Coherent virtual absorption for discretized light

Coherent virtual absorption (CVA) is a recently-introduced phenomenon for which exponentially growing waves incident onto a conservative optical medium are neither reflected nor transmitted, at least transiently. CVA has been associated to complex zeros of the scattering matrix and can be regarded as the time reversal of the decay process of a quasi-mode sustained by the optical medium. Here we consider CVA for discretized light transport in coupled resonator optical waveguides or waveguide arrays and show that a distinct kind of CVA, which is not related to complex zero excitation of quasi-modes, can be observed. This result suggests that scattering matrix analysis can not fully capture CVA phenomena.Comment: 5 pages, 4 figures, to appear in Optics Letter

Accurate performance measure but meaningless ranking exercise? An analysis of the English school league tables.

Parental choice among schools in England is informed by annually published school performance (league) tables. The 2006 league tables included a measure of contextual value added (CVA) for the first time. By explicitly accounting for the characteristics of a school’s intake, CVA should provide a more accurate measure of the impact a school has on its pupils’ progress, i.e. on school effectiveness. In this paper we use UK government administrative data to replicate CVA and other key performance measures in order to investigate the extent to which the current league tables provide the information necessary to support parental choice on the basis of school effectiveness. We find that while CVA does provide a more accurate measure of school performance or effectiveness, school rankings based on CVA are largely meaningless: almost half of English secondary schools are indistinguishable from the national average.education, performance measures, ranking

Credit Valuation Adjustment

Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This thesis outlines the main approaches to credit risk modelling, intensity and structural. It gives important examples of both and particular examples useful in the calculation of CVA, the intensity model of Brigo and the structural model of Hull and White. It details Brigo's market standard model independent framework for derivatives valuation with CVA. It does this for both its unilateral form where only one counterparty is credit risky and also for its bilateral form where both counterparties are credit risky. This thesis then shows how these frameworks can be applied to the valuation of a credit default swap contract (CDS). Finally, it shows how Brigo's and Hull and White's model for credit risk apply to the valuation of the CVA of CDS and draws comparisons, especially based on their ability to capture correlation effects

On the mathematical form of CVA in Basel III.

Credit valuation adjustment in Basel III is studied from the perspective of the mathematics involved. A bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The CVA is known as credit valuation adjustments. In this paper it will be argued that CVA and conditioned value at risk (CVaR) have a common mathematical ancestor. The question is raised why the Basel committee, from the perspective of CVaR, has selected a specific parameterization. It is argued that a fine-tuned supervision, on the longer run, will be beneficial for counterparties with a better control over their spread.CVA, CVaR, statistical methodology.

House Prices and School Quality: The Impact of Score and Non-score Components of Contextual Value-Added

This paper investigates how the newly introduced Contextual Value Added (CVA) indicator of school quality affects house prices in the catchment area of primary and secondary schools in England. The empirical analysis, based on the data drawn from three independent and previously unexplored UK data sources, shows that the score component of CVA has a strong positive effect on house prices at both primary and secondary levels of education; while the non-score component of this school quality indicator has a significant (negative) effect only in the analysis of secondary school data. Nevertheless, the effect of CVA and its score and non-score components on house prices also varies with the level of spatial aggregation at which empirical investigation is pursued, assuming a more positive role between rather than within Local Authorities (Las). This reflects the emphasis placed by CVA on public good aspects of school quality and suggests that LA policies aimed at raising the average non-score quality characteristics of school conform to household preferences.School quality, hedonic regression, house prices

Continuum limit of self-driven particles with orientation interaction

We consider the discrete Couzin-Vicsek algorithm (CVA), which describes the interactions of individuals among animal societies such as fish schools. In this article, we propose a kinetic (mean-field) version of the CVA model and provide its formal macroscopic limit. The final macroscopic model involves a conservation equation for the density of the individuals and a non conservative equation for the director of the mean velocity and is proved to be hyperbolic. The derivation is based on the introduction of a non-conventional concept of a collisional invariant of a collision operator