1,720,955 research outputs found
AN ACTUARIAL MODEL FOR LOSS GIVEN DEFAULT ESTIMATION VIA SEMI-MARKOV PROCESS
No full textAccording to Basel II (Revised International Capital Framework), banks have to hold adequate capital to
cover losses resulting from specific sources of risk, among them credit risk. Credit risk refers to the possibility
of a loss occurring due to counterparty failure, against that, the bank has taken credit exposure. The minimum
amount of capital that banks should hold against credit risk can be calculated using a standardized approach -
based on assessments developed by external Rating Agencies and approved by Authority – or using a Internal
Rating Based (IRB) approach - based on the use of an internal rating system. In this framework a strategic
variable is the Loss Given Default (LGD), which quantifies the loss which is subject to a credit institute in
case of counterparty default, usually referred to any exposure of bank’s client; LGD can also be interpreted as
the complement to one of the recovery rate. The aim of this paper is to illustrate an actuarial model for LGD
estimation in a IRB approach – i.e. based on a credit institute’s database – by means of a semi-markov
approach to describe the recovery process. In fact, creditor’s recovery process can be represented as a
multistate model with a finite number of states, where each state corresponds to a possible step of the recovery
process. Unlike classical Markov models, the proposed methodology joins the multistate model with a semi-
markov probabilistic structure, in which the transition probabilities among states take into account, not only
the status previously occupied, as in Markov models, but also the permanence time in the last visited state.
The semi-Markov models are an evolution of Markov processes as integrate the information on time spent in
the most recent visited state. The semi-Markov model captures a large amount of information, so it seems
more adequate for the problem to be treated. In fact, in financial sense, recovery rate is the present value of the
cash flows associated with different steps of recovery process, until the settlement, for any unit of exposure.
Therefore, to quantify the loss incurred by the creditor, a key variable is the time required to settle each
recovery step. Once defined the probabilistic structure, the estimation of LGD needs to define cash flows –
usually called rewards - associated with each system state, making a distinction between the rewards
associated with permanence in a state and those associated with transitions among different states. When a set
of rewards are defined, it is possible to determine LGD on t periods; this measure can be extended to the entire
portfolio of outstanding loans, obtaining the Total Loss Given Default (TLGD). Finally it is proposed an
application of the model to estimate semi-markov transition probabilities, LGD and TLGD for bankruptcy
proceedings, characterized by 12 steps of recovery. Finally, for an entire portfolio of outstanding loans of a
financial institution, semi-Markov approach has been compared with Markov approach.According to Basel II (Revised International Capital Framework), banks have to hold adequate capital to
cover losses resulting from specific sources of risk, among them credit risk. Credit risk refers to the possibility
of a loss occurring due to counterparty failure, against that, the bank has taken credit exposure. The minimum
amount of capital that banks should hold against credit risk can be calculated using a standardized approach -
based on assessments developed by external Rating Agencies and approved by Authority – or using a Internal
Rating Based (IRB) approach - based on the use of an internal rating system. In this framework a strategic
variable is the Loss Given Default (LGD), which quantifies the loss which is subject to a credit institute in
case of counterparty default, usually referred to any exposure of bank’s client; LGD can also be interpreted as
the complement to one of the recovery rate. The aim of this paper is to illustrate an actuarial model for LG
EVALUATING THE SOLVENCY CAPITAL REQUIREMENT FOR MARKET RISK IN SOLVENCY II VIA REPLICATING PORTFOLIO APPROACH
No full text
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Full text link“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
Full text linkWe 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
Full text linkWe 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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