{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2018:RK54CJNA2SLVYKOX3AJZKPINLL","short_pith_number":"pith:RK54CJNA","schema_version":"1.0","canonical_sha256":"8abbc125a0d4975c29d7d813953d0d5ae4bd3a0281a8602083f7ac776b341099","source":{"kind":"arxiv","id":"1803.07590","version":1},"attestation_state":"computed","paper":{"title":"On the Basel Liquidity Formula for Elliptical Distributions","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.RM","authors_text":"Alexander J. McNeil, Janine Balter","submitted_at":"2018-03-20T18:26:40Z","abstract_excerpt":"A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more general assumption that risk-factor changes are multivariate elliptical. It is shown that the Basel formula tends to be conservative when the elliptical distributions are from the heavier-tailed generalized hyperbolic family. As a by-product of the analysis a Fourier approach to"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1803.07590","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2018-03-20T18:26:40Z","cross_cats_sorted":[],"title_canon_sha256":"d24f068be99b54edd27bace1d00734e2ddc3a486f671f6609371ca2a753d8b18","abstract_canon_sha256":"7fad769d61e714ac3339df93a542f7aad4b9479cc01de7d7b179a0368e6f3f6b"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:20:29.491405Z","signature_b64":"zqn1m4HcX6jorQc/6pnnkVmzOUYdqLBrpDVOnzabvU547y9/kiNsKk22lT8fzfHlM4sSyCkARo+ylKqCLigxBg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"8abbc125a0d4975c29d7d813953d0d5ae4bd3a0281a8602083f7ac776b341099","last_reissued_at":"2026-05-18T00:20:29.490833Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:20:29.490833Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"On the Basel Liquidity Formula for Elliptical Distributions","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.RM","authors_text":"Alexander J. McNeil, Janine Balter","submitted_at":"2018-03-20T18:26:40Z","abstract_excerpt":"A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in the risk-factor changes. A generalization of the formula is derived under the more general assumption that risk-factor changes are multivariate elliptical. It is shown that the Basel formula tends to be conservative when the elliptical distributions are from the heavier-tailed generalized hyperbolic family. As a by-product of the analysis a Fourier approach to"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1803.07590","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1803.07590","created_at":"2026-05-18T00:20:29.490910+00:00"},{"alias_kind":"arxiv_version","alias_value":"1803.07590v1","created_at":"2026-05-18T00:20:29.490910+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1803.07590","created_at":"2026-05-18T00:20:29.490910+00:00"},{"alias_kind":"pith_short_12","alias_value":"RK54CJNA2SLV","created_at":"2026-05-18T12:32:50.500415+00:00"},{"alias_kind":"pith_short_16","alias_value":"RK54CJNA2SLVYKOX","created_at":"2026-05-18T12:32:50.500415+00:00"},{"alias_kind":"pith_short_8","alias_value":"RK54CJNA","created_at":"2026-05-18T12:32:50.500415+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL","json":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL.json","graph_json":"https://pith.science/api/pith-number/RK54CJNA2SLVYKOX3AJZKPINLL/graph.json","events_json":"https://pith.science/api/pith-number/RK54CJNA2SLVYKOX3AJZKPINLL/events.json","paper":"https://pith.science/paper/RK54CJNA"},"agent_actions":{"view_html":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL","download_json":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL.json","view_paper":"https://pith.science/paper/RK54CJNA","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1803.07590&json=true","fetch_graph":"https://pith.science/api/pith-number/RK54CJNA2SLVYKOX3AJZKPINLL/graph.json","fetch_events":"https://pith.science/api/pith-number/RK54CJNA2SLVYKOX3AJZKPINLL/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL/action/timestamp_anchor","attest_storage":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL/action/storage_attestation","attest_author":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL/action/author_attestation","sign_citation":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL/action/citation_signature","submit_replication":"https://pith.science/pith/RK54CJNA2SLVYKOX3AJZKPINLL/action/replication_record"}},"created_at":"2026-05-18T00:20:29.490910+00:00","updated_at":"2026-05-18T00:20:29.490910+00:00"}