Collections policy comparison in LGD modelling

This paper discusses the similarities and the differences in the collection process between in house and 3rd Party collection. The objective is to show that although the same type of modelling approach to estimating Loss Given Default (LGD) can be used in both cases the details will be significantly different. In particular the form of the LGD distribution suggests one needs to split the distribution in different easy in the two cases as well as using different variables. The comparisons are made use two data sets of the collections outcomes from two sets of unsecured consumer defaulters<br/

Consumer credit in comparative perspective

We review the literature in sociology and related fields on the fast global growth of consumer credit and debt and the possible explanations for this expansion. We describe the ways people interact with the strongly segmented consumer credit system around the world—more specifically, the way they access credit and the way they are held accountable for their debt. We then report on research on two areas in which consumer credit is consequential: its effects on social relations and on physical and mental health. Throughout the article, we point out national variations and discuss explanations for these differences. We conclude with a brief discussion of the future tasks and challenges of comparative research on consumer credit.Accepted manuscrip

Comparability of Raman Spectroscopic Configurations: A Large Scale Cross-Laboratory Study

This is the final version. Available on open access from the American Chemical Society via the DOI in this recordThe variable configuration of Raman spectroscopic platforms is one of the major obstacles in establishing Raman spectroscopy as a valuable physicochemical method within real-world scenarios such as clinical diagnostics. For such real world applications like diagnostic classification, the models should ideally be usable to predict data from different setups. Whether it is done by training a rugged model with data from many setups or by a primary-replica strategy where models are developed on a 'primary' setup and the test data are generated on 'replicate' setups, this is only possible if the Raman spectra from different setups are consistent, reproducible, and comparable. However, Raman spectra can be highly sensitive to the measurement conditions, and they change from setup to setup even if the same samples are measured. Although increasingly recognized as an issue, the dependence of the Raman spectra on the instrumental configuration is far from being fully understood and great effort is needed to address the resulting spectral variations and to correct for them. To make the severity of the situation clear, we present a round robin experiment investigating the comparability of 35 Raman spectroscopic devices with different configurations in 15 institutes within seven European countries from the COST (European Cooperation in Science and Technology) action Raman4clinics. The experiment was developed in a fashion that allows various instrumental configurations ranging from highly confocal setups to fibre-optic based systems with different excitation wavelengths. We illustrate the spectral variations caused by the instrumental configurations from the perspectives of peak shifts, intensity variations, peak widths, and noise levels. We conclude this contribution with recommendations that may help to improve the inter-laboratory studies.COST (European Cooperation in Science and Technology)Portuguese Foundation for Science and TechnologyNational Research Fund of Luxembourg (FNR)China Scholarship Council (CSC)BOKU Core Facilities Multiscale ImagingDeutsche Forschungsgemeinschaft (DFG, German Research Foundation

Application of survival analysis to cash flow modelling for mortgage products

In this article we describe the construction and implementation of a pricing model for a leading UK mortgage lender. The crisis in mortgage lending has highlighted the importance of incorporating default risk into such pricing decisions b y mortgage lenders. In this case the underlying default model is based on survival analysis, which allows the estimation of month-to-month default probabilities at a customer level. The Cox proportional hazards estimation approach adopted is able to incorporate both endogenous variables (customer specific attributes) and time-covariates relating to the macro-economy. This allows the lender to construct a hypothetical mortgage portfolio, specify one or more economic scenarios, and forecast discounted monthly cashflow for the lifetime of the loans. Monte Carlo simulation is used to compute different realisations of default and attrition rates for the portfolio over a future time horizon and thereby estimate a distribution of likely profit. This differs from a traditional scorecard approach in that it is possible to forecast default rates continually over a time period rather than within a fixed horizon, which allows the simulation of cashflow, and differs from the company's existing pricing model in incorporating the possibilities of both default and early closur

The occurrence of atmospheric phenomena unfavourable for agriculture in the Wieliczka Foothills

