246 research outputs found
Credit risk management in banks: Hard information, soft Information and manipulation
The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types of information in order to manage risk through capital allocation for Value at Risk coverage. Hard information, contained in balance sheet data and produced with credit scoring, is quantitative and verifiable. Soft information, produced within a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of the debtor’s quality. In this article, we investigate the impact of the information’s type on credit risk management in a principalagent framework with moral hazard with hidden information. The results show that access to soft information allows the banker to decrease the capital allocation for VaR coverage. We also show the existence of an incentive of the credit officer to manipulate the signal based on soft information that he produces. Therefore, we propose to implement an adequate incentive salary package which unables this manipulation. The comparison of the results from the two frameworks (information hard versus combination of hard and soft information) using simulations confirms that soft information gives an advantage to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital allocation for VaR coverage.Hard information; Soft information; risk management; Value at Risk; moral hazard; hidden information; manipulation
The structure of Gelfand-Levitan-Marchenko type equations for Delsarte transmutation operators of linear multi-dimensional differential operators and operator pencils. Part 1
An analog of Gelfand-Levitan-Marchenko integral equations for multi-
dimensional Delsarte transmutation operators is constructed by means of
studying their differential-geometric structure based on the classical Lagrange
identity for a formally conjugated pair of differential operators. An extension
of the method for the case of affine pencils of differential operators is
suggested.Comment: 12 page
1-Density Operators and Algebraic Version of The Hohenberg-Kohn Theorem
Interrelation of the Coleman's representabilty theory for 1-density operators
and abstract algebraic form of the Hohenberg-Kohn theorem is studied in detail.
Convenient realization of the Hohenberg-Kohn set of classes of 1-electron
operators and the Coleman's set of ensemble representable 1-density operators
is presented. Dependence of the Hohenberg-Kohn class structure on the boundary
properties of the ground state 1-density operator is established and is
illustrated on concrete simple examples. Algorithm of restoration of many
electron determinant ensembles from a given 1-density diagonal is described.
Complete description of the combinatorial structure of Coleman's polyhedrons is
obtained.Comment: AMSLaTex, 37 pages, 4 figures, 1 tabl
Universal description of viscoelasticity with foliation preserving diffeomorphisms
A universal description is proposed for generic viscoelastic systems with a
single relaxation time. Foliation preserving diffeomorphisms are introduced as
an underlying symmetry which naturally interpolates between the two extreme
limits of elasticity and fluidity. The symmetry is found to be powerful enough
to determine the dynamics in the first order of strains.Comment: 12 pages, 6 figures, v2:minor changes, v3:clarification adde
The Chern-Ricci flow on complex surfaces
The Chern-Ricci flow is an evolution equation of Hermitian metrics by their
Chern-Ricci form, first introduced by Gill. Building on our previous work, we
investigate this flow on complex surfaces. We establish new estimates in the
case of finite time non-collapsing, anologous to some known results for the
Kahler-Ricci flow. This provides evidence that the Chern-Ricci flow carries out
blow-downs of exceptional curves on non-minimal surfaces. We also describe
explicit solutions to the Chern-Ricci flow for various non-Kahler surfaces. On
Hopf surfaces and Inoue surfaces these solutions, appropriately normalized,
collapse to a circle in the sense of Gromov-Hausdorff. For non-Kahler properly
elliptic surfaces, our explicit solutions collapse to a Riemann surface.
Finally, we define a Mabuchi energy functional for complex surfaces with
vanishing first Bott-Chern class and show that it decreases along the
Chern-Ricci flow.Comment: 45 page
Transversely projective foliations on surfaces: existence of normal forms and prescription of the monodromy
We introduce a notion of normal form for transversely projective structures
of singular foliations on complex manifolds. Our first main result says that
this normal form exists and is unique when ambient space is two-dimensional.
From this result one obtains a natural way to produce invariants for
transversely projective foliations on surfaces. Our second main result says
that on projective surfaces one can construct singular transversely projective
foliations with prescribed monodromy
Collineations of a symmetric 2-covariant tensor: Ricci collineations
The infinitesimal transformations that leave invariant a two-covariant symmetric tensor are studied. The interest of these symmetry transformations lays in the fact that this class of tensors includes the energy-momentum and Ricci tensors. We find that in most cases the class of infinitesimal generators of these transformations is a finite dimensional Lie algebra, but in some cases exhibiting a higher degree of degeneracy, this class is infinite dimensional and may fail to be a Lie algebra. As an application, we study the Ricci collineations of a type B warped spacetime
New insights in particle dynamics from group cohomology
The dynamics of a particle moving in background electromagnetic and
gravitational fields is revisited from a Lie group cohomological perspective.
Physical constants characterising the particle appear as central extension
parameters of a group which is obtained from a centrally extended kinematical
group (Poincare or Galilei) by making local some subgroup. The corresponding
dynamics is generated by a vector field inside the kernel of a presymplectic
form which is derived from the canonical left-invariant one-form on the
extended group. A non-relativistic limit is derived from the geodesic motion
via an Inonu-Wigner contraction. A deeper analysis of the cohomological
structure reveals the possibility of a new force associated with a non-trivial
mixing of gravity and electromagnetism leading to in principle testable
predictions.Comment: 8 pages, LaTeX, no figures. To appear in J. Phys. A (Letter to the
editor
- …