Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System

While not being widespread, stress tests of credit risk are not new in the Argentine financial system, neither for financial intermediaries nor for the Central Bank. However, they are more often based on rule-of-thumb approaches than on systematic, model based methodologies. The objective of this paper is to fill this gap. With a database that covers the 1994-2006 period we implement a three staged approach. First, we use bank balance sheet data to estimate a dynamic panel data model, with different statistical methodologies, to explain bank losses for credit risk with bank-specific and macroeconomic variables. In a second step, the macroeconomic drivers of bank losses, real GDP growth and cost of short term credit, are modeled with a Vector Autoregression (VAR). The VAR shows the effect of the variables (i.e. risk factors) that we find dominate the domestic business cycle: the price of commodities, the sovereign risk and the federal funds rate. Finally, we use this toolkit to perform deterministic and stochastic scenario analysis. In the first case we use the behavior of the risk factors during the crisis of 1995 (Tequila contagion) and 2001 (Currency Board collapse), and we implement a subjective scenario as well. The stochastic scenarios are performed by Monte Carlo with two alternative methodologies: a non-parametric bootstrapping approach and drawing repeatedly from a multivariate normal distribution. When comparing the estimated unexpected losses to available capital, we find that currently the Argentine financial system is adequately capitalized to absorb the higher losses that would take place in a stress situation.stress test; credit risk; dynamic panel data; Monte Carlo

Credit scoring models: what, how, when and for what purposes

Introduced in the 70’s, credit scoring techniques became widespread in the 90’s thanks to the development of better statistical and computational resources. Nowadays almost all the financial intermediaries use these techniques, at least to originate credits. Credit scoring models are algorithms that in a mechanical way assess the credit risk of a loan applicant or an existing bank client, by means of statistical, mathematic, econometric or artificial intelligence developments. They are focused on the borrower’s creditworthiness or credit risk, regardless of his interaction with the rest of the portfolio. Although all of them yield fairly similar results, those most commonly used are probit and logistic regressions, and decision trees. In general they are used to evaluate the retail portfolio; corporate obligors are typically assessed with rating systems. Besides using different explanatory variables, the assessment of corporate borrowers implies revising qualitative aspects of their business that are difficult to standardize. Therefore the result of their assessment is better expressed with a rating. To clarify how credit scores are constructed and used, with the information contained in the BCRA’s public credit registry (Central de Deudores del Sistema Financiero (CENDEU)) we estimate a sample credit score and show how it operates with a probit model. The only purpose of this model is to show some stylized facts of credit scores, and by no means seeks to establish or indicate what are the best practices in their use, construction or interpretation.credit risk; credit scoring; binary probit

Numerical Study of Forced Air Cooling of a Heated Porous Foam Pyramid array

The current study employs CFD to study the forced air cooling of a pyramid shaped porous foam absorber. Herein, a three by three (3×3) array of porous foam absorbers heated with an external heat flux is modeled using the differential equations governing heat and fluid flow through porous media based on the Brinkman-Darcy flow equations and an effective thermal conductivity to account for the porous medium. The numerical simulations are carried out using the COMSOL commercial Computational Fluid Dynamics (CFD) Finite Element based software package. The primary finding of our study is that the more porous the foam absorber media is, the more dependent the effective thermal conductivity is on the thermal conductivity of the fluid used for cooling. If the fluid is air, which has a very low thermal conductivity, the effective thermal conductivity is decreased as the porosity increases, thus diminishing removal of heat from the foam array via the cooling air stream. Based on the parametric study, the best case operating conditions which may allow the pyramidal foam absorber to stay within the max allowable temperature are as follows: porosity = 0.472, inlet air cooling velocity = 50 m/s

Análisis del retorno de la inversión en la gestión comercial de los supermercados en el Perú

Globalization has irreversibly transformed our reality. However, firms must work to develop new ideas that mitigate the negative effects of globalization, take advantage of its opportunities and propose new forms to make their businesses profitable. In the last fifteen years, the dynamic Peruvian supermarket industry has meant supermarket chains have expanded. Although the number of supermarkets in Peru jumped from 121 in 2008 to 205 in December 2012, according to Maximixe (2013), modern markets (i.e., supermarkets) in Peru only have a market share of 15% while traditional markets (i.e., bodegas and market stalls) continue to dominate the Peruvian market with an 85% market share. In contrast, countries such as Chile, Brazil and Ecuador have an average market share of 60%. These numbers show significant potential for continued supermarket growth and give rise to this analysis of the return on investment of sales management in Peruvian supermarkets. Given the industry's dynamism and Peru's significant market potential, the purpose of the study is to analyze the return on investment in sales management of these Peruvian supermarkets using non-financial metrics at the supermarkets owned by the industry's three main firms: Interbank (Plaza Vea y Vivanda), Falabella (Tottus) y Cencosud (Metro y Wong). The study will analyze economic category of mid-sized supermarket stores with sales areas in the range of 1500-2500 m2 that sell approximately 20,000 products among supermarket chains that are most representative and present in Peru. To do so, the study will first evaluate an analysis using financial metrics that can serve as a basis or structure to use the proposed methodology described in the chapter of the same name. Return on investment is usually calculated with financial metrics which, while necessary, only explain what has happened in the past and only allow for a reactive sales management and not a proactive one. To manage financial information looking forward, we need more than financial metrics. We need non-financial metrics that can foresee what financial metrics can reflect after the fact. The supermarket industry, with its strong growth in Peru and Latin America, has significant influence on employment, as well as changing daily habits surrounding purchases, recreation and other products. As such, it's important to understand both the financial and non-financial parameters of growth.La globalización ha transformado nuestra realidad y es un hecho irreversible. No obstante, las empresas deben esforzarse por desarrollar ideas novedosas que contrarresten sus efectos negativos, se aprovechen las oportunidades y se propongan nuevas formas de hacer más rentable a los negocios. En los últimos 15 años, el sector supermercados en Perú, ha mostrado gran dinamismo, lo que se ha traducido en una creciente expansión de cadenas de supermercados. Para el año 2008 se contaba con 121 supermercados en el Perú y a Diciembre 2012 se incrementó a 205 locales. Estas cifras muestran un pleno crecimiento de los supermercados. Es así que nace el presente estudio, analizar el retorno de la inversión en la gestión comercial de los supermercados en el Perú. Según Maximixe (2013) el Perú, a diferencia de otros países como Chile, Brasil y Ecuador presenta una participación de mercado de 15%, mientras que los otros tres países presentan en promedio 60% del mercado moderno. El mercado tradicional, es el que domina el mercado peruano con un 85% aproximadamente, en el cual los consumidores prefieren todavía comprar en bodegas y puestos de mercado. Dada la efervescencia de este sector y la gran oportunidad de mercado potencial que presenta el Perú, es de interés analizar el retorno de la inversión en la gestión comercial de los supermercados de estos tres grupos económicos: Grupo Interbank (Plaza Vea y Vivanda), Grupo Falabella (Tottus) y Grupo Cencosud (Metro y Wong). El estudio analizará los supermercados de categoría económicos de medianas superficies, es decir de 1.500 a 2.500 m² de superficie de venta, donde se manejan 20,000 productos aproximadamente, que son los supermercados más representativos y de mayor presencia en el Perú. La investigación tiene como propósito, analizar el retorno de la inversión en la gestión comercial de los supermercados en el Perú utilizando métricas no financieras, para ello se evaluará previamente el análisis de la inversión con métricas financieras, las que servirán de base inicial o estructura para utilizar la nueva metodología propuesta, la cual será explicada en el capítulo de metodología. Usualmente se utilizan métricas financieras para determinar el retorno de la inversión. Las métricas financieras son instrumentos necesarios pero sólo explican lo que ha pasado y, por tanto, sólo permiten una gestión comercial reactiva en lugar de una proactiva. Para poder gestionar por delante de la información financiera, se necesitan algo más que métricas financieras. Se necesitan métricas no financieras que puedan adelantar lo que más tarde reflejen las métricas financieras. El sector supermercados, es un sector en fuerte crecimiento en Perú y también en todo Latinoamérica que aporta una importante contribución al empleo, a los cambios de hábitos en la compra cotidiana, el ocio y otros productos. Por este motivo es importante conocer los parámetros financieros y no financieros del crecimiento

Characterisation and evaluation of porphyrins for the development of a proto-type vapour sensor

This thesis describes the influence of VOCs and NO2 (the analytes) on thin porphyrin films and examines the feasibility of utilising this behaviour in a sensing device. LB films of porphyrins exhibit intense optical absorption bands in the region from 400 to 800 nm. These molecules experience a significant change in their optical absorption properties as a result of exposure to appropriate analytes because the analytes bind to the porphyrins and distort their electronic energy levels. This principle has been adopted as the basis for a simple gas detection system. In-situ optical measurements have been performed to quantify the response of the films in a stream of gas of specified analyte concentration and their subsequent recovery. The sensing properties of a family of porphyrins exposed to analytes have been systematically evaluated. Both metalled and free base porphyrins have shown response to a variety of analytes. A range of zinc porphyrins were exposed to amines, showing a large response to the analytes. Free base porphyrins showed a large response to carboxylic acids and nitrogen dioxide. It was expected that the porphyrins containing strong electron donating properties within their side groups would show a high response to analytes. Nevertheless, the interaction of porphyrin-analyte is not only limited to the electron donating nature of the side groups but also depends on the porphyrin-porphyrin interactions. Strong porphyrin-porphyrin interactions led to densely packed films; limiting the access of the analyte to the porphyrin binding sites. AFM analysis has shown that an open structure leads to a higher sensor response. Hence, a combination of the electron donating nature within the side groups and an open structure would be required to register a high sensor response. The response of the sensing material has been improved by incorporating optically transparent host materials which disperse the porphyrin molecules and reduce detrimental aggregation on the monolayers. The expansion of various families of free base porphyrin monolayers upon the exposure to trifluoroacetic acid has been studied by developing a quartz crystal microbalance to determine how exposure to acid influences the molecular orientation on the Langmuir surface, and after deposition onto a substrate. Upon exposure, protonation of the porphine caused Coulombic repulsion between the molecules. This led to a new polar and charged system. The reorientation of the porphyrin molecules showed a lower density of the monolayers, reducing the initial pre-exposed aggregated state. This thesis also presents a vapour chamber design which uses LB films of porphyrin as a sensitizer and a paired LED/photo detector as a transducer. This low cost sensor system is capable of the detecting different gaseous analytes. Regularly, absorption of porphyrins are modelled by the Langmuir absorption model. However, the response of these sensors has been shown to follow the Freundlich absorption model due to the non-linear response of the photo detectors. The sensor can detect concentrations of 2-methyl-2-butanol ranging from 4.36 to 41 ppt. The temperature dependence of the sensor was studied, leading to a calculated enthalpy of absorption with a value of 0.28 eV

Sex Differences in the Sex Differences in the Effects of Environmental Enrichment After an Early Life Stressor

Studies have shown that environmental enrichment can compensate for the effects of an early life stressor such as maternal separation. Behavioral responses and immunohistochemical markers in rats are affected by environmental enrichment after maternal separation. In this study we seek to investigate whether sex influences the behavioral responses of environmental enrichment after maternal separation. Prior scientific evidence suggests that there are behavioral sex differences in: 1) neural processes underlying successful or failed fear extinction (Gruene et al, 2014); (2) prenatal stress exposure and response to behavioral anxiety tests (Said et al, 2015); and (3) glutamate receptor expression in response to prenatal chronic mild stress (Wang et al, 2015). Therefore, we hypothesize that there will be behavioral differences in depression and anxiety-like behaviors according to sex after environmental enrichment following an early life stressor. Male and female rat pups were separated from their dam 3 hours daily from postnatal day 1-21 inclusive. From postnatal day 22-77, rats were placed in an enriched environment or standard housing. To measure depression-like behaviors, we used the forced swim test. To measure anxiety behaviors, we used the open field test. Following this, rats were sacrificed and brains removed for further immunohistochemical studies. Preliminary results show that female rats are having higher anxiety responses than males. On the contrary, males show higher depression-like behaviors. Environmental enrichment seems to be improving behavior in males but having little effects in females

The histology of dermal glands of mating Breviceps with comments on their possible functional value in microhylids (Amphibia: Anura)

During mating male and female Breviceps become ‘glued’ together. The distribution of multicellular dermal glands varies between the sexes. The mate has a large number of holocrine glands on the ventrum, while the female has similar glands on the dorsum of the back. II thus appears that both sexes contribute to the ‘glueing’ mechanism. New hypotheses to explain the adhesion between the sexes are proposed, viz., that the shift to terrestrial habils and subterranean laying in Breviceps have secondarily resulted in male si2e diminution. In other microhylids which adhere during aquatic oviposition, yet demonstrate a terrestrial morphology and habits, bouyancy is suggested to be of primary functional value.Material digitalizado en SEDICI gracias a la colaboración del Dr. Jorge Williams (FCNM-UNLP).Facultad de Ciencias Naturales y Muse