\dot{\mathrm{\Lambda }}\varphi /(12\pi \dot{\varphi })$$

.In such case, we find a reasonable solution, namely:

$$\mathrm{\Lambda }=\mathrm{\Lambda }_0e^{\beta t}$$

where $`\mathrm{\Lambda }_0`$ $`=`$ constant. If we plug the solution back, we find that, instead of conditions (12) and (13) we must make the following replacement:

$$AA+\mathrm{\Lambda }_0/(8\pi )$$

and we must have,

$$c_0^2=3\varphi _0\gamma $$

. Likewise, as $`c_0^2>0`$ , and , for normal situations, $`\varphi _0>0`$ (so that, gravitation is attractive, i.e. , $`G>0`$ ) we must have $`\gamma <0`$. The weak energy condition is represented by a positive energy density, so that we must have a negative cosmic pressure. This is tantamount to what is admitted by the most recent observations of the present Universe.

On observational grounds, we impose that, for the present Universe

$$p=ϵ\rho $$
(14)
, where $`ϵ0.9`$. The speed of light must be adjusted in order that for the present Universe, we get the result $`300,000`$ km/s . From relation (8) , the apparent desire for a decreasing energy density, makes us impose that $`\beta <0`$ . From (9) , we would need in such case, to impose that ,

$$1+\gamma >0$$
(15)
Because we define the fine structure ”constant” as

$$\alpha \frac{e^2}{\frac{h}{2\pi }c}$$
(16)
we find that

$$\frac{\dot{\alpha }}{\alpha }=H\delta $$
(17)
where of course, $`H`$ stand for Hubble ‘s constant for this model. This means that $`\alpha `$ was exponentially larger in the early Universe than it is today, if $`\delta >0`$. Good discussions on fine strucuture time-varying ”constant”, either through $`\dot{c}0`$ or through $`\dot{ϵ}_00`$ can be found in Berman  .

Planck´s quantities for energy length , mass and time could be drastically changed for the very early Universe ( Grand Unification Epoch) as a consequence of the time variations of $`G`$ and $`c`$. Take for example Planck´s length:

$$\lambda =\left(\frac{hG}{2\pi c^3}\right)^{1/2}$$
(18)
We find that, with $`G\varphi ^1`$,

$$\lambda e^{(1/2)\left[\beta +3H\right]t}$$
(19)
On the other hand, Planck´s time is $`\lambda /c`$ so that it would vary like:

$$t_pe^{(3/2)H\left[1+\gamma \delta \right]t}$$
(20)
This means that with most probability $`t_p=`$10<sup>-43</sup> seconds is no longer a valid result. For the particular case $`\delta =1+\gamma `$ , we recover a constant Planck´s time. The condition $`\delta >0`$ means that $`\gamma >1`$ , for constant $`t_P`$ .

Even with exponential equations for $`\rho `$ and $`p`$ , we could adjust constants in order that an equation of state be obtained such that $`p=\frac{1}{3}\rho `$ , in case we would like to include a radiation phase, during the evolution of the Universe.

As the reader can check, many questions can be posed over this mathematical and theoretical model. . May be we are just in face of an eternal Universe model, of the type studied in the golden days of stationary state models. If this is not the case, we have nevertheless found a model that deserves attention, and that can point to very interesting developments in the study of the very early Universe Physics. Finally, our model has zero-pressure, zero-density and zero-lambda when $`t\mathrm{}.`$ This model deserves the qualification of present Universe validity, but also has to do with the very early Universe inflation, but also applies with minor modification, to a radiation phase. The novelties in this paper, deserve attention.

###### Acknowledgement 1

MSB thanks the incentive by Geni, Albert and Paula.

Hinshaw , G. et al (2008) Astrophysical Journal Supplement Series, to be published, ArXiv 0803.0732. See also ArXiv :0812.2720 and ArXiv 0902.3702


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# 1 Introduction

## 1 Introduction

From a theoretical point of view, there is no need to assign risk contributions to the parts of a portfolio. The reason is that no rational investor would be happy with a sub-optimal portfolio in the sense of best possible return-risk ratios. Therefore the assumption of already optimized portfolios predominates in the scientific literature. Of course, in case of an optimal portfolio surveillance of sub-portfolios is dispensable since by definition such a portfolio cannot be improved.

Nevertheless, in practice, and in particular in credit practice, optimal portfolios are quite rare. Even if the causes of bad performance in a credit portfolio have been located, as a consequence of limited liquidity it will in general be impossible to optimize the portfolio in one step. Indeed, credit portfolio management is rather a sequence of small steps than a one strike business. However, steering a portfolio step by step requires detailed risk diagnoses. The key to such diagnoses is assigning appropriate risk contributions to the sub-portfolios.

In a recent paper, Koyluoglu and Stoker (2002) have reviewed several approaches to the problem of how to define sensible risk contributions. We investigate here the “continuous marginal contribution” approach for the CreditRisk+ (CSFP, 1997) credit portfolio model. More exactly, we determine analytically the contributions of each obligor to $`\mathrm{𝑉𝑎𝑅}`$ (Value-at-Risk) and $`\mathrm{𝐸𝑆}`$ (Expected Shortfall). For continuous distributions $`\mathrm{𝐸𝑆}`$ is the conditional tail expectation. Moreover, $`\mathrm{𝐸𝑆}`$ is coherent (cf. Artzner et al., 1999), i.e., in contrast to $`\mathrm{𝑉𝑎𝑅}`$, expected shortfall always respects diversification as expressed by the subadditivity axiom.

This paper shows that the composition of tail losses may significantly differ when measured by $`\mathrm{𝐸𝑆}`$, or $`\mathrm{𝑉𝑎𝑅}`$, or (a multiple of) the standard deviation. This fact has implications on the performance measurement for an active portfolio management. Apart from this, the contribution to $`\mathrm{𝐸𝑆}`$ is a useful indicator for concentrations, as shown in the examples (Section 6). A decreasing list of $`\mathrm{𝐸𝑆}`$-contributors, even for large portfolios, may reveal that not just the largest exposures contribute the most, but also certain low quality loans in particularly volatile segments. This is a valuable input in analyzing the composition of tail losses, especially in terms of single name stress losses.

It turns out that the calculation of the $`\mathrm{𝑉𝑎𝑅}`$\- and $`\mathrm{𝐸𝑆}`$-contributions requires per segment only one extra run in the CreditRisk+ model. As a byproduct, we show that in the CreditRisk+ model $`\mathrm{𝐸𝑆}`$ can be calculated by only making use of the loss distribution up to the corresponding quantile loss.

Yamai and Yoshiba (2001a, b) observed that due to estimation errors simulation-based computations of $`\mathrm{𝑉𝑎𝑅}`$, $`\mathrm{𝐸𝑆}`$, and of their respective risk decompositions must be rather extensive in order to arrive at acceptable precision. The analytical results presented in this paper show that CreditRisk+ offers a fast alternative not only with respect to $`\mathrm{𝑉𝑎𝑅}`$ and $`\mathrm{𝐸𝑆}`$ themselves but also for their risk decompositions.

This article first outlines the main features of the CreditRisk+ model. In Section 3 we introduce some aspects of risk measures. The formulas for the $`\mathrm{𝑉𝑎𝑅}`$\- and $`\mathrm{𝐸𝑆}`$-contributions are derived in Sections 4 and 5 for the one segment case, and are then extended to several segments in Section 6. The paper finishes with an example where the different risk measures are compared based on independent, uncorrelated segments, as well as correlated segments. The appendix sketches the proof of the main statement given by Equation (13).

## 2 Short Overview of CreditRisk+

We will briefly outline the main aspects and relations of the CreditRisk+ model (CSFP, 1997) in the one segment case. The starting point of this credit portfolio model is the following equation for the random portfolio loss $`L`$ over all obligors $`A`$:

$$L=\underset{A}{}I_A\nu _A,$$
(1)
where $`I_A`$ is interpreted as an indicator variable describing the default event of $`A`$, i.e. $`I_A=1`$ if $`A`$ defaults and $`I_A=0`$ otherwise, and $`\nu _A`$ is the exposure net of recovery333In this paper, the loss severities are assumed to be constant for each obligor. For an extension to variable severities confer Bürgisser et al. (2001).. Let us denote the (unconditional) default probability of obligor $`A`$ by $`p_A`$, i.e. $`p_A`$ is the mean of $`I_A`$. The dependence between obligors is incorporated by a common risk factor $`S`$ which will later be assumed to be gamma-distributed. The mean of the variable $`S`$ is equal to $`\mu =_Ap_A`$, and its volatility is denoted by $`\sigma `$. Then conditional on $`S`$, the expectation444$`Sp_A/\mu `$ may also be regarded as the conditional default probability of obligor $`A`$ given state $`S`$ of the economy. However, in the model under consideration, $`Sp_A/\mu `$ may take values greater than one. Thus, the interpretation as probability has to be understood in an approximative sense. of $`I_A`$ is $`Sp_A/\mu `$. This default scaling factor $`S`$ reflects the intensity of the number of default events in the economy; cf. Bürgisser et al. (1999). The expected loss $`\mathrm{𝐸𝐿}`$ and the standard deviation $`\mathrm{𝑈𝐿}`$ of the loss variable $`L`$ can now be derived (cf. Bürgisser et al., 2001):

