1,720,957 research outputs found
Default weighted survival analysis to directly model loss given default
No full textTraditionally when predicting loss given default (LGD), the following models can be used: beta regression, inverse beta model, fractional response regression, ordinary least squares regression, survival analysis, run-off triangles and Box–Cox transformation. The run-off triangle method is commonly used in practice.
When using survival analysis to model LGD a standard method to use is exposure at default (EAD) weighted survival analysis (denoted by EWSA). This article will aim to enhance the survival analysis estimation of LGD. Firstly by using default weighted LGD estimates and incorporating negative cash flows and secondly catering for over-recoveries. We will denote this new method to predict LGD as the default weighted survival analysis (DWSA). These enhancements were motivated by the fact that the South African Reserve Bank requires banks to use default weight LGD estimates in regulatory capital calculations. Therefore by including this into the survival analysis approach, the model is aligned more closely to regulations. Recovery datasets used by banks include both negative and over-recoveries. By including these into the LGD estimation, the models more are closely aligned to the actual data. The assumption is that the predictive power of the model should therefore be improved by adding these changes. The proposed model is tested on eight datasets. Three of these are actual retail bank datasets and five are simulated. The datasets used are representative of the data typically used in LGD estimations in the South African retail environment.
This article will show that the proposed DWSA model outperforms the EWSA model by resulting in not only the lowest mean squared error (MSE), but also the lowest bias and variance across all eight datasets. Furthermore, the DWSA model outperforms all other models under revie
Estimation techniques for deriving the Basel and IFRS 9 LGD estimates on retail bank portfolios
Get PDFPhD (Risk Analysis), North-West University, Potchefstroom CampusA stable financial system is essential for growth in banks. A financial crisis can damage banks, as was seen in the financial crisis of 2008. Banks are subject to government regulation to reduce the risk of future financial crises. Amongst several requirements, capital requirements, as set out by local government, are influenced by the Bank for International Settlements’ Basel Committee on Banking
Supervision. The requirements, as set out in the Basel Accord, allow banks to build risk models for three risk drivers, namely the probability of default (PD), loss given default (LGD) and exposure at default (EAD). The risk drivers are combined to predict the unexpected credit loss that is used as a safety cushion against unexpected credit losses. Banks are also subject to financial reporting and
disclosure requirements. International Financial Reporting Standards (IFRS) are standards issued by the IFRS Foundation and the International Accounting Standards Board (IASB). The IFRS 9 standard gives guidance with regard to the estimation of impairments and typically the same three risk drivers are used. Impairments models are used to estimate provisions that banks need to hold against expected credit losses. The accuracy of these risk drivers are also key to the stability of banks. The objective of this thesis is to develop LGD models for Basel and IFRS 9 that adhere to the required regulations. LGD methodologies can be classified into direct and indirect methodologies. Under Basel, a direct and indirect LGD model was developed. The direct LGD model was adapted for IFRS 9 requirements. Survival analysis is one of the approaches used in direct LGD modelling. A standard method in this approach is the EAD weighted survival analysis (denoted by EWSA). The first article will aim to enhance the survival analysis estimation of LGD. Firstly by using default weighted LGD estimates and incorporating negative cashflows and secondly by catering for over recoveries. We will denote this new method to predict LGD as the default weighted survival analysis (DWSA). These enhancements were motivated by the fact that the South African Reserve Bank requires banks to use default weighted LGD estimates in regulatory capital calculations. Therefore, by including this into the survival analysis approach, the model is aligned more closely to regulations. Recovery datasets used by banks include both negative and over recoveries. By including these into the LGD estimation, the models are more closely aligned to the actual data. The assumption is that the predictive power of the model should therefore be improved by adding these changes. The proposed model is tested on eight datasets. Three of these are actual retail bank datasets and five are simulated. The datasets used are epresentative of the data typically used in LGD estimations in the South African retail environment. When the indirect LGD methodology is used, two components exist, namely the loss severity component and the probability component. Commonly used models to respectively predict the loss severity and the probability component are the haircut- and the logistic regression models. In the second article, survival analysis is proposed as an improvement to the more traditional logistic regression method. By testing the MSE (mean squared error), bias and variance of the two methodologies, it was shown that the improvement enhanced the model’s predictive power. The proposed LGD methodology (using survival analysis) was applied on two simulated datasets and two retail bank datasets, and outperformed the logistic regression LGD methodology. Additional benefits included that the new methodology could allow for censoring as well as predicting probabilities over varying outcome periods. The third article is aimed at adapting the DWSA method, used in the first article to model the Basel LGD to estimate the LGD for IFRS 9 impairment requirements. The DWSA methodology allows for over recoveries, default weighting and negative cashflows. This IFRS 9 LGD is used in the calculation of the expected credit losses (ECL) as per the IFRS 9 standard. The IFRS 9 LGD methodology that is described in this paper makes use of survival analysis to estimate the LGD. The
Cox proportional hazards model allows that a baseline survival curve can be adjusted to produce survival curves for different segments of the portfolio. The forward-looking LGD values are adjusted for different macro-economic scenarios and an ECL is calculated for each scenario. These ECL values are probability-weighted to produce a single ECL number. This paper illustrates the IFRS 9 LGD as well as the ECL on a real dataset from a retail portfolio of a South African bank.Doctora
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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