21,557 research outputs found
DVA for Assets
The effect of self-default on the valuation of liabilities and derivatives
(DVA) has been widely discussed but the effect on assets has not received
similar attention. Any asset whose value depends on the status, or existence,
of the firm will have a DVA. We extend (Burgard and Kjaer 2011) to provide a
hedging strategy for such assets and provide an in-depth example from the
balance sheet (Goodwill). We calibrate our model to seven US banks over the
crisis period of mid-2007 to 2011. This suggests that their reported profits
would have changed significantly if DVA on assets, as well as liabilities, was
included - unless the DVA was hedged.Comment: 16 pages, 4 figure
Coagulation Calculations of Icy Planet Formation at 15--150 AU: A Correlation Between the Maximum Radius and the Slope of the Size Distribution for Transneptunian Objects
We investigate whether coagulation models of planet formation can explain the
observed size distributions of transneptunian objects (TNOs). Analyzing
published and new calculations, we demonstrate robust relations between the
size of the largest object and the slope of the size distribution for sizes 0.1
km and larger. These relations yield clear, testable predictions for TNOs and
other icy objects throughout the solar system. Applying our results to existing
observations, we show that a broad range of initial disk masses, planetesimal
sizes, and fragmentation parameters can explain the data. Adding dynamical
constraints on the initial semimajor axis of `hot' KBOs along with probable TNO
formation times of 10-700 Myr restricts the viable models to those with a
massive disk composed of relatively small (1-10 km) planetesimals.Comment: Text: 44 pages, Tables: 5, Figures: 17; Accepted for publication in
the Astronomical Journa
The asymptotic determinant of the discrete Laplacian
We compute the asymptotic determinant of the discrete Laplacian on a
simply-connected rectilinear region in R^2. As an application of this result,
we prove that the growth exponent of the loop-erased random walk in Z^2 is 5/4.Comment: 36 pages, 4 figures, to appear in Acta Mathematic
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