arXiv research

A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Commit…

The paper analyzes financial networks with default charges and defines a model using fixpoint problems.

Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs: premium; default protection; and capital relief. If markets are compl…

The study calculates securities lending haircuts and indemnification costs.

We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA). That set up can also be viewed by an investor as an effective way to restructure…

The paper explains the fair basis in bond-CDS trading during financial crises.

Proposes a new model to better handle correlation risk in credit risk calculations.

Study on charged parallel spinors and mass-charge inequalities.

Throughout the literature on the charged Riemannian Penrose inequality, it is generally assumed that there is no charged matter present; that is, the electric field is divergence-free. The aim of this article is to clarify when the charged Riemannian Penrose inequality holds in the presence of charged matter, and when …

Two approaches detect EV charging patterns at stations.

Area-charge inequalities and local rigidity of free boundary MOTS in charged initial data sets

In this paper we investigate the extension of the charged Riemannian Penrose inequality to the case where charges are present outside the horizon. We prove a positive result when the charge densities are compactly supported, and present a counterexample when the charges extend to infinity. We also discuss additional ex…

Charge measurements for instantons and gravitational perturbations.

Researchers resolved ambiguities in gravitational radiation charges.

We present a proof of the Riemannian Penrose inequality with charge $r\leq m + \sqrt{m^2-q^2}$, where $A=4πr^2$ is the area of the outermost apparent horizon with possibly multiple connected components, $m$ is the total ADM mass, and $q$ the total charge of a strongly asymptotically flat initial data set for the Einste…

We show how to reduce the general formulation of the mass-angular momentum-charge inequality, for axisymmetric initial data of the Einstein-Maxwell equations, to the known maximal case whenever a geometrically motivated system of equations admits a solution. It is also shown that the same reduction argument applies to …

A repurchase agreement lets investors borrow cash to buy securities. Financier only lends to securities' market value after a haircut and charges interest. Repo pricing is characterized with its puzzling dual pricing measures: repo haircut and repo spread. This article develops a repo haircut model by designing haircut…

The paper proves positive energy-momentum theorems for charged AdS initial data sets.

Study of charged scalar fields on Reissner-Nordström spacetimes via energy estimates.

Electric vehicles (EVs) have been gaining popularity due to their environmental friendliness and efficiency. EV charging station networks are scalable solutions for supporting increasing numbers of EVs within modern electric grid constraints, yet few tools exist to aid the physical configuration design of new networks.…

Two oppositely charged droplets of (say) water in e.g. oil or air will tend to drift together under the influence of their charges. As they make contact, one might expect them to coalesce and form one large droplet, and this indeed happens when the charge difference is sufficiently small. However, Ristenpart et al disc…

In this paper, we prove conformal positive mass theorems for asymptotically flat manifolds with charge. We apply conformal relations to show that if the conformal sum of scalar curvature is not less than the norm square of electric field and electric density, the sum of the mass will not less than the modulus of total …

A universal inequality that bounds the charge of a body by its size is presented, and is proven as a consequence of the Einstein equations in the context of initial data sets which satisfy an appropriate energy condition. We also present a general sufficient condition for the formation of black holes due to concentrati…

Extends Young integral to Hölder differential forms in arbitrary dimensions.

We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions tha…

Classifies charge-3 monopoles with symmetry, identifying new spectral curves.

Proof confirms cosmic censorship for charged gravitational collapse.

Second part of series studying charged scalar fields on Reissner--Nordström spacetimes.

Study shows how charged MOTS restrict spacetime configurations.

Positive energy theorems for spin initial data with charge in higher dimensions.

Study spin-0 fields on n-dimensional Minkowski spacetimes, computing asymptotic charges.

A federated graph learning approach improves EV charging demand forecasting while protecting against cyberattacks.

We establish the charged Penrose inequality for time symmetric initial data sets having an outermost minimal surface boundary and finitely many asymptotically cylindrical ends, with an appropriate rigidity statement. This is accomplished by a doubling argument based on the work of Weinstein and Yamada, and a subsequent…

Cohomotopy charge quantization implies String structure on M5-branes.

Challenge forecasts EV charging station usage accurately.

Researchers extend topological classification to knotted semimetals in 3D.

Closed and broken electromagnetic orbits in Kerr-Newman spacetime

We propose a new definition for the abelian magnetic charge density of a non-abelian monopole, based on zero-modes of an associated Dirac operator. Unlike the standard definition of the charge density, this density is smooth in the core of the monopole. We show that this charge density induces a magnetic field whose ex…

The paper explores rigid geometric structures near surfaces with equality in area-charge inequalities.

Sharp bounds for charged Hawking mass in electrostatic space-times.

The article proves charged quasi-local Penrose inequalities for compact manifolds with boundary.

Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates [4]), which considers an underlying affected by both stochastic volatility and ra…

In arXiv:0905.2622v1 and arXiv:0910.4785v1, Bray and Khuri outlined an approach to prove the Penrose inequality for general initial data sets of the Einstein equations. In this paper we extend this approach so that it may be applied to a charged version of the Penrose inequality. Moreover, assuming that the initial dat…

A parameter-free statistical model is used to study multiplicity signatures for coherent production of charged-pairs of parabosons of order p=2 in comparison with those arising in the case of ordinary bosons, p=1. Two non-negative real parameters arise because "ab" and "ba" are fundamentally distinct pair operators of …

The Lorentz force equations provide a partial description of the geodesic motion of a charged particle on a four-manifold. Under the hypothesis that Maxwell's equations express symmetry properties of the Ricci tensor, the full electromagnetic connection is determined. From this connection, the fourth equation of the ge…

Temporal coarse-graining of latent default paths explains effective correlation in corporate defaults.

We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based on a contingent-claims analysis of corporate capital structure, is easily calib…

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default cor…