{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2018:RK54CJNA2SLVYKOX3AJZKPINLL","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"7fad769d61e714ac3339df93a542f7aad4b9479cc01de7d7b179a0368e6f3f6b","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2018-03-20T18:26:40Z","title_canon_sha256":"d24f068be99b54edd27bace1d00734e2ddc3a486f671f6609371ca2a753d8b18"},"schema_version":"1.0","source":{"id":"1803.07590","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1803.07590","created_at":"2026-05-18T00:20:29Z"},{"alias_kind":"arxiv_version","alias_value":"1803.07590v1","created_at":"2026-05-18T00:20:29Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1803.07590","created_at":"2026-05-18T00:20:29Z"},{"alias_kind":"pith_short_12","alias_value":"RK54CJNA2SLV","created_at":"2026-05-18T12:32:50Z"},{"alias_kind":"pith_short_16","alias_value":"RK54CJNA2SLVYKOX","created_at":"2026-05-18T12:32:50Z"},{"alias_kind":"pith_short_8","alias_value":"RK54CJNA","created_at":"2026-05-18T12:32:50Z"}],"graph_snapshots":[{"event_id":"sha256:899a5b57b6e131465c78dc04c444e75bbc4f14fb6f59d22f7e365055bb866d60","target":"graph","created_at":"2026-05-18T00:20:29Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"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","authors_text":"Alexander J. McNeil, Janine Balter","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2018-03-20T18:26:40Z","title":"On the Basel Liquidity Formula for Elliptical Distributions"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1803.07590","kind":"arxiv","version":1},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:a4b711615d23fdbfa5111daa3b937dc51f62ebf25d55e24415f40fe3b127795d","target":"record","created_at":"2026-05-18T00:20:29Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"7fad769d61e714ac3339df93a542f7aad4b9479cc01de7d7b179a0368e6f3f6b","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2018-03-20T18:26:40Z","title_canon_sha256":"d24f068be99b54edd27bace1d00734e2ddc3a486f671f6609371ca2a753d8b18"},"schema_version":"1.0","source":{"id":"1803.07590","kind":"arxiv","version":1}},"canonical_sha256":"8abbc125a0d4975c29d7d813953d0d5ae4bd3a0281a8602083f7ac776b341099","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"8abbc125a0d4975c29d7d813953d0d5ae4bd3a0281a8602083f7ac776b341099","first_computed_at":"2026-05-18T00:20:29.490833Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:20:29.490833Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"zqn1m4HcX6jorQc/6pnnkVmzOUYdqLBrpDVOnzabvU547y9/kiNsKk22lT8fzfHlM4sSyCkARo+ylKqCLigxBg==","signature_status":"signed_v1","signed_at":"2026-05-18T00:20:29.491405Z","signed_message":"canonical_sha256_bytes"},"source_id":"1803.07590","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:a4b711615d23fdbfa5111daa3b937dc51f62ebf25d55e24415f40fe3b127795d","sha256:899a5b57b6e131465c78dc04c444e75bbc4f14fb6f59d22f7e365055bb866d60"],"state_sha256":"09b30fea556eb144fb5a01a72feb94d78656fca9dc40863e06f69dae72d8096f"}