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

The Collisional Divot in the Kuiper belt Size Distribution

This paper presents the results of collisional evolution calculations for the Kuiper belt starting from an initial size distribution similar to that produced by accretion simulations of that region - a steep power-law large object size distribution that breaks to a shallower slope at r ~1-2 km, with collisional equilibrium achieved for objects r ~0.5 km. We find that the break from the steep large object power-law causes a divot, or depletion of objects at r ~10-20 km, which in-turn greatly reduces the disruption rate of objects with r> 25-50 km, preserving the steep power-law behavior for objects at this size. Our calculations demonstrate that the roll-over observed in the Kuiper belt size distribution is naturally explained as an edge of a divot in the size distribution; the radius at which the size distribution transitions away from the power-law, and the shape of the divot from our simulations are consistent with the size of the observed roll-over, and size distribution for smaller bodies. Both the kink radius and the radius of the divot center depend on the strength scaling law in the gravity regime for Kuiper belt objects. These simulations suggest that the sky density of r ~1 km objects is ~10^6-10^7 objects per square degree. A detection of the divot in the size distribution would provide a measure of the strength of large Kuiper belt objects, and constrain the shape of the size distribution at the end of accretion in the Kuiper belt.Comment: 32 pages, 10 figures, accepted to the Astrophysical Journa