1,159 research outputs found
Quantitative Validation: An Overview and Framework for PD Backtesting and Benchmarking.
The aim of credit risk models is to identify and quantify future outcomes of a set of risk measurements. In other words, the model's purpose is to provide as good an approximation as possible of what constitutes the true underlying risk relationship between a set of inputs and a target variable. These parameters are used for regulatory capital calculations to determine the capital needed that serves a buffer to protect depositors in adverse economic conditions. In order to manage model risk, financial institutions need to set up validation processes so as to monitor the quality of the models on an ongoing basis. Validation is important to inform all stakeholders (e.g. board of directors, senior management, regulators, investors, borrowers, …) and as such allow them to make better decisions. Validation can be considered from both a quantitative and qualitative point of view. Backtesting and benchmarking are key quantitative validation tools. In backtesting, the predicted risk measurements (PD, LGD, CCF) will be contrasted with observed measurements using a workbench of available test statistics to evaluate the calibration, discrimination and stability of the model. A timely detection of reduced performance is crucial since it directly impacts profitability and risk management strategies. The aim of benchmarking is to compare internal risk measurements with external risk measurements so to allow to better gauge the quality of the internal rating system. This paper will focus on the quantitative PD validation process within a Basel II context. We will set forth a traffic light indicator approach that employs all relevant statistical tests to quantitatively validate the used PD model, and document this complete approach with a reallife case-study.Framework; Benchmarking; Credit; Credit scoring; Control;
Charge Dynamics at the Silicon(001) Surface Studied by Scanning Tunneling Microscopy and Surface Photovoltage
Scanning tunneling microscopy measurements of local surface photovoltage of the Si(001) surface reveal the existence of local charging produced by the tunneling current. Since the tunneling current is confined to a region of near atomic dimensions, charge transport between surface and bulk electronic states is probed with high spatial resolution. The surface charge is enhanced while tunneling at the bonded, type-B atomic step and at specific point defects demonstrating atomic-scale variations in the charge dynamics
Experimental demonstration of CLC and the pressure effect in packed bed reactors using NiO/CaAl2O4 as oxygen carrier
Theoretical study of isolated dangling bonds, dangling bond wires and dangling bond clusters on H:Si(100)-(21) surface
We theoretically study the electronic band structure of isolated unpaired and
paired dangling bonds (DB), DB wires and DB clusters on H:Si(100)-(21)
surface using Extended H\"uckel Theory (EHT) and report their effect on the Si
band gap. An isolated unpaired DB introduces a near-midgap state, whereas a
paired DB leads to and states, similar to those introduced by an
unpassivated asymmetric dimer (AD) Si(100)-(21) surface. Such induced
states have very small dispersion due to their isolation from the other states,
which reside in conduction and valence band. On the other hand, the surface
state induced due to an unpaired DB wire in the direction along the dimer row
(referred to as ), has large dispersion due to the strong coupling
between the adjacent DBs, being 3.84 apart. However, in the direction
perpendicular to the dimer row (referred to as [110]), due to the reduced
coupling between the DBs being 7.68 apart, the dispersion in the surface
state is similar to that of an isolated unpaired DB. Apart from this, a paired
DB wire in direction introduces and states similar
to those of an AD surface and a paired DB wire in [110] direction exhibits
surface states similar to those of an isolated paired DB, as expected. Besides
this, we report the electronic structure of different DB clusters, which
exhibit states inside the band gap that can be interpreted as superpositions of
states due to unpaired and paired DBs.Comment: 7 pages, 10 figure, 1 tabl
On the Connection of Anisotropic Conductivity to Tip Induced Space Charge Layers in Scanning Tunneling Spectroscopy of p-doped GaAs
The electronic properties of shallow acceptors in p-doped GaAs{110} are
investigated with scanning tunneling microscopy at low temperature. Shallow
acceptors are known to exhibit distinct triangular contrasts in STM images for
certain bias voltages. Spatially resolved I(V)-spectroscopy is performed to
identify their energetic origin and behavior. A crucial parameter - the STM
tip's work function - is determined experimentally. The voltage dependent
potential configuration and band bending situation is derived. Ways to validate
the calculations with the experiment are discussed. Differential conductivity
maps reveal that the triangular contrasts are only observed with a depletion
layer present under the STM tip. The tunnel process leading to the anisotropic
contrasts calls for electrons to tunnel through vacuum gap and a finite region
in the semiconductor.Comment: 11 pages, 8 figure
Sedimentary geology of the Middle Carboniferous of the Donbas region (Dniepr-Donets basin, Ukraine)
Peer reviewedPublisher PD
On the Convexity of Games Corresponding to Sequencing Situations with Due Dates
This paper considers sequencing situations with due date criteria. Three different types of criteria are considered: the weighted penalty criterion, the weighted tardiness criterion and the completion time criterion. The main focus is on convexity of the associated cooperative games.Sequencing situations;Due date criteria;Cooperative games;Convexity
NiO/CaAl2O4 as active oxygen carrier for low temperature chemical looping applications
The implementation of CO2 capture systems in conventional processes has been proposed by the IPCC as an effective way to reduce anthropogenic CO2 emissions. However, these capture systems may represent an important decrease in the global efficiency for conventional processes. Chemical Looping has already been demonstrated as a promising technology for more efficient CO2 capture. Novel reactor concepts have been proposed in the literature, in which the reactions take place at lower temperatures with increased overall energy efficiency. However, few investigations have been carried out regarding the behaviour of oxygen carriers at relatively low operating temperatures. In this work, an active Ni-based oxygen carrier supported on CaAl2O4 inert material has been tested and characterized. The oxygen carrier has shown a promising behaviour for low temperature applications. However, it has been demonstrated that the oxygen carrier has to be pre-treated because of an interesting activation process which takes place only at high reduction temperatures. Oxygen carrier activation is caused by a reorganization of superficial nickel. Fresh oxygen carrier is covered by a layer of nickel with a strong interaction with the support. However, once the sample is reduced at high temperatures Ni is reorganized into small grains with reduced interaction with the support. This results in an enhancement in the reactivity and a higher oxygen transport capacity. After about 200 redox cycles, a small decrease in the solid conversion is observed due to agglomeration of the NiO grains. Nevertheless, the redox kinetics is still sufficiently fast for low temperature applications, provided that the oxygen carrier is pre-activated. The kinetics rates for the gas–solid reactions and gas-phase catalytic reactions have been determined, which can be used to predict the performance of the activated NiO/CaAl2O4 oxygen carrier for low temperature chemical looping applications
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