$$\mathrm{𝐸𝐿}=\underset{A}{}p_A\nu _A,\mathrm{𝑈𝐿}^2=\left(\frac{\sigma }{\mu }\right)^2\mathrm{𝐸𝐿}^2+\underset{A}{}\left[p_A\left(1+\left(\frac{\sigma }{\mu }\right)^2\right)p_A^2\right]\nu _A^2$$
(2)
There is a slight difference to the formula in CSFP (1997, Eq. 118). This is caused by the assumption made there that the default is modelled by a conditionally Poisson distributed random variable while here defaults are Bernoulli events555The derivation of the $`\mathrm{𝑈𝐿}`$-formula in CSFP (1997) makes use of probability generating functions as the exposures are banded. However, this is not necessary as shown in Bürgisser et al. (2001, Theorem 1).. However, in order to get a hand on the loss distribution, and not just the first and second moments, it is convenient to adopt the Poisson approximation and to make use of the probability generating function666For an introduction of probability generating functions and their properties see Fisz (2000). $`G(z)`$ which is defined as a power series of the form

$$G(z)=\underset{n=0}{\overset{\mathrm{}}{}}p(n)z^n.$$
(3)
Here $`p(n)`$ is the probability of losing the amount $`n`$ and $`z`$ is a formal variable. In order to compute the coefficients $`p(n)`$ we make the following assumptions: First, the exposures (net of recovery) are banded777I.e., the exposures (net of recovery) $`\nu _A`$ can be assumed to be integer values.. Second, the default events $`I_A`$, conditional on $`S`$, are approximated by independent Poisson variables, and third, the common risk factor $`S`$ is gamma-distributed with mean $`\mu =_Ap_A`$ and volatility $`\sigma `$.

With these assumptions, it turns out that the probability generating function of the portfolio loss satisfies the following relation (cf. CSFP, 1997, Eq. 68, and Bürgisser et al., 2001, Eq. 13).

$$G(z)=\left(1\frac{\sigma ^2}{\mu }(Q(z)1)\right)^\alpha ,$$
(4)
where $`\alpha =\mu ^2/\sigma ^2`$, and $`Q(z)=\mu ^1_Ap_Az^{\nu _A}`$ denotes the so-called *portfolio polynomial*. Equation (4) can be used to derive a recursive condition on the coefficients $`p(n)`$ which is due to Panjer (1980, 1981) (cf. also CSFP, 1997, Eq. 77, and Bürgisser et al., 2001, Eq. 14):

$$p(n)=\frac{1}{n(1+\sigma ^2/\mu )}\underset{j=1}{\overset{\mathrm{min}(m,n)}{}}\left(\underset{A:\nu _A=j}{}p_A\right)\left\{\alpha ^1n+\left(1\alpha ^1\right)j\right\}p(nj),$$
(5)
where $`m=\mathrm{deg}(Q)`$ is the largest exposure in the portfolio, and the initial value is given by $`p(0)=(1+\sigma ^2/\mu )^\alpha `$.

These equations can be extended to the case of several segments, i.e. to the case where the economy is described by a set of systematic risk factors $`S_1,\mathrm{},S_N`$. More specifically, under the assumption of independent segments with gamma-distributed factors, the extension for (5) is given in CSFP (1997, Eq. 77).

## 3 How to Measure Risk

A risk measure is a metric measuring the uncertainty of the portfolio loss. If a portfolio is given by an element of the set $`P:=\{\nu =(\nu _AA\text{ obligor})\}`$ where $`\nu _A`$ represents the exposure net of recovery of $`A`$, then the portfolio loss is given by (1), i.e. $`L=L(\nu )=_AI_A\nu _A`$. Formally, a risk measure is described by a function $`\rho :P`$, and for every portfolio $`\nu P`$, the number $`\rho (\nu )`$ is the risk of $`\nu `$.

There are two particularly popular examples of risk measures. One is the *standard deviation* (or *unexpected loss*, $`\mathrm{𝑈𝐿}`$),

$$\mathrm{𝑈𝐿}(\nu )=\sqrt{\mathrm{E}\left[\left(L(\nu )\mathrm{E}[L(\nu )]\right)^2\right]},$$
(6)
where $`L(\nu )`$ is defined by (1). The other is the *value-at-risk* ($`\mathrm{𝑉𝑎𝑅}`$) at level $`\delta `$, defined as the $`\delta `$-quantile of the portfolio loss $`L(\nu )`$:

$$\mathrm{𝑉𝑎𝑅}_\delta (\nu )=q_\delta (L(\nu ))=\mathrm{min}\left\{l:\mathrm{Pr}\left[L(\nu )l\right]\delta \right\}.$$
(7)
$`\mathrm{𝑈𝐿}`$ is popular mainly for its computational simplicity. The level $`\delta `$ of $`\mathrm{𝑉𝑎𝑅}`$ has an immediate interpretation as probability of solvency of the lender. However, both of these risk measures exhibit certain counter-intuitive properties (cf. Artzner et al., 1999). $`\mathrm{𝑈𝐿}`$ is not monotonous, i.e. it may happen that $`L(\nu ^{})L(\nu )`$ with probability 1 but $`\mathrm{𝑈𝐿}(\nu ^{})>\mathrm{𝑈𝐿}(\nu )`$. Moreover, $`\mathrm{𝑈𝐿}`$ does not distinguish the upside and downside potentials of portfolios.

The problem with $`\mathrm{𝑉𝑎𝑅}`$ is that it is in general not sub-additive. There may occur portfolios $`\nu `$ and $`\nu ^{}`$ such that $`\mathrm{𝑉𝑎𝑅}(\nu +\nu ^{})>\mathrm{𝑉𝑎𝑅}(\nu )+\mathrm{𝑉𝑎𝑅}(\nu ^{})`$. Translated into economic terms, this means that a $`\mathrm{𝑉𝑎𝑅}`$-investor may face situations where diversification does not pay.

The most promising alternative to $`\mathrm{𝑉𝑎𝑅}`$ seems to be *Expected Shortfall* ($`\mathrm{𝐸𝑆}`$) (or *Conditional Value-at-Risk (CVaR)*, Acerbi and Tasche, 2002, see, and Rockafellar and Uryasev, 2001). From its definition

$$\mathrm{𝐸𝑆}_\delta (\nu )=(1\delta )^1_\delta ^1q_u(L(\nu ))𝑑u$$
(8)
it is clear that $`\mathrm{𝐸𝑆}`$ dominates $`\mathrm{𝑉𝑎𝑅}`$ and hence preserves the interpretation in terms of solvency probability. More important, $`\mathrm{𝐸𝑆}`$ is fully coherent in the sense of Artzner et al. (1999). In particular, $`\mathrm{𝐸𝑆}`$ is sub-additive.

It can be shown (Acerbi and Tasche, 2002) that $`\mathrm{𝐸𝑆}_\delta `$ is a convex combination of $`\mathrm{𝑉𝑎𝑅}_\delta (\nu )`$ and the conditional expectation of $`L(\nu )`$ given that $`L(\nu )>q_\delta (L(\nu ))`$. As a consequence, $`\mathrm{𝐸𝑆}_\delta `$ will be very well approximated by $`\mathrm{E}[L(\nu )|L(\nu )>q_\delta (L(\nu ))]`$ if the probability $`\mathrm{Pr}[L(\nu )=q_\delta (L(\nu ))]`$ is small. This will be the case in particular in situations like those considered in the paper at hand. Here $`L(\nu )`$ represents the loss in a big loan portfolio. Therefore, in the sequel, we will make use of the conceptually simpler but slightly unprecise respresentation

$$\mathrm{𝐸𝑆}_\delta (\nu )=\mathrm{E}[L(\nu )|L(\nu )>q_\delta (L(\nu ))].$$
(9)
## 4 Contributions to Value at Risk

For risk measurement and management it is crucial to allocate the risk to individual obligors or groups of obligors. So, after the decision for a risk measure, a further decision concerning the risk allocation is necessary. CreditRisk+ defines the contribution $`C_A^{(\mathrm{𝑈𝐿})}`$ of obligor $`A`$ to the portfolio $`\mathrm{𝑈𝐿}`$ by

$$C_A^{(\mathrm{𝑈𝐿})}=\nu _A\frac{\mathrm{𝑈𝐿}(\nu )}{\nu _A}=\frac{\nu _A}{2\mathrm{𝑈𝐿}}\frac{\mathrm{𝑈𝐿}^2(\nu )}{\nu _A}=\frac{\nu _A\mathrm{cov}[I_A,L]}{\mathrm{𝑈𝐿}}.$$
(10)
This is a transparent and fast way of allocating risk to individual obligors. Note that the $`\mathrm{𝑈𝐿}`$ contributions sum up to $`\mathrm{𝑈𝐿}`$, i.e. $`_AC_A^{(\mathrm{𝑈𝐿})}=\mathrm{𝑈𝐿}`$. Actually, to define the contributions to portfolio risk by partial derivatives is the only way which is compatible to portfolio optimization (Tasche, 1999, Theorem 4.4).

