A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Proposes a fix for IRS calculation of Obamacare tax credits.
We model the quantities appearing in Internal Revenue Service (IRS) tax guidance for calculating the health insurance premium tax credit created by the Patient Protection and Affordable Care Act, also called Obamacare. We ask the question of whether there is a procedure, computable by hand, which can calculate the appr…
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses. Furthermore the rate of return on cap…
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different assumptions on how liquidity rates enter the CD…
Model analyzes debt recycling strategies under various fiscal regimes and jurisdictions.
Climate change is widely expected to increase weather related damage and the insurance claims that result from it. This will increase insurance premiums, in a way that is independent of a customer's contribution to the causes of climate change. Insurance provides a financial mechanism that mitigates some of the consequ…
Agents buy and sell services. All services are of equal quality. Buyers choose sellers at random. Monetary and fiscal policies are imposed by a central bank and a central government. Credit is supplied by a commercial banking system. Propensities to buy, sell, and lend depend on account balances, interest rates, tax ra…
Botswana's agricultural credit scheme is unsustainable and needs reform.
This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different default risk premia speci…
Study shows ethanol blends and incentives can significantly reduce transportation carbon emissions.
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry,…
Financial markets are exposed to systemic risk (SR), the risk that a major fraction of the system ceases to function, and collapses. It has recently become possible to quantify SR in terms of underlying financial networks where nodes represent financial institutions, and links capture the size and maturity of assets (l…
Private credit markets have expanded significantly, offering unique lending technology to private equity firms.
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The …
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
LLMs can identify tax strategies, potentially revolutionizing tax enforcement.
Flow taxes and stock taxes preserve portfolio neutrality under specific conditions.
This study simulates the evolution of artificial economies in order to understand the tax relevance of administrative boundaries in the quality of life of its citizens. The modeling involves the construction of a computational algorithm, which includes citizens, bounded into families; firms and governments; all of them…
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that the protection buyer pays premium at fixed rate when the asset price is above a p…
We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax process, the tax rate is a function of the current level of capital, whereas in the latent tax process, the tax rate is…
Paper uses 2-step Gradient Boosting to predict VAT tax gap.
Germany's tax admin costs likely exceed 20% of total revenue, requiring system improvement.
Research analyzes Georgia's tax system and suggests improvements.
Study finds tax avoidance and IT issues hinder revenue in Gombe state.
In this paper, we propose stock trading based on the average tax basis. Recall that when selling stocks, capital gain should be taxed while capital loss can earn certain tax rebate. We learn the optimal trading strategies with and without considering taxes by reinforcement learning. The result shows that tax ignorance …
The Tobin tax is an often discussed method to tame speculation and get a source of income. The discussion is especially heated when the financial markets are in crisis. In this article we refer to foreign exchange markets. The Tobin tax should be a small international tax affecting all currency transactions and thus co…
I explain the root of persistent failure of efforts to remove tax-induced distortions of economic incentives. It lies in FUNDAMENTAL IMPOSSIBILITY of objectively evaluating tax base. Distortions can be entirely avoided in the sector of publicly traded corporations. Evaluation can be bypassed by taxing it in shares (to …
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can b…
Develops a method to optimize tax codes with practical constraints.
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent. By contrast, if poor agents are…
AI-driven tax policies improve economic equality and productivity.
Extends wealth tax neutrality framework to stochastic volatility and non-homothetic preferences.
This paper examines how ESG factors influence sovereign bond yields and credit ratings.
We develop a model of tax evasion based on the Ising model. We augment the model using an appropriate enforcement mechanism that may allow policy makers to curb tax evasion. With a certain probability tax evaders are subject to an audit. If they get caught they behave honestly for a certain number of periods. Simulatin…
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow…
This article describes and explores taxes and debt in finance. Here a situation is thought about, where tax payments would qualify to be considered as debt. Using this principle we can infer that it is possible to create and price a type of bond (Tax Normalization Guarantee) for companies, which would allow them to ent…
Tool detects tax evasion on social media using multi-modal deep learning.
Wealth redistribution through Fokker-Planck equation controls preserves Gini coefficient.
Motivated by Kyprianou and Zhou (2009), Wang and Hu (2012), Avram et al. (2017), Li et al. (2017) and Wang and Zhou (2018), we consider in this paper the problem of maximizing the expected accumulated discounted tax payments of an insurance company, whose reserve process (before taxes are deducted) evolves as a spectra…
We investigate an inhomogeneous Ising model in the context of tax evasion dynamics where different types of agents are parametrized via local temperatures and magnetic fields. In particular, we analyse the impact of backauditing and endogenously determined penalty rates on tax compliance. Both features contribute to a …
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minim…
This paper investigates - on the basis of the Cont-Bouchaud model - whether a Tobin tax can stabilize foreign exchange markets. Compared to earlier studies, this paper explicitly recognizes that a transaction tax-induced reduction in market depth may increase the price responsiveness of a given order. We find that the …
Wealth tax equivalent to government stake, affecting returns and portfolio choice.
Study on tax administration issues and their impact on Georgia's budget revenues.
Due to economic globalization, each country's economic law, including tax laws and tax treaties, has been forced to work as a single network. However, each jurisdiction (country or region) has not made its economic law under the assumption that its law functions as an element of one network, so it has brought unexpecte…
The paper values and hedges EPS products with jumps and default risks.