Risk-adjusted measures of value creation in financial institutions

Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial valuation. We use asset pricing theory to determine the appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset returns. Thus the RAROC hurdle rate should differ substantially between equity which has a right skew and debt which has a pronounced left skew and also between different qualities of debt exposure. We discuss implications for financial institution risk management and supervision.asset pricing; banking; capital allocation; capital budgeting; capital management; corporate finance; downside risk; economic capital; performance measurement; RAROC; risk management; value creation; hurdle rate; value at risk

Legislative malapportionment and institutional persistence

This paper argues that legislative malapportionment, denoting a discrepancy between the share of legislative seats and the share of population held by electoral districts, serves as a tool for pre-democratic elites to preserve their political power and economic interests after a transition to democracy. The authors claim that legislative malapportionment enhances the pre-democratic elite’s political influence by over-representing areas that are more likely to vote for parties aligned with the elite. This biased political representation survives in equilibrium as long as it helps democratic consolidation. Using data from Latin America, the authors document empirically that malapportionment increases the probability of transitioning to a democracy. Moreover, the data show that over-represented electoral districts are more likely to vote for parties close to pre-democracy ruling groups. The analysis also finds that overrepresented areas have lower levels of political competition and receive more transfers per capita from the central government, both of which favor the persistence of power of pre-democracy elites.Parliamentary Government,Labor Policies,Emerging Markets,Political Economy,Political Systems and Analysis

Transport through a double barrier in Large Radius Carbon Nanotubes in the presence of a transverse magnetic field

We discuss the Luttinger Liquid behaviour of Large Radius Carbon Nanotube e.g. the Multi Wall ones (MWNT), under the action of a transverse magnetic field $B$. Our results imply a reduction with $B$ in the value of the $bulk$ critical exponent, $\alpha_{bulk}$, for the tunneling density of states, which is in agreement with that observed in transport experiments. Then, the problem of the transport through a Quantum Dot formed by two intramolecular tunneling barriers along the MWNT, weakly coupled to Tomonaga-Luttinger liquids is studied, including the action of a strong transverse magnetic field $B$. {We predict the presence of some peaks in the conductance G versus $B$, related to the magnetic flux quantization in the ballistic regime (at a very low temperature, $T$) and also at higher $T$, where the Luttinger behaviour dominates}. The temperature dependence of the maximum $G_{max}$ of the conductance peak according to the Sequential Tunneling follows a power law, $G\propto T^{\gamma_e-1}$ with $\gamma_e$ linearly dependent on the critical exponent, $\alpha_{end}$, strongly reduced by $B$.Comment: 8 pages, 3 figures, PACS numbers: 05.60.Gg, 71.10.Pm, 73.63.-b, 71.20.Tx, 72.80.R

Legislative Malapportionment and institutional persistence

This paper argues that legislative malapportionment, denoting a discrepancy between the share of legislative seats and the share of population held by electoral districts, serves as a tool for predemocratic elites to preserve their political power and economic interests after a transition to democracy. We claim that legislative malapportionment enhances the pre-democratic elite’s political influence by overrepresenting areas that are more likely to vote for parties aligned with the elite. This biased political representation survives in equilibrium as long as it helps democratic consolidation. We use data from Latin America to document empirically that malapportionment increases the probability of transitioning to a democracy. Moreover, our data show that overrepresented electoral districts are more likely to vote for parties close to pre-democracy ruling groups. We also find that overrepresented areas have lower levels of political competition and they receive more transfers per capita from the central government, both of which favor the persistence of power of pre-democracy elites.Democracy, dictatorship, institutions, Latin America, persistence, political economy

Envelope solitons induced by high-order effects of light-plasma interaction

The nonlinear coupling between the light beams and non-resonant ion density perturbations in a plasma is considered, taking into account the relativistic particle mass increase and the light beam ponderomotive force. A pair of equations comprising a nonlinear Schrodinger equation for the light beams and a driven (by the light beam pressure) ion-acoustic wave response is derived. It is shown that the stationary solutions of the nonlinear equations can be represented in the form of a bright and dark/gray soliton for one-dimensional problem. We have also present a numerical analysis which shows that our bright soliton solutions are stable exclusively for the values of the parameters compatible with of our theory.Comment: 9 pages, 5 figure