Na podstawie danych ze Stacji Naukowej IGiGP UJ w Gaiku-Brzezowej k. Dobczyc zanalizowano występowanie niekorzystnych dla rolnictwa zjawisk termicznych i opadowych na Pogórzu Wielickim w latach 1988-2003. Zmiany liczby dni z temperaturą minimalną ≤ 0°C na wysokości 2 m n.p.g., z temperaturą minimalną ≤ 0°C na wysokości 5 cm n.p.g. i z temperaturą maksymalną ≥ 25°C na wysokości 2 m n.p.g. w okresie wegetacyjnym dowodzą kontynuacji ciepłej fluktuacji klimatycznej na tym obszarze. Liczba dni z opadem ≥ 10 mm·doba-¹ (20,2 dni w sezonie wegetacyjnym) oraz liczba dni z burzami (26,2 dni) najmniej zmieniały się w ciągu wielolecia spośród wszystkich badanych cech (współczynnik zmienności odpowiednio 28 i 17,3%). Średnia liczba dni z gradem w sezonie wegetacyjnym wynosiła jedynie 1,4 dnia. Na podstawie porównania z danymi z wcześniejszych okresów można stwierdzić, że w badanym okresie na Pogórzu Wielickim zwiększyła się głównie liczba dni z ekstremalnymi dobowymi sumami opadu.Meteorological data from the research station in Gaik-Brzezowa near Dobczyce, which belongs to the Institute of Geography and Spatial Management, Jagiellonian University, Cracow, Poland, were used in the analysis. The occurrence of weather conditions unfavourable for agriculture in the Wieliczka Foothills, in the years 1988-2003 were examined. Changes in the number of days with minimum air temperature 2 m above ground level ≤ 0°C, 5 cm a.g.l. ≤ 0°C and with maximum air temperature 2 m a.g.l. ≥ 25°C in the vegetation periods proved the continuation of warm climate fluctuations in this area. The number of days with daily precipitation ≥ 10 mm (20.2 on average) and with thunderstorms (26.2) varied least in the analysed period (variability index 28 and 17.3 %, respectively). Mean number of days with hail in the vegetation period was only 1.4. The number of days with extreme daily precipitation was the factor that mainly increased in the study period as compared with earlier data

Comparing debt characteristics and LGD models for different collections policies

This paper discusses the similarities and differences in the collection process between in-house and 3rd party collection. The objective is to show that, although the same type of modelling approach to estimating the Loss Given Default (LGD) can be used in both cases, the details will be significantly different. In particular, the form of the LGD distribution suggests that one needs to split the distribution in different ways in the two cases, as well as using different variables. The comparisons are made using two data sets of the collection outcomes from two sets of unsecured consumer defaulter

Application of survival analysis to cash flow modelling for mortgage products

In this article, we describe the construction and implementation of a pricing model for a leading UK mortgage lender. The crisis in mortgage lending has highlighted the importance of incorporating default risk into such pricing decisions by mortgage lenders. In this case the underlying default model is based on survival analysis, which allows the estimation of month-to-month default probabilities at a customer level. The Cox proportional hazards estimation approach adopted is able to incorporate both endogenous variables (customer-specific attributes) and time-covariates relating to the macro-economy. This allows the lender to construct a hypothetical mortgage portfolio, specify one or more economic scenarios, and forecast discounted monthly cash flow for the lifetime of the loans. Monte Carlo simulation is used to compute different realisations of default and attrition rates for the portfolio over a future time horizon and thereby estimate a distribution of likely profit. This differs from a traditional scorecard approach in that it is possible to forecast default rates continually over a time period rather than within a fixed horizon, which allows the simulation of cash flow, and differs from the company's existing pricing model in incorporating the possibilities of both default and early closure

Influence of Intersubband Scattering on the Magnetic Field Dependence of the Conductivity Tensor

In this paper we show that intersubband scattering can lead to apparent inconsistency of the experimental results obtained by means of classical and quantum transport measurements and this discrepancy is entirely connected with the usage of classical formulae to describe magnetic field dependence of a conductivity tensor. We prove that there is no contradiction in our observations and that the models describing quantum oscillations and magnetic-field dependence of the conductivity tensor, which are present in the literature, complement each other