Unfortunately, $`\mathrm{𝑉𝑎𝑅}`$ is not in general differentiable with respect to the exposures. However, as several authors (Hallerbach, 2003; Gouriéroux et al., 2000; Lemus, 1999; Tasche, 1999) noticed, in case when $`\mathrm{𝑉𝑎𝑅}`$ is differentiable, its derivative coincides with an expression that exists always under the assumptions of the CreditRisk+ model, namely

$$\frac{\mathrm{𝑉𝑎𝑅}_\delta (\nu )}{\nu _A}=\mathrm{E}[I_AL(\nu )=q_\delta (L(\nu ))].$$
(11)
$`\mathrm{E}[I_AL(\nu )=q_\delta (L(\nu ))]`$ is the conditional expectation of the Poisson variable $`I_A`$ given that the portfolio loss $`L(\nu )`$ assumes the worst case value $`q_\delta (L(\nu ))=\mathrm{𝑉𝑎𝑅}_\delta (\nu )`$. This observation suggests the definition of

$$C_A^{(\mathrm{𝑉𝑎𝑅}_\delta )}=\nu _A\mathrm{E}[I_AL(\nu )=q_\delta (L(\nu ))]$$
(12)
as the contribution of obligor $`A`$ to portfolio $`\mathrm{𝑉𝑎𝑅}`$ in the general case. As with $`\mathrm{𝑈𝐿}`$, also with Definition (12) of the $`\mathrm{𝑉𝑎𝑅}`$ contributions the additivity property holds, i.e. $`_AC_A^{(\mathrm{𝑉𝑎𝑅}_\delta )}=\mathrm{𝑉𝑎𝑅}_\delta `$.

Under the assumptions of Section 2 that have led to (4), one can show (see Appendix for a proof in the one segment case and Haaf and Tasche, 2002, for a different, general proof) that the expectation on the right-hand side of (12) is given by

$$\mathrm{E}_\alpha [I_AL=q_\delta (L)]=p_A\frac{\mathrm{Pr}_{\alpha +1}[L=q_\delta (L)\nu _A]}{\mathrm{Pr}_\alpha [L=q_\delta (L)]},$$
(13)
where subscript $`\alpha `$ means that expectation and probability stem from the original generating function (4) whereas subscript $`\alpha +1`$ means that the probability has to be derived from (4) with $`\alpha =\mu ^2/\sigma ^2`$ replaced by $`\alpha +1=\mu ^2/\sigma ^2+1`$.

Recall that $`\mathrm{E}_\alpha [I_AL=q_\delta (L)]`$ in (13) is an approximation for the probability of “obligor A has defaulted” conditional on the event that the sum of losses equals $`q_\delta (L)`$. By the definition of conditional probability, $`\mathrm{Pr}_{\alpha +1}[L=q_\delta (L)\nu _A]`$ therefore can be interpreted as an approximation of the probability of “sum of losses equals $`q_\delta (L)`$” conditional on “obligor A has defaulted”. Note that $`\mathrm{E}_\alpha [I_AL=q_\delta (L)]=0`$ can happen, see Haaf and Tasche (2002) for a detailed discussion of this case. In Section 6, the formula for the multi-segment case is provided.

Equations (12) and (13) show that in CreditRisk+ the $`\mathrm{𝑉𝑎𝑅}`$ contributions can be calculated by running the Panjer algorithm (see (5)) twice: once with $`\alpha =\mu ^2/\sigma ^2`$ and again with $`\alpha +1=\mu ^2/\sigma ^2+1`$. The set up of this second run is given by scaling all $`p_A`$ with the factor $`1+\alpha ^1`$, and the default volatility $`\sigma `$ with $`\sqrt{1+\alpha ^1}`$.

Martin et al. (2001) took (11) as point of departure for another approach to $`VaR`$ contributions by saddlepoint approximation. In the CreditRisk+ setting, the technique used to arrive at (13) yields simple formulas also for this approach (Haaf and Tasche, 2002).

## 5 Contributions to Expected Shortfall

Via the decomposition

$$\mathrm{E}[L(\nu )|L(\nu )>q_\delta (L(\nu ))]=\underset{A}{}\nu _A\mathrm{E}[I_A|L(\nu )>q_\delta (L(\nu ))]$$
(14)
Equation (9) suggests the definition of $`\mathrm{𝐸𝑆}`$ contributions as

$$C_A^{(\mathrm{𝐸𝑆}_\delta )}=\nu _A\mathrm{E}[I_A|L(\nu )>q_\delta (L(\nu ))].$$
(15)
This definition can be justified in a similar way as the definition of $`C_A^{(\mathrm{𝑉𝑎𝑅}_\delta )}`$ in (12).

From (13) we know how to calculate $`\mathrm{E}[I_AL(\nu )=q_\delta (L(\nu ))]`$ in the CreditRisk+ model. It is not hard to see that a similar formula obtains for $`\mathrm{E}[I_AL(\nu )>q_\delta (L(\nu ))]`$, namely

$$\mathrm{E}_\alpha [I_AL>q_\delta (L)]=p_A\frac{\mathrm{Pr}_{\alpha +1}[L>q_\delta (L)\nu _A]}{\mathrm{Pr}_\alpha [L>q_\delta (L)]},$$
(16)
where the subscripts $`\alpha `$ and $`\alpha +1`$ have the same meanings as in (13). Note that (16) can be calculated in finitely many steps since $`\mathrm{Pr}_{\alpha +1}[L>q_\delta (L)\nu _A]=1\mathrm{Pr}_{\alpha +1}[Lq_\delta (L)\nu _A]`$ and $`\mathrm{Pr}_\alpha [L>q_\delta (L)]=1\mathrm{Pr}_\alpha [Lq_\delta (L)]`$. This observation can be transferred to $`\mathrm{𝐸𝑆}`$ itself: The determination of the actual expected shortfall by the recursion-equation (5) requires that infinitely many elements are calculated. But applying the sum of all contributions $`_AC_A^{(\mathrm{𝐸𝑆}_\delta )}`$ using Equation (16) yields the expected shortfall precisely without knowing the tail beyond the corresponding $`\delta `$-quantile loss.

## 6 Extension to several segments

There are two possibilities to extend the concept of the contributions to expected shortfall (resp. value-at-risk) to several segments. First, one can make use of $`N`$ independent segments described by an $`N`$-tuple of independent systematic risk factors $`S_1,\mathrm{},S_N`$ which are gamma distributed. In this case one has to introduce factor loadings $`\omega _{Aj}`$ to be the portions of the default probability $`p_A`$ allocated to segment $`j`$. This means that $`\omega _{A0}=1_{j=1}^N\omega _{Aj}`$ is the specific weight of $`A`$ accounting for the idiosyncratic default risk. And, conditional on $`S_1,\mathrm{},S_N`$, the expectation of $`I_A`$ is given by

$$\mathrm{E}[I_A|S_1,\mathrm{},S_N]=p_A\frac{\omega _{A0}\mu _0+_{j=1}^N\omega _{Aj}S_j}{_{j=0}^N\omega _{Aj}\mu _j},$$
(17)
with $`\mu _j>0`$, $`j=1,\mathrm{},N`$, being the unconditional expectation of $`S_j`$ and $`\mu _00`$ being constant.

The extension of the $`\mathrm{𝑉𝑎𝑅}`$-contribution, as in Equation (13), to $`N`$ independent segments has the following form:

$$\mathrm{E}_\alpha [I_A|L=q_\delta (L)]=p_A\frac{{\displaystyle \underset{j=1}{\overset{N}{}}}\omega _{Aj}\mathrm{Pr}_{\alpha (j)}[L=q_\delta (L)\nu _A]+\omega _{A0}\mathrm{Pr}_\alpha [L=q_\delta (L)\nu _A]}{\mathrm{Pr}_\alpha [L=q_\delta (L)]},$$
(18)
where $`\alpha (j)=(\alpha _1,\mathrm{},\alpha _j+1,\mathrm{},\alpha _N)`$. The expression $`\mathrm{Pr}_{\alpha (j)}[L=q_\delta (L)\nu _A]`$ is obtained by evaluating the corresponding element of the multivariate recursion of Equation (5) (cf. CSFP, 1997, Eq. 77 for $`N`$ independent segments) where the $`j`$-th gamma distribution is specified by the pair $`(\alpha _j+1,\beta )`$.

Similarly, by replacing the equality signs in $`\mathrm{P}_{\alpha (j)}`$ with inequalities $`>`$ one obtains the corresponding formula for the contribution to $`\mathrm{𝐸𝑆}`$ for $`N`$ independent segments.

However, a segmentation with independent segments is rather restricting. A dependence structure between the obligors is achieved by apportioning the default probabilities to the orthogonal factors as done with the $`\omega _{Aj}`$. This is rather arbitrary, and therefore creates an additional source of uncertainty. These factors typically represent the default behavior of industrial sectors or geographical areas etc., and as such mostly incorporate significant correlations between them.

To get around the restriction of independent segments one can introduce the correlation matrix of the $`N`$ gamma variables $`S_1,\mathrm{},S_N`$, and can match the $`\mathrm{𝑈𝐿}`$-formula of the loss distribution for these $`N`$ segments with the corresponding one segment $`\mathrm{𝑈𝐿}`$-formula (see Equation (2)). This procedure is introduced in Bürgisser et al. (1999, Eq. (13)). Now, the portfolio is unified to one segment, and the contributions to $`\mathrm{𝑉𝑎𝑅}`$ and $`\mathrm{𝐸𝑆}`$ are determined as in the previous sections following Equations (13) resp. (16). This method is simple and fast. However, it destroys information about dependence and the contributions tend to the middle since the matched dependence structure is given by one volatility which turns out to be some average of the segment volatilities.

Orthogonalization of segment correlations does not represent an alternative because the process of orthogonalization is not unique. It can be shown by examples that significant differences in $`\mathrm{𝑉𝑎𝑅}`$, $`\mathrm{𝐸𝑆}`$ and their contributions show up.

