Backtesting of a credit scoring system under the current regulatory framework

Mestrado em Ciências ActuariaisDesde a implementação do atual acordo de supervisão financeira internacional, os bancos podem usar as suas estimativas internas de avaliação de risco de crédito como base para o cálculo dos ponderadores de risco e requisitos de capital. Consequentemente, com vista a assegurar a estabilidade e solvabilidade das instituições de crédito, torna-se crescente a necessidade de um sistema de validação robusto, para garantir a consistência e precisão dos sistemas de notação interna. Existem vários estudos sobre o processo de validação de estimativas internas. No entanto, aprofundamento e acordo nesta matéria são ainda insuficientes, nomeadamente no que diz respeito à avaliação da precisão das estimativas internas para os parâmetros de risco de crédito, com o objectivo de atingir a estabilidade dos requisitos de capital. A calibração das probabilidades de incumprimento representa um dos procedimentos de validação quantitativa inerentes ao exercício de backtesting. Neste trabalho, será explorado o processo de calibração das probabilidades de incumprimento recorrendo a um modelo de scoring para exemplificar como é feita a avaliação da capacidade preditiva destas estimativas internas numa carteira de Crédito à Habitação. Para superar o desafio de desenvolver um sistema de validação adequado, o presente projeto tem em consideração o atual e amplo quadro regulatório proveniente do Comité de Basileia para a Supervisão Bancária (BCBS) e da Autoridade Bancária Europeia (EBA), alguns artigos relevantes nesta matéria e aquelas que são consideradas as melhores práticas de gestão do risco de crédito.Since the implementation of the current regulatory framework within the global financial system, banks are allowed to rely in a system using their own estimates for credit risk parameters as inputs for the calculation of risk weights and capital requirements. Consequently, in order to assure the stability and soundness of credit institutions, the need for a robust validation system to ensure accuracy and consistency of internal rating systems is greater than ever before. Although several studies on validation processes already exist, a deeper understanding and agreement on this subject is required, namely in what concerns the accuracy assessment of internal estimates for credit risk parameters, in order to achieve capital requirements stability. Calibration of default probabilities represents one of the quantitative validatio procedures underlying the exercise of backtesting that must be performed on a regular basis. The present text discusses the probability of default (PD) calibration process using a scoring model to illustrate the assessment of the predictive power of these internal estimates in a residential mortgage portfolio. To overcome the challenge of developing an adequate validation scheme in compliance with the current regulatory framework, this project project keeps in mind the legislation from Basel Committee on Banking Supervision (BCBS) and European Banking Authority (EBA), some relevant studies developed on this subject and those that are consider to be the best practices of credit risk management.info:eu-repo/semantics/publishedVersio

Il quaestor Montius e il vicarius fl. Magnus: alcune riflessioni sul reclutamento del funzionariato sotto Costanzo II

The aim of this paper is to analyse the cursus honorum and the biographies of two Constance II’s ministers, Lucius Caelius Montius and Flavius Magnus, and to integrate well-known knowledge with new archaeological and epigraphical data. The second step of this research is to compare their careers with the ones of other administrative officers of Constantius II. With the help of a comparative analysis it has been possible to mark a well-defined Constantius’ recruitment trend. Indeed, the former literature pointed out a quite different perspective, identifying as the recruitment standard to the highest administrative ranks a trust-based one which was carried out by the systematic promotion of low-ranked bureaucratic officers, mostly notarii and agentes in rebus, the so-called members of Constantius’ secret service.Il contributo si propone di riesaminare i cursus honorum e le biografie di due funzionari costanziani, Lucius Caelius Montius e Flavius Magnus, integrando dati già noti con quanto apportato da nuove scoperte epigrafiche e archeologiche. L'obiettivo è di precisare le rispettive esperienze politiche e di porle a confronto con quelle di altri funzionari amministrativi di Costanzo II. Grazie all'analisi comparativa è possibile delineare l'esistenza di una ben definita logica di reclutamento attuata dall'imperatore costantinide, differente da quella evidenziata dalla letteratura precedente che individuò come discriminante di assunzione ai più alti gradi dell’amministrazione un criterio fiduciario che si sarebbe concretizzato nella promozione massiccia di elementi appartenenti al ceto burocratico, per lo più notarii e agentes in rebus, i cosiddetti members of Constantius’ secret service

Estimating the income loss of disabled individuals. the case of Spain

In this paper, we present both a theoretical and an empirical model in order to identify the effects of disability on wages. In the theoretical model we assume that the wage gap of a disabled worker depends on a permanent and a transitory productivity gap and the model predicts that the wage gap will be lower after gaining some work experience in the new job. We test this theoretical hypothesis using an exogenous disability shock and matching methods associated with treatment effect techniques for policy evaluation. In all our specifications, we find that the reduction of the wage for the disabled is between 293 and 342 euros per month expressed in constant terms at 2010 prices (21-24% of the average wage of disabled workers) but this reduction is more than offset when we take into account both the disability benefits and the wage. As predicted in the theoretical model, we observe that the pay gap between the disabled and the non-disabled individuals falls over time once the transitory drop in productivity disappears. However, we observe a constant wage gap that remains over time and that corresponds to the permanent fall in productivity predicted by the theoretical model

Etnomatemática e Educação de Jovens e Adultos: continuando o debate

A proposta deste texto é contribuir para o debate acerca da Etnomatemática e suas relações com a educação, no contexto da Educação de Jovens e Adultos (EJA). Para tal, realizei uma pesquisa bibliográfica, utilizando como fonte de consulta os Anais do Terceiro Congresso Brasileiro de Etnomatemática (CBEm3) e o banco de teses da CAPES. Farei inicialmente uma apresentação sintética dos temas abordados e dos principais pontos levantados pelas pesquisas brasileiras em Etnomatemática que estabelecem relações com a Educação de Jovens e Adultos.Em seguida, destacarei algumas questões trazidas dos resultados de nossas pesquisas mais recentes, apontando perspectivas de continuidade para as investigações na interface desses dois campos, abordando particularmente a prática docente de Matemática na EJA e a formação de professores voltada para esta modalidade de ensino

Social Saliency of the Cue Slows Attention Shifts

Eye gaze is a powerful cue that indicates where another person\u27s attention is directed in the environment. Seeing another person\u27s eye gaze shift spontaneously and reflexively elicits a shift of one\u27s own attention to the same region in space. Here, we investigated whether reallocation of attention in the direction of eye gaze is modulated by personal familiarity with faces. On the one hand, the eye gaze of a close friend should be more effective in redirecting our attention as compared to the eye gaze of a stranger. On the other hand, the social relevance of a familiar face might itself hold attention and, thereby, slow lateral shifts of attention. To distinguish between these possibilities, we measured the efficacy of the eye gaze of personally familiar and unfamiliar faces as directional attention cues using adapted versions of the Posner paradigm with saccadic and manual responses. We found that attention shifts were slower when elicited by a perceived change in the eye gaze of a familiar individual as compared to attention shifts elicited by unfamiliar faces at short latencies (100 ms). We also measured simple detection of change in direction of gaze in personally familiar and unfamiliar faces to test whether slower attention shifts were due to slower detection. Participants detected changes in eye gaze faster for familiar faces than for unfamiliar faces. Our results suggest that personally familiar faces briefly hold attention due to their social relevance, thereby slowing shifts of attention, even though the direction of eye movements are detected faster in familiar faces