Simulation and Estimation of Loss Given Default

The aim of our paper is the development of an adequate estimation model for the loss given default, which incorporates the empirically observed bimodality and bounded nature of the distribution. Therefore we introduce an adjusted Expectation Maximization algorithm to estimate the parameters of a univariate mixture distribution, consisting of two beta distributions. Subsequently these estimations are compared with the Maximum Likelihood estimators to test the efficiency and accuracy of both algorithms. Furthermore we analyze our derived estimation model with estimation models proposed in the literature on a synthesized loan portfolio. The simulated loan portfolio consists of possibly loss-influencing parameters that are merged with loss given default observations via a quasi-random approach. Our results show that our proposed model exhibits more accurate loss given default estimators than the benchmark models for different simulated data sets comprising obligor-specific parameters with either high predictive power or low predictive power for the loss given default.Bimodality, EM Algorithm, Loss Given Default, Maximum Likelihood, Mixture Distribution, Portfolio Simulation

Measures of Predictive Success for Rating Functions

Aim of our paper is to develop an adequate measure of predictive success and accuracy of rating functions. At first, we show that the common measures of rating accuracy, i.e. area under curve and accuracy ratio, respectively, lack of informative value of single rating classes. Selten (1991) builds up an axiomatic framework for measures of predictive success. Therefore, we introduce a measure for rating functions that fulfills the axioms proposed by Selten (1991). Furthermore, an empirical investigation analyzes predictive power and accuracy of Standard & Poor's and Moody's ratings, and compares the rankings according to area under curve and our measure.Accuracy Measure, Rating Functions, Predictive Success, Discriminative Power

Economic Loan Loss Provision and Expected Loss

The intention of a loss provision is the anticipation of credit's expected losses by adjusting the book values of the credits. Furthermore, this loan loss provision has to be compared to the expected loss according to Basel II and if necessary, equity has to be adjusted. This however assumes that the loan loss provision and the expected loss are comparable, which is only valid conditionally in current loan loss provisioning methods according to IAS. The provisioning and accounting model developed in this paper overcomes the before mentioned shortcomings and is consistent with an economic rationale of expected losses. We introduce a de¯nition of expected loss referring to the whole maturity of the loan and show that this measure can be reasonably compared with loan loss provisions. Additionally, this model is based on a close-to-market valuation of the loan. Suggestions for changes in current accounting and capital requirement rules are provided.loan loss provision, expected loss, IAS, Basel II

Dividend Yield and Stability versus Performance at the German Stock Market

It is often examined in the literature whether the dividend yields of stocks correlate with their total returns. This paper analyzes the effect of dividend yield on return as well as on risk and on performance of stocks and stock portfolios. Not only the influence of dividend yield but also of dividend stability is subject of our analysis. Furthermore, tax aspects are considered. Our data set comprises daily adjusted stock prices and dividend payment data from the German capital market over the period 2000 to 2006. We use stocks from the HDAX, which include blue chips (DAX), stocks of medium-sized companies (MDAX), and stocks of technology firms (TecDAX). Our findings suggest that the performance generally improves with an increasing dividend yield. However, this result is rather based on risk reduction than on a higher return where risk reduction diminishes by increasing the degree of diversification.dividend yield, dividend stability, diversification, performance

Economic Loan Loss Provision and Expected Loss

The intention of a loss provision is the anticipation of credit\u27s expected losses by adjusting the book values of the credits. Furthermore, this loan loss provision has to be compared to the expected loss according to Basel II and if necessary, equity has to be adjusted. This however assumes that the loan loss provision and the expected loss are comparable, which is only valid conditionally in current loan loss provisioning methods according to IAS. The provisioning and accounting model developed in this paper overcomes the before mentioned shortcomings and is consistent with an economic rationale of expected losses. We introduce a de¯nition of expected loss referring to the whole maturity of the loan and show that this measure can be reasonably compared with loan loss provisions. Additionally, this model is based on a close-to-market valuation of the loan. Suggestions for changes in current accounting and capital requirement rules are provided

Measures of Predictive Success for Rating Functions

Aim of our paper is to develop an adequate measure of predictive success and accuracy of rating functions. At first, we show that the common measures of rating accuracy, i.e. area under curve and accuracy ratio, respectively, lack of informative value of single rating classes. Selten (1991) builds up an axiomatic framework for measures of predictive success. Therefore, we introduce a measure for rating functions that fulfills the axioms proposed by Selten (1991). Furthermore, an empirical investigation analyzes predictive power and accuracy of Standard & Poor\u27s and Moody\u27s ratings, and compares the rankings according to area under curve and our measure.Aim of our paper is to develop an adequate measure of predictive success and accuracy of rating functions. At first, we show that the common measures of rating accuracy, i.e. area under curve and accuracy ratio, respectively, lack of informative value of single rating classes. Selten (1991) builds up an axiomatic framework for measures of predictive success. Therefore, we introduce a measure for rating functions that fulfills the axioms proposed by Selten (1991). Furthermore, an empirical investigation analyzes predictive power and accuracy of Standard & Poor\u27s and Moody\u27s ratings, and compares the rankings according to area under curve and our measure

Simulation and Estimation of Loss Given Default

The aim of our paper is the development of an adequate estimation model for the loss given default, which incorporates the empirically observed bimodality and bounded nature of the distribution. Therefore we introduce an adjusted Expectation Maximization algorithm to estimate the parameters of a univariate mixture distribution, consisting of two beta distributions. Subsequently these estimations are compared with the Maximum Likelihood estimators to test the efficiency and accuracy of both algorithms. Furthermore we analyze our derived estimation model with estimation models proposed in the literature on a synthesized loan portfolio. The simulated loan portfolio consists of possibly loss-influencing parameters that are merged with loss given default observations via a quasi-random approach. Our results show that our proposed model exhibits more accurate loss given default estimators than the benchmark models for different simulated data sets comprising obligor-specific parameters with either high predictive power or low predictive power for the loss given default

Dividend Yield and Stability versus Performance at the German Stock Market

It is often examined in the literature whether the dividend yields of stocks correlate with their total returns. This paper analyzes the effect of dividend yield on return as well as on risk and on performance of stocks and stock portfolios. Not only the influence of dividend yield but also of dividend stability is subject of our analysis. Furthermore, tax aspects are considered. Our data set comprises daily adjusted stock prices and dividend payment data from the German capital market over the period 2000 to 2006. We use stocks from the HDAX, which include blue chips (DAX), stocks of medium-sized companies (MDAX), and stocks of technology firms (TecDAX). Our findings suggest that the performance generally improves with an increasing dividend yield. However, this result is rather based on risk reduction than on a higher return where risk reduction diminishes by increasing the degree of diversification

Red blood cells tracking and cell-free layer formation in a microchannel with hyperbolic contraction: a CFD model validation

Background and Objective: In recent years, progress in microfabrication technologies has attracted the attention of researchers across disciplines. Microfluidic devices have the potential to be developed into powerful tools that can elucidate the biophysical behavior of blood flow in microvessels. Such devices can also be used to separate the suspended physiological fluid from whole in vitro blood, which includes cells. Therefore, it is essential to acquire a detailed description of the complex interaction between erythrocytes (red blood cells; RBCs) and plasma. RBCs tend to undergo axial migration caused by occurrence of the Fåhræus-Lindqvist effect. These dynamics result in a cell-free layer (CFL), or a low volume fraction of cells, near the vessel wall. The aim of the paper is to develop a numerical model capable of reproducing the behavior of multiphase flow in a microchannel obtained under laboratory conditions and to compare two multiphase modelling techniques Euler-Euler and Euler-Lagrange. Methods: In this work, we employed a numerical Computational Fluid Dynamics (CFD) model of the blood flow within microchannels with two hyperbolic contraction