## 7 Numerical Example

We want to show that the risk contributions according to the expected shortfall $`\mathrm{𝐸𝑆}`$ and value-at-risk $`\mathrm{𝑉𝑎𝑅}`$ may significantly differ from the risk contributions according to the standard deviation. We will do so by using a wholesale bank portfolio that includes a retail subportfolio as well as commercial loans of various sizes. The following table describes the portfolio which is characterized by the loan sizes given in the first line.

|  | segment 1 | | segment 2 | | | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Exposure per obligor \[in Mio CHF\] | 1 | 1 | 10 | 20 | 100 | 500 | 1’000 | 2’000 |
| \# obligors | 10’000 | 10’000 | 1’000 | 500 | 100 | 10 | 2 | 1 |
| PD for each obligor | 0.5% | 1% | 1% | 1.75% | 1.75% | 1.25% | 0.70% | 0.30% |
| Exposure in class \[in Mio CHF\] | 10’000 | 10’000 | 10’000 | 10’000 | 10’000 | 5’000 | 2’000 | 2’000 |
| Exposure in % of total | 16.9% | 16.9% | 16.9% | 16.9% | 16.9% | 8.5% | 3.4% | 3.4% |

We assume that all loan exposures are given net of recovery. As indicated in the table we further assume a segmentation with two segments: The loans of exposure $`1`$ Mio CHF form segment $`1`$ (i.e. the retail segment), and all others build the second segment (commercial segment).

Using the portfolio in Table 7, we are going to present three different cases for the computation of $`\mathrm{𝐸𝑆}`$, $`\mathrm{𝑉𝑎𝑅}`$, $`\mathrm{𝑈𝐿}`$ and the corresponding contributions. The first case is characterized by the segment volatilities $`\sigma _1,\sigma _2`$ of default rates and independence of segments $`1`$ and $`2`$, where we use Equation (18) for determining the $`\mathrm{𝑉𝑎𝑅}`$\- (resp. $`\mathrm{𝐸𝑆}`$-) contributions. In the second run we take the same segment volatilities as in the first case, but now we use the method of moment matching888Here we assume zero correlation whereas in case 1 we assume independence. Note that uncorrelatedness of two gamma distributions does not imply their stochastic independence. as described in the last paragraph of Section 6. In the last case we even introduce correlations between both segments and use again the moment matching method to calculate the contributions (see Table 7). Note that the covariance of 0.21 in the last case corresponds to a $`70\%`$ correlation between the segments. The segment volatilities $`\stackrel{~}{\sigma }_i`$ are given in terms of their relative means; e.g., the volatility $`\sigma _1`$ of defaults in segment $`1`$ for all three cases is $`\stackrel{~}{\sigma }_1=\sqrt{0.16}`$ times the expected number of defaults in segment $`1`$, hence $`\sigma _1=\sqrt{0.16}\times 0.75\%\times 10^{}000`$. The following table gives the exact description for these three cases.

| Case name | dependence structure | Total exposure | $`\mathrm{𝐸𝐿}`$ | $`\mathrm{𝐸𝐿}`$ in % | $`\mathrm{𝑈𝐿}`$ | $`\mathrm{𝑈𝐿}/\mathrm{𝐸𝐿}`$ | $`\mathrm{𝑉𝑎𝑅}`$ | $`\mathrm{𝐸𝑆}`$ |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| independence | $`\stackrel{~}{\sigma }_1=\sqrt{0.16}`$  $`\stackrel{~}{\sigma }_2=\sqrt{0.56}`$ | 59’000 | 682 | 1.16% | 490 | 72% | 2’434 | 2’915 |
| zero-correlation | $`\left(\begin{array}{cc}0.16& 0\\ 0& 0.56\end{array}\right)`$ | 59’000 | 682 | 1.16% | 490 | 72% | 2’357 | 2’805 |
| correlation | $`\left(\begin{array}{cc}0.16& 0.21\\ 0.21& 0.56\end{array}\right)`$ | 59’000 | 682 | 1.16% | 523 | 77% | 2’481 | 2’954 |

Observe that independence does not necessarily lead to the lowest possible risk measure. The following three tables list the segment contributions to the measures of risk for the three cases described above: standard deviation $`\mathrm{𝑈𝐿}`$, $`99`$-percentile $`\mathrm{𝑉𝑎𝑅}`$, and $`\mathrm{𝐸𝑆}`$ at $`99\%`$. In order to compare the contributions we give the ratios of the relative contributions per exposure class for the three risk measures.

| independence | segment 1 | | segment 2 | | | | | | portfolio totals |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Exposure per obligor | 1 | 1 | 10 | 20 | 100 | 500 | 1’000 | 2’000 | 59’000 |
| PD for each obligor | 0.5% | 1% | 1% | 1.75% | 1.75% | 1.25% | 0.70% | 0.30% |  |
| $`C^{\left(\mathrm{𝑈𝐿}\right)}`$ | 3 | 5 | 63 | 113 | 141 | 101 | 37 | 28 | 490 |
| $`C^{\left(\mathrm{𝑉𝑎𝑅}\right)}`$ | 52 | 105 | 282 | 503 | 581 | 434 | 229 | 247 | 2’434 |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}`$ | 53 | 105 | 312 | 555 | 643 | 478 | 264 | 504 | 2’915 |
| $`C^{\left(\mathrm{𝑉𝑎𝑅}\right)}\%/C^{\left(\mathrm{𝑈𝐿}\right)}\%`$ | 4.15 | 4.15 | 0.91 | 0.89 | 0.83 | 0.87 | 1.26 | 1.78 |  |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}\%/C^{\left(\mathrm{𝑉𝑎𝑅}\right)}\%`$ | 0.84 | 0.84 | 0.92 | 0.92 | 0.92 | 0.92 | 0.96 | 1.71 |  |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}\%/C^{\left(\mathrm{𝑈𝐿}\right)}\%`$ | 3.47 | 3.48 | 0.83 | 0.82 | 0.77 | 0.80 | 1.21 | 3.03 |  |

| zero-correlation | segment 1 | | segment 2 | | | | | | portfolio totals |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Exposure per obligor | 1 | 1 | 10 | 20 | 100 | 500 | 1’000 | 2’000 | 59’000 |
| PD for each obligor | 0.5% | 1% | 1% | 1.75% | 1.75% | 1.25% | 0.70% | 0.30% |  |
| $`C^{\left(\mathrm{𝑈𝐿}\right)}`$ | 3 | 5 | 63 | 113 | 141 | 101 | 37 | 28 | 490 |
| $`C^{\left(\mathrm{𝑉𝑎𝑅}\right)}`$ | 116 | 233 | 237 | 423 | 499 | 410 | 234 | 205 | 2’357 |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}`$ | 123 | 245 | 250 | 447 | 526 | 428 | 262 | 524 | 2’805 |
| $`C^{\left(\mathrm{𝑉𝑎𝑅}\right)}\%/C^{\left(\mathrm{𝑈𝐿}\right)}\%`$ | 9.49 | 9.49 | 0.78 | 0.78 | 0.74 | 0.85 | 1.33 | 1.53 |  |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}\%/C^{\left(\mathrm{𝑉𝑎𝑅}\right)}\%`$ | 0.89 | 0.89 | 0.89 | 0.89 | 0.89 | 0.88 | 0.94 | 2.15 |  |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}\%/C^{\left(\mathrm{𝑈𝐿}\right)}\%`$ | 8.41 | 8.42 | 0.70 | 0.69 | 0.65 | 0.74 | 1.25 | 3.27 |  |

| correlation | segment 1 | | segment 2 | | | | | | portfolio totals |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Exposure per obligor | 1 | 1 | 10 | 20 | 100 | 500 | 1’000 | 2’000 | 59’000 |
| PD for each obligor | 0.5% | 1% | 1% | 1.75% | 1.75% | 1.25% | 0.70% | 0.30% |  |
| $`C^{\left(\mathrm{𝑈𝐿}\right)}`$ | 13 | 26 | 65 | 117 | 143 | 98 | 35 | 27 | 523 |
| $`C^{\left(\mathrm{𝑉𝑎𝑅}\right)}`$ | 128 | 255 | 259 | 462 | 536 | 400 | 211 | 230 | 2’481 |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}`$ | 139 | 279 | 284 | 506 | 588 | 444 | 247 | 466 | 2’954 |
| $`C^{\left(\mathrm{𝑉𝑎𝑅}\right)}\%/C^{\left(\mathrm{𝑈𝐿}\right)}\%`$ | 2.06 | 2.06 | 0.84 | 0.84 | 0.79 | 0.86 | 1.26 | 1.83 |  |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}\%/C^{\left(\mathrm{𝑉𝑎𝑅}\right)}\%`$ | 0.92 | 0.92 | 0.92 | 0.92 | 0.92 | 0.93 | 0.99 | 1.70 |  |
| $`C^{\left(\mathrm{𝐸𝑆}\right)}\%/C^{\left(\mathrm{𝑈𝐿}\right)}\%`$ | 1.89 | 1.89 | 0.78 | 0.77 | 0.73 | 0.80 | 1.24 | 3.10 |  |

Note that in all cases the retail loans (CHF $`1`$ Mio), and particularly the large lumpy loans contribute more to Expected Shortfall $`\mathrm{𝐸𝑆}`$ (and to $`\mathrm{𝑉𝑎𝑅}`$) than they do to $`\mathrm{𝑈𝐿}`$, which shows that $`\mathrm{𝐸𝑆}`$ measures concentration more sensitively. For the large loans this is quite intuitive, since once a tail loss above $`\mathrm{𝑉𝑎𝑅}`$ is reached, the (lumpy) large loans more often contribute by their defaults. But apparently, a significantly large amount of small loans also suffices to produce a large loss. In case 1 the contributions for $`\mathrm{𝑉𝑎𝑅}`$ and $`\mathrm{𝐸𝑆}`$ almost coincide for loans in segment 1, whereas they increasingly diverge for increasing loan amounts.

Note that in the ’zero-correlation’ case (Table 7) the $`\mathrm{𝑈𝐿}`$-contributions are calculated based on the corresponding covariance matrix (cf. Bürgisser et al., 1999, Equation (15)) whereas the $`\mathrm{𝐸𝑆}`$\- and $`\mathrm{𝑉𝑎𝑅}`$-contributions are calculated based on the matched one segment approach. This causes the large differences in the relative contributions of segment $`1`$. Calculating the $`\mathrm{𝑈𝐿}`$-contributions based on the matched one segment approach would lead to a ratio in the range of one for $`C^{(\mathrm{𝐸𝑆})}\%/C^{(\mathrm{𝑈𝐿})}\%`$ in segment $`1`$. Applying one volatility for the entire portfolio causes a shift of the contributions to the ’average’. The exposure classes 1 and 10, both with $`p_A=1\%`$ have the same total exposure and very similar contributions for the cases ’zero-correlation’ and ’correlation’. But in the ’independence’ case their contributions differ very much (e.g. 105 vs. 312 for $`\mathrm{𝐸𝑆}`$).

Introducing correlations we see a large increase in the $`\mathrm{𝑈𝐿}`$-contributions in segment $`1`$ whereas they remain quite stable in the other segment. The $`\mathrm{𝐸𝑆}`$-contributions increase by approximately $`10\%`$, except for both largest exposure classes, where a decrease of up to more than $`10\%`$ is realized. The changes of $`\mathrm{𝑉𝑎𝑅}`$-contributions are similar but smaller, with the exception of the $`\mathrm{𝑉𝑎𝑅}`$-contribution reduction in exposure class $`500`$.

## 8 Conclusion

We have introduced an analytical approach to calculate contributions to $`\mathrm{𝑉𝑎𝑅}`$ and $`\mathrm{𝐸𝑆}`$ of a credit loss distribution in the CreditRisk+ framework. The formulas we have derived are easy to implement. The time consumption of calculating these contributions for all obligors is the same as for calculating the loss distribution in the moment matching case of CreditRisk+.

The results show that $`\mathrm{𝑉𝑎𝑅}`$\- and $`\mathrm{𝐸𝑆}`$-contributions may differ significantly from $`\mathrm{𝑈𝐿}`$-contributions, in particular for large exposures. Moreover, especially $`\mathrm{𝐸𝑆}`$ is sensitive to concentrations coming from large loans which represent a source for stress losses in a loan portfolio. Hence, if a bank wants to actively manage its loan portfolio whose performance is measured (among others) by tail losses, it should take into account that such tail events are composed quite differently when measured by expected shortfall instead by standard deviation (or a multiple thereof).

Acknowledgements. The authors thank Isa Cakir, Bernd Engelmann, and Armin Wagner for helpful suggestions and valuable remarks. Alexandre Kurth works in the unit responsible for modeling credit risk at “UBS Wealth Managment & Business Banking Division” of UBS AG. Dirk Tasche has a position in the banking supervision department of Deutsche Bundesbank. Opinions expressed in this article are those of the authors and do not necessarily reflect the opinions of UBS or Deutsche Bundesbank.

## Appendix

We sketch here the proof of Equation (13). Denote as usual by $`I_{\{L=t\}}`$ the indicator function of the event $`\{L=t\}`$, i.e. $`I_{L=t}=1`$ if $`L=t`$ and $`I_{L=t}=0`$ otherwise. By definition, we have

$$\mathrm{E}_\alpha [I_AL=q_\delta (L)]=\frac{\mathrm{E}_\alpha [I_AI_{\{L=q_\delta (L)\}}]}{\mathrm{Pr}_\alpha [L=q_\delta (L)]}.$$
(19)
We will now compute the generating function of the sequence $`t\mathrm{E}_\alpha [I_AI_{\{L=t\}}]`$ which is defined as the function

$$z\mathrm{E}_\alpha [I_Az^L]=\underset{t=0}{\overset{\mathrm{}}{}}\mathrm{E}_\alpha [I_AI_{\{L=t\}}]z^t.$$

Since in the CreditRisk+ model, conditional on the intensity $`S`$, $`I_A`$ is approximated by a Poisson variable with intensity $`\frac{p_A}{\mu }S`$ and the default events are assumed to be conditionally independent, we obtain

$`\mathrm{E}_\alpha [I_AI_{\{L=t\}}]`$ $`={\displaystyle \underset{k=0}{\overset{\mathrm{}}{}}}k\mathrm{Pr}_\alpha [I_A=k,{\displaystyle \underset{BA}{}}\nu _BI_B=t\nu _Ak]`$
$`={\displaystyle \underset{k=1}{\overset{\mathrm{}}{}}}k\mathrm{E}_\alpha \left[(k!)^1\left({\displaystyle \frac{p_A}{\mu }}S\right)^ke^{\frac{p_A}{\mu }S}\mathrm{Pr}_\alpha [{\displaystyle \underset{BA}{}}\nu _BI_B=t\nu _Ak|S]\right]`$
$`={\displaystyle \frac{p_A}{\mu }}{\displaystyle \underset{k=0}{\overset{\mathrm{}}{}}}\mathrm{E}_\alpha \left[S\mathrm{Pr}_\alpha [I_A=k|S]\mathrm{Pr}_\alpha [{\displaystyle \underset{BA}{}}\nu _BI_B=t\nu _A(k+1)|S]\right]`$
$`={\displaystyle \frac{p_A}{\mu }}\mathrm{E}_\alpha [SI_{\{L=t\nu _A\}}].`$ (20)
Equation (20) implies

$$\mathrm{E}_\alpha [I_Az^L]=\frac{p_A}{\mu }z^{\nu _A}\mathrm{E}_\alpha [Sz^L].$$
(21)
Under the assumption of a gamma-distributed factor $`S`$ and the conditional Poisson distribution and independence of the variables $`I_A`$, it turns out that the expectation $`\mathrm{E}_\alpha [Sz^L]`$ can be calculated the same way as $`\mathrm{E}_\alpha [z^L]=G(z)`$, the generating function of the loss $`L`$. The result of the calculation is quite similar, namely (with the same notation as in (4))

$$\mathrm{E}_\alpha [Sz^L]=\mu \left(1\frac{\sigma ^2}{\mu }(Q(z)1)\right)^{(\alpha +1)}.$$
(22)
From (22) and (21) we conclude

$`\mathrm{E}_\alpha [I_Az^L]`$ $`=p_Az^{\nu _A}\left(1(\sigma ^2/\mu )(Q(z)1)\right)^{(\alpha +1)}`$
$`=p_A\mathrm{E}_{\alpha +1}[z^{L+\nu _A}].`$ (23)
Recall that both sides of (23) can be written as power series. Hence we can conclude that

$$\mathrm{E}_\alpha [I_AI_{\{L=t\}}]=p_A\mathrm{Pr}_{\alpha +1}[L=t\nu _A]$$
(24)
for $`t=0,1,2,\mathrm{}`$. Choosing $`t=q_\delta (L)`$ now proves (13).


text:
# The possible origin of the faint fuzzy star clusters in NGC 1023

## 1 Introduction

During a recent search for globular clusters (GC) in NGC 1023, a lenticular galaxy at approximately $`9`$ Mpc distance, Larsen & Brodie (2000) found faint objects ($`23V24`$ mag) that have GC luminosities but effective radii ($`=`$ half-light radii) of $`7`$ to $`15`$ pc which is much larger than ordinary GCs that have effective radii of $`2`$ to $`3`$ pc. Using spectra obtained with the Keck telescope they (Brodie & Larsen 2002) confirmed that these objects belong to NGC 1023 and have ages of about $`7`$ to $`8`$ Gyr, are moderately metal rich ($`[\mathrm{Fe}/\mathrm{H}]=0.58\pm 0.24`$) while showing a super-solar $`\alpha `$-element abundance ($`[\alpha /\mathrm{Fe}]=+0.3`$ to $`+0.6`$). While GC are usually connected with the spherical component of a galaxy, these new objects appear to be situated in the disc of NGC 1023. The distribution of these objects shows rotation around the galaxy. The authors conclude that they have found a new class of star clusters which they call “faint fuzzies”.

NGC 1023 has a dwarf companion (NGC 1023A) with which it is steadily interacting, and due to its lenticular appearance it probably suffered from interactions and mergers in the past leading to strong star formation events.

Interactions between gas-rich galaxies lead to strong star formation events. For example, HST-images of the Antennae reveal (Whitmore et al. 1999) that the knots of intense star formation produce clusters of massive young star clusters. These “super-clusters” ($`=`$ clusters of star clusters; not to be confused with super stellar clusters (SSC), which are individual massive star clusters) appear to contain dozens to hundreds of massive star clusters within a region spanning a few hundred pc to a kpc in diameter.

Here we report N-body results concerning the dynamical evolution of such super-clusters. The resulting merger objects have similar properties as the “faint fuzzies”.

## 2 Simulations

We use the particle-mesh code Superbox (Fellhauer et al. 2000) which incorporates a hierarchical grid architecture allowing high resolution at the places of interest.

We model the single star clusters as Plummer spheres (Plummer 1911, numerical realisation: Aarseth et al. 1974) with a Plummer radius of $`4`$ pc, which corresponds to the mean half-light radius found for the individual young star clusters in the Antennae (Whitmore et al. 1999). $`N_0=262`$ star clusters with a mass range of $`10^410^6`$ M following a power-law mass spectrum,

$`n(M_{\mathrm{cl}})`$ $``$ $`M_{\mathrm{cl}}^{1.5},`$ (1)
are placed in a Plummer distribution with Plummer radius $`r_{\mathrm{pl}}^{\mathrm{sc}}`$ representing the super-cluster. The super-cluster orbits on an eccentric orbit around the host galaxy represented by an analytical potential, which consists of a disc modelled as a Plummer-Kuzmin potential and a spherical halo component modelled as a logarithmic potential:

$`\mathrm{\Phi }_{\mathrm{gal}}`$ $`=`$ $`\mathrm{\Phi }_{\mathrm{disc}}+\mathrm{\Phi }_{\mathrm{halo}}`$
$`=`$ $`{\displaystyle \frac{GM_{\mathrm{disc}}}{\sqrt{R^2+(a+\sqrt{z^2+b^2})^2}}}{\displaystyle \frac{1}{2}}v_0^2\mathrm{ln}(R_{\mathrm{gal}}^2+R^2),`$
with $`M_{\mathrm{disc}}=10^{11}`$ M, $`a=3`$ kpc, $`b=0.3`$ kpc, $`v_0=200`$ km/s and $`R_{\mathrm{gal}}=50`$ kpc which sums up to an almost flat rotation curve with a rotation speed of $`220`$ kms-1.

Several simulations with different values for the scale length $`r_{\mathrm{pl}}^{\mathrm{sc}}`$ of the super-cluster, different initial masses $`M_{\mathrm{sc}}`$ of the super-cluster and different orbits around the host galaxy are performed to study the evolution of the resulting merger object. The computational setup closely follows that used in previous studies (Fellhauer et al. 2002; Fellhauer & Kroupa 2002).

It is possible to follow the evolution with a particle-mesh code that neglects dynamical effects of two-body relaxation, because the half-mass (bulk) two-body relaxation times of the single star clusters, which can be estimated by (Binney & Tremaine 1987)

$`t_{\mathrm{relax}}`$ $`=`$ $`{\displaystyle \frac{664}{\mathrm{ln}(0.5N)}}\left({\displaystyle \frac{M_{\mathrm{cl}}}{10^5\mathrm{M}_{}}}\right)^{1/2}\left({\displaystyle \frac{1\mathrm{M}_{}}{\overline{m}}}\right)\left({\displaystyle \frac{r_{0.5}}{1\mathrm{p}\mathrm{c}}}\right)^{3/2}\mathrm{Myr},`$ (3)
is $`800`$ Myr for a $`10^4`$ M star cluster ranging up to $`4.4`$ Gyr for a $`10^6`$ M star cluster, while the merging timescale is much shorter (Fellhauer et al. 2002). Furthermore, as shown below, the resulting merger objects have relaxation times of a Hubble-time or longer.

## 3 Results

In a previous paper (Fellhauer et al. 2002) it was shown that the star clusters inside a super-cluster merge within a few crossing times of the super-cluster (typically $`50`$ to $`500`$ Myr). The resulting merger objects are stable and compact. Their masses range from being similar to GCs, in cases where the tidal field removes a large fraction of the individual clusters leaving merger objects consisting of only a few star clusters. On the other hand, when the super-cluster is sufficiently concentrated and the tidal field is correspondingly weak the merger object evolves to become an ultra-compact dwarf galaxy (UCD) (Fellhauer & Kroupa 2002), a new class of objects discovered recently in the Fornax galaxy cluster (Phillipps et al. 2002; Hilker et al. 1999). To show the different results of a wide range of our simulations we plot the effective radii and the masses of the merger objects as a function of the Plummer radius of the super-cluster (Fig. 1). Even if tidal forces are strong, compact and massive super-clusters evolve into extended objects with lifetimes significantly longer than $`5`$ Gyr although they orbit well inside the disc.

Here we give the results of a simulation (OC03, filled box in Fig. 1) where the super-cluster was placed on an orbit within the galactic disc which accounts for the scenario in NGC 1023. The resulting merger object is far too massive to be one of the “faint fuzzies” found in NGC 1023, rather resembling an object like $`\omega `$-Cen in our Milky Way but with two additional simulations we show that these results still hold for less massive objects like the faint extended star clusters in NGC 1023.

The super-cluster has initially a Plummer radius of $`r_{\mathrm{pl}}^{\mathrm{sc}}=50`$ pc and a cut-off radius of $`250`$ pc. It contains 262 star clusters following the power law of Eq. 1 with a total mass of $`10^7`$ M. The crossing time of the super-cluster is $`t_{\mathrm{cr}}^{\mathrm{sc}}=10.4`$ Myr and the internal velocity dispersion of the clusters in the super-cluster is $`\sigma _{\mathrm{sc}}=15.9`$ kms-1. Additionally we choose the sense of rotation of all clusters in the super-cluster to be the same to investigate the resulting rotation-law of the merger object. A super-cluster is expected to rotate if it forms from a contracting and locally differentially rotating inner tidal arm. The super-cluster is placed on an eccentric orbit with perigalacticon at $`2.1`$ kpc and apogalacticon at $`7.5`$ kpc. The orbit is inclined such that the maximum $`Z`$-distance from the disc plane is about $`2`$ kpc. The parameters are chosen to be representative of the knots seen to contain many star clusters in the Antennae galaxies (Fellhauer & Kroupa 2002), while the orbital inclination is motivated by the orbit of $`\omega `$-Cen (Dinescu et al. 1999). A possible link between $`\omega `$-Cen and merged super-clusters has already been pointed out by Fellhauer & Kroupa (2002).

Within the first $`250`$ Myr a merger object forms with a bound mass of about $`310^6`$ M. The half-mass radius of this object is $`18`$ pc and the $`90`$% Lagrangian-radius is of the order of $`110`$ pc at that time. The surface density profile of the merger object follows a shallow power law of $`\mathrm{\Sigma }r^{2.5}`$ as shown in Fig. 2a. The 3-dimensional central velocity dispersion is $`\sigma _{3D}=21.8`$ kms-1 (Fig. 3a). It also shows a maximum rotation velocity of about $`5`$ kms-1 at a distance of about $`12`$ pc from the centre (Fig. 3a). The bulk relaxation time (Eq. 3) of the merger object is $`50`$ Gyr which is longer than the age of the universe.

The tidal radius calculated using the equation 7-84 from Binney & Tremaine (1987)

$`r_{\mathrm{tidal}}(D)`$ $`=`$ $`\left({\displaystyle \frac{M_{\mathrm{mo}}}{3M_{\mathrm{gal}}(D)}}\right)^{1/3}D,`$ (4)
where $`D`$ denotes the distance to centre of the galaxy and $`M_{\mathrm{gal}}(D)`$ is the enclosed mass of the galaxy at that distance and $`M_{\mathrm{mo}}`$ is the bound mass of the merger object, is about $`84`$ pc at perigalacticon. Therefore the object becomes tidally shaped and looses mass with every perigalacticon passage. After $`5`$ Gyr of simulation time the merger object has lost about half its mass (Fig. 5a). The central surface density drops down to $`7500`$ Mpc-2. The profile can be fitted with a King profile with King radius ($`=`$ effective radius) of $`6`$ pc. An alternative fit is an exponential profile in the inner part ($`\mathrm{\Sigma }e^{r/6\mathrm{p}\mathrm{c}}`$) and a steep power law with $`\mathrm{\Sigma }r^{5.5}`$ for the outer part (Fig. 2b). The half-mass radius has shrunk down to $`11.6`$ pc, the $`90`$% Lagrangian-radius to $`27`$ pc. The tidal radius is determined to be $`68`$ pc at the last perigalacticon and $`127`$ pc at the actual position. Also the central velocity dispersion and the maximum rotation speed has dropped as shown in Fig. 3b. The bulk relaxation time (following Eq. 3) of the merger object is now $`t_{\mathrm{relax}}20`$ Gyr.

The two additional simulations have $`N_0=20`$ star clusters initially with masses of $`10^4`$ M ($`M_{\mathrm{sc}}=2\times 10^5`$ M) (OC07) and $`5\times 10^4`$ M ($`M_{\mathrm{sc}}=10^6`$ M) (OC08) respectively. The Plummer-radii of the super-clusters are chosen to be $`20`$ pc. The orbits of the super-clusters have the same eccentricity as in the first simulation but are placed in the $`X`$-$`Y`$-plane of the galaxy instead of being inclined.

In the OC07 simulation a merger object containing $`14`$ out of the initial $`20`$ star clusters develops after $`100`$ Myr. After $`5`$ Gyr this merger object has a bound mass of $`1.810^4`$ M (Fig. 5a) and a tidal radius of $`24`$ pc. It’s surface density profile can be fitted with a King profile with a central surface density of $`240`$ Mpc-2 and a King radius (which corresponds to the effective radius) of $`5.9`$ pc. Fitting an exponential profile to the inner part gives $`\mathrm{\Sigma }_{\mathrm{exp}}=250`$ Mpc-2 and an exponential scale length of about $`4`$ pc. The outer part can again be fitted with a steep power law $`\mathrm{\Sigma }r^{5.9}`$ (Fig. 4a). The central line-of-sight velocity dispersion is $`1.4`$ kms-1.

The OC08 simulation shows a merger object which developed out of $`18`$ star clusters. Again the merging process is finished after about $`100`$ Myr. The mass of the merger object after $`5`$ Gyr is $`410^5`$ M (Fig. 5a) and the tidal radius is $`70`$ pc. Fitting a King profile to the surface density distribution (Fig. 4b) gives the following values: central surface density of $`1500`$ Mpc-2 and an effective radius of $`7.5`$ pc. The exponential fit has the values $`1400`$ Mpc-2 and $`r_{\mathrm{exp}}=7.5`$ pc. The power law fit to the outer part has an power-law index of $`6.0`$.

The above results (total mass and central surface density) can be converted to total blue luminosity and central surface brightness using mass-to-light ratios taken from a single stellar population model of Starburst99 (Leitherer et al. 1999). The programme adopts a Salpeter IMF. Therefore, we choose a minimum stellar mass of $`0.3`$ M and a maximum mass of $`100`$ M. Note that we truncate the Salpeter IMF at $`0.3`$ M. This roughly accounts for the flattening of the IMF below $`0.5`$ M (Kroupa 2002). The evolution of $`M/L_B`$ with time is shown in Fig. 5b as obtained as a result of stellar evolution from Starburst99. We stop the photometric evolution from Starburst99 when $`M/L_B=3.0`$ is reached because Starburst99 overestimates the $`M/L`$ at high ages quite substantially. Instead we take a linear fading with time as proposed by the models of Bruzual & Charlot (1993) of $`2`$ magnitudes from $`3`$ to $`15`$ Gyr. This enables us to place the evolutionary track of our merger objects into a central surface brightness, $`\mu _{0,\mathrm{B}}`$, vs absolute photometric B-band magnitude, $`M_\mathrm{B}`$, diagram (the Kormendy diagram; Fig. 6). The endpoint of the evolution of our merger objects is also the region where the “faint fuzzies” are located. The faint fuzzies have total luminosities of about $`M_V=7`$ (Larsen & Brodie 2002). We estimate their location in the Kormendy diagram in the following way. First we set $`M_V+1.0=M_B`$ (i.e. adopting $`(BV)=1.0`$ as an admissible approximation for the diagram) then we convert the total luminosity into a total mass using $`M/L=3.0`$. With this mass we calculate the tidal radius in our model potential and orbit ($`r_{\mathrm{tidal}}50`$ pc) and adopt an effective (or King-) radius of $`10`$ pc. Using a King profile we estimate the central surface brightness to be $`\mu _{0,B}22.3`$ mag.

## 4 Conclusions

S0 (lenticular) galaxies are commonly believed to have suffered from interactions with other galaxies which transformed their morphology from a late-type spiral into their early-type form (Kennicutt 1998; Abraham & van den Bergh 2001). Therefore the type of NGC 1023 tells us that this galaxy suffered maybe several but at least one strong interaction (merger) with another galaxy. As is seen in interacting galaxies these events lead to an enhanced star formation activity and to an enhanced rate of super nova explosions of massive stars which accounts for the super-solar enhancement of $`\alpha `$-elements. Many of the new stars mostly form in star clusters which are also grouped in super-clusters, as is demonstrated by the Antennae and Stephan’s Quintet (Gallagher et al. 2001). These super-clusters are bound entities and form, through successive mergers of their constituent star clusters, new objects which are larger than ordinary GCs. Our simulations show that even strong tidal fields are not able to destroy these objects and they survive for a Hubble-time.

The “faint fuzzies” found in NGC 1023 may have therefore formed as super-clusters during the interactions and the resulting star bursts that shaped NGC 1023. Like in the Antennae the super-clusters were born within the galaxy and not in the outer tidal tails. Therefore the “faint fuzzies”, which one can call extended globular clusters or small ultra-compact dwarf galaxies by virtue of their long two-body relaxation time, stay within the optically visible galaxy and show a similar rotation pattern like the disc. These objects can be old because they are able to survive until the present, they may be rotating and have different populations of stars if old field stars were captured by the young super-cluster.

Given the ubiquity of young super-clusters in the Antennae and Stephan’s Quintet, it appears reasonable to expect that such objects form whenever strong star bursts occur. It is therefore exciting, but retrospectively not very surprising, that “faint fuzzies” were discovered in a lenticular galaxy.

Super-clusters that form in outer tidal tails may leave the mother galaxy either by being ejected by the merging galaxies or become unbound due to a tidal field from the galaxy cluster. Such merger objects will appear similar to the UCDs in Fornax (Fig. 7). A related object may be $`\omega `$-Cen in our Milky Way, which is quite different and more massive than the other GCs. It incorporates at least two different populations of stars and shows a rotation-law resembling that of our merger object (Freeman 2001). $`\omega `$-Cen is quite old and could therefore be a relic of a star-burst during the formation of the Milky Way. We are investigating the hypothesis that $`\omega `$-Cen may also be related to super-clusters. Fig. 7 summarises in a schematic way the possible evolutionary paths and resulting objects that may form under this hypothesis.

MF acknowledges financial support through DFG-grant FE564/1-1. MF also acknowledges the support of the European Commission through grant number HPRI-1999-CT-00026 (the TRACS programme at EPCC).


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# Tunneling properties of quantum dot arrays in strong magnetic field

## References


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# Detectibility of Hydrogen Mixing in Type Ia Supernova pre-Maximum Spectra

## 1 Introduction

Type Ia supernovae (SNe Ia) are now considered to be among the best “standardizable candles” available (Phillips et al., 1999), and they are the tool of choice for observational cosmology (Perlmutter et al., 1999; Riess et al., 1998; Riess, 2000; Goldhaber et al., 2001). However, the progenitor system remains in doubt (for a review see Branch et al., 1995). The most widely accepted current view is that a C+O white dwarf accretes hydrogen (or perhaps helium) from a companion star until it reaches the Chandrasekhar mass and explodes due to the thermonuclear burning of C+O. While the merging of two white dwarfs (the double degenerate scenario) remains a viable progenitor for SNe Ia, recent theoretical work has focused on the accretion of material via Roche lobe overflow from a MS or subgiant companion (hydrogen cataclysmic variables) or via wind accretion from a red-giant companion (symbiotic stars). A recent search for radio emission appears to rule out the peculiar SN Ia 1986G as having a symbiotic star progenitor (Eck et al., 1995). Maxted et al. (2000) have found a candidate double degenerate system containing a 0.5 $`\text{M}_{}`$ white dwarf and the companion is more massive that 0.97 $`\text{M}_{}`$, so that the total mass of the system exceeds the Chandrasekhar mass. While it is clear that double degenerate progenitors do exist, it is still not clear whether the merger of a double degenerate system leads to collapse (due to electron capture, Saio & Nomoto, 1998; Mochkovitch et al., 1997; Tutukov & Yungelson, 1996) or explosion. It is also unclear whether sufficiently massive double degenerate systems exist in sufficient numbers to produce the observed sample of SNe Ia (Branch et al., 1995). Therefore the detection of hydrogen in a SN Ia would greatly expand our knowledge of the progenitor system. The question of the identity of the progenitor system remains a significant hurdle for the general acceptance of the observational cosmology results; is a gap in our knowledge of the binary stellar evolution; and impedes our understanding of the chemical evolution of galaxies. There have been attempts to detect hydrogen via looking for narrow H$`\alpha `$ lines (Cumming et al., 1996), in the radio (Eck et al., 1995), and in X-rays (Schlegel & Petre, 1993; Schlegel, 1995). While all of these methods should be pursued, it seems likely that we will obtain large numbers of very early low resolution optical spectra of nearby SNe Ia from dedicated searches that will begin taking data soon. Thus, we examine the possiblity of detecting hydrogen in early SN Ia spectra.

## 2 Methodology

The W7 model (Nomoto et al., 1984; Thielemann et al., 1986) is a good match to normal SNe Ia spectra (Lentz et al., 2001), especially the outer layers visible during the pre-maximum phase of the supernova. The outer layers of W7 are unburned C+O enriched with solar metals, expanding at velocities, $`v>15000`$ km s-1, with a total mass of $`0.07`$ $`\text{M}_{}`$.

In the single degenerate scenario, there are two sources of hydrogen: 1) circumstellar matter that is accreting onto the white dwarf from the companion; 2) matter ablated from the companion by the supernova explosion itself (Livne, Tuchman, & Wheeler, 1991; Marietta, Burrows, & Fryxell, 2000). In the first case one expects a relatively small amount of material that would most likely be detected in high resolution spectra, radio, and in X-rays. In the second case the amount of material is much larger and is at higher velocity. It is more uncertain how it would be mixed into the outer layers of the the supernova. It is the latter case that we examine here in a parameterized way, guided by the numerical calculations of Livne et al. (1991) and Marietta et al. (2000).

We have mixed solar composition material into the unburned C+O layers at the top of the W7 explosion model. We have replaced up to half of this C+O mixture with solar composition material, while maintaining the overall density structure and luminosity. The models are homologously expanded to account for the expansion since explosion to epochs of 5, 10, and 15 days after explosion, corresponding respectively to 15, 10, and 5 days before maximum brightness using the canonical light curve rise time of 20 days (e.g., Riess et al., 2000; Aldering et al., 2000). We calculate the $`\gamma `$-ray deposition and decay of radioactive isotopes, especially 56Ni, and use the luminosities for W7 models fit to SN 1994D (Lentz et al., 2001) at each epoch. The spectra and $`\gamma `$-ray deposition are calculated using the general purpose radiative transfer code PHOENIX, version 11.9.0 (Hauschildt & Baron, 1999). PHOENIX includes all of the effects of special relativity in the steady-state solution of the transport equation and energy balance. We have included detailed NLTE treatment for the ionic species: H I, He I–II, C I–IV, O I–III, Na I–III, Mg I–IV, Al I–IV, Si I–V, S I–IV, Ca I–IV, Fe I–VI, and Co I–III.

## 3 Uniform Mixing in the Unburned Layer

For the first set of numerical experiments, we have mixed solar composition material throughout the unburned, outer, C+O layers of W7. For each model, we have replaced 0.1, 1, 10, 30, or 50% of the C+O mixture mass with an equal mass of solar composition material. Since the composition of the C+O material was designed to have solar-like mass fractions for metals heavier than oxygen the mass fraction of these heavier metals is not affected by the mixing process. The 0.1% and 1% models had no detectable differences from the unmixed models at any epoch.

### 3.1 Day 15

Our synthetic spectra for the mixing at day 15, or 5 days before maximum light, are shown in Figure 1. Other than some minor effects on the peaks in the blue part of the spectrum, the primary effect is the formation of a H$`\alpha `$ line at the red edge of the Si II absorption at 6150 Å. In the comparison of synthetic spectra, we can discern the effect for 10% and larger mixing. Outside the controlled parameters of a numerical experiment this effect on the spectrum of the 10% mixing model would likely not be recognized as H$`\alpha `$. The 50% mixing model does show a change in the shape of the 6150 Å feature from what is normally seen, and would stand a reasonable chance of detection, while the 30% model would be marginally detectable. For the detection of hydrogen, a single spectrum at 5 days before maximum will not be adequate.

### 3.2 Day 10

At 10 days before maximum light, or 10 days after explosion (Figure 2), the effects of mixing are more pronounced and might be detected. At 10 days after explosion, the continuum optical depth at 5000 Å, $`\tau _{\text{std}}`$, at the base of the C+O layer, is 0.15 for the unmixed model, and is 0.5 for the 50% mixed model. This increase in electron scattering “washes out” the peaks and the troughs of the spectral features. H$`\alpha `$ produces a distinct double-bottom to the Si II 6100 Å feature. This is complicated by the presence of C II absorption at 6400 Å. The C II feature is seen faintly in some SNe Ia, at these early epochs. Our previous models (Lentz et al., 2001), did not include C II in NLTE and did not show the feature. The 10% mixed model would likely be identified as C II in an observed SN Ia. The 30% and 50% mixed models would be more likely to be identified as H$`\alpha `$ if observed. There is a modest absorption feature at 4600 Å for H$`\beta `$ in the 30% and 50% mixed models that is buried in the electron scattering changes in that region of the spectrum.

### 3.3 Day 5

The earliest SNe Ia spectrum is for SN 1990N at 14 days before maximum light (Leibundgut et al., 1991). We have calculated hydrogen mixed models for W7 at day 5 (Figure 3), which is nominally at 15 days before maximum light. Again, the effects of the extra electron scattering from the additional electrons from the hydrogen influences the spectrum. Because hydrogen has one electron per proton, at a given mass density, the electron density is higher in the solar composition mixture, than in the original C/O layer. The effect of electron scattering is smaller at 5 days after explosion than 10 days for two reasons: the day 10 spectrum is bluer and the effects are concentrated in the blue; electron scattering is already strong in the unmixed model at day 5, $`\tau _{\text{std}}=0.6`$ at 15000 km s-1. The H$`\alpha `$ feature is quite strong and makes a definitive double-bottomed absorption, with Si II at 6200 Å, for solar mixing of 10% and higher. The small indentation at the red peak of the Si II feature at 6000 Å is due to C II. The H$`\alpha `$ feature could be identified as a very strong C II feature like what might be expected in a C+O white dwarf merger scenerio, but one would also expect to see other C II features in that case. The formation of this feature by carbon would require a significant mass of carbon at high velocities, $`v>15000`$ km s-1, in a white dwarf merger model that produced otherwise normal SNe Ia spectra and light curves.

Figure 4 compares the SN 1990N spectrum at day -14 (Leibundgut et al., 1991) to the spectra at day 5 (-15) with 50% mixing of solar composition material and without hydrogen mixing. Clearly the hydrogen is too red to match the feature although the extra electrons do help to extend the blue wing of the silicon line. C II creates an unseen bump in the middle of the hydrogen/silicon absorption trough. The identification of silicon mixed with carbon (Mazzali, 2001; Fisher et al., 1996) is more probable than hydrogen.

## 4 Variation of Mixing Depth

We studied the depth of mixing of the solar material mixed into a SN Ia since high velocity material would most likely come from the companion and be mixed from the outside, but see Marietta et al. (2000) for a detailed discussion of the expected hydrogen distribution. The models in the previous section were all mixed to the depth of the transition from partially burned to unburned C+O material at 15000 km s-1. In the full mixing models described above up to half of this material is replaced with solar composition material. It is expected (Marietta et al., 2000) that the amount of mixing will vary with depth and we address this effect here with a simple parameterization.

We have mixed the 50% composition at days 5, 10, and 15, to depths of 25000 km s-1 ($`7.2\times 10^4`$ $`\text{M}_{}`$ C+O above this velocity in W7), 20000 km s-1 ($`7.2\times 10^3`$ $`\text{M}_{}`$), and 15000 km s-1 ($`7.2\times 10^2`$ $`\text{M}_{}`$, as stated above). Figure 5 shows the region of spectra around the H$`\alpha `$ feature for each of these epochs. The mixing to only 25000 km s-1 and 20000 km s-1 does not have detectable effects on the spectra with the minor exception of the 20000 km s-1 model at day 5 which is marginally detectable, and shows evidence of a second feature affecting the Si II. An observation of an event similar to this model is unlikely to be conclusively recognized as evidence of hydrogen mixing in SNe Ia. Only the models mixed substantially throughout the C+O layer show clearly detectable modifications. Thomas et al. (2002) studied the shapes of several Si II lines near maximum light (see their Figure 6), and none of them showed features that would be indicative of the presence of hydrogen.

## 5 Conclusions

The mixing of hydrogen and solar composition material into the outer layers of a Type Ia supernova model has little effect on the spectra, unless the solar material replaces a substantial fraction of the SN Ia C+O ejecta. In fact the non-detection of hydrogen in SNe Ia is expected in most of the present progenitor scenarios. The effects of mixing in the outer layers diminish as the photosphere recedes into deeper layers of the ejecta. In our tests the most detectable results were obtained by replacing half of the mass of the unburned C+O in the outer layers with solar abundance material (for a total of $`2.7\times 10^2`$ $`\text{M}_{}`$ of hydrogen). These models produced reasonably strong signals 5 and 10 days after the explosion, but are less prominent at day 15, still 5 days before maximum light. One fifth of that mass of mixed hydrogen is able to produce identifiable signals at 5 days after explosion and approximately half that mass is required 10 days after the explosion.

The effects of additional electrons from the hydrogen atoms may also be a useful diagnostic when coupled with detailed analysis of high quality data. Replacing half of the C+O with solar material, but to different depths, we found that only at 5 days after explosion did any model other than mixing to the bottom of the C+O layer provide any chance of detection. This is consistent with a picture based on the mass of the mixed hydrogen. Approximately 0.02 $`\text{M}_{}`$ of solar composition material swept up from the wind of or ablated off of the companion is needed for a detection at 10 days after explosion (10 days before maximum light). The deeper it is mixed the later it will be detectable. For quantities of mixed hydrogen near the detection threshold, the C II feature in the red emission peak of Si II complicates the identification of H$`\alpha `$ absorption. Confirmation requires several epochs to trace the development of the spectral features, and ideally another signal, such as narrow circumstellar hydrogen lines. Even earlier spectra would be advantageous.

Additional spectral signatures that would prevent confusion of high-speed carbon ejecta that could mimic the H$`\alpha `$ from mixed hydrogen are needed. Figure 6 shows the region around the P$`\alpha `$ line. While the P$`\alpha `$ line shows a pretty strong signature at the early epochs the P$`\beta `$ line is not easily discerned, thus, combined IR and optical data would be likely be required for a definitive detection. Bowers et al. (1997) and Hernandez et al. (2000) compared the IR data for SNe Ia and most of the data is obtained at late times (SN 1998bu has data at about 13 days after maximum); the data are obtained much later than we desire and without detailed spectral analysis it would be difficult to draw any conclusions. SN 1999ee (Hamuy et al., 2002) does have very early IR spectra (approximately 11 days before maximum). It shows no sign of any feature near P$`\beta `$, and the region around P$`\alpha `$ is not covered spectroscopically. Nevertheless, early IR spectra are obtainable and should be vigorously persued.

The results of Marietta et al. (2000) suggest that only about $`10^4`$ $`\text{M}_{}`$ of hydrogen would be stripped from the companion at $`v>15,000`$ km s-1, however, they find that $`10^3`$ $`\text{M}_{}`$ of hydrogen would be stripped from the companion at $`v>10,000`$ km s-1. Thus, our results indicate that very early photospheric spectra of SNe Ia might be able to detect the presence of hydrogen, and certainly could be used as a signal to activate high resolution, radio, and X-ray programs.

Continued work in the radio, X-ray, and high resolution optical spectra can verify and reinforce any putative hydrogen detections.

This work was supported in part by NSF grant AST-9720704, NASA ATP grant NAG 5-8425 and LTSA grant NAG 5-3619 to the University of Georgia and by NASA grant NAG5-3505, and an IBM SUR grant to the University of Oklahoma. PHH was supported in part by the Pôle Scientifique de Modélisation Numérique at ENS-Lyon. Some of the calculations presented here were performed at the San Diego Supercomputer Center (SDSC), supported by the NSF, and at the National Energy Research Supercomputer Center (NERSC), supported by the U.S. DOE. We thank both these institutions for a generous allocation of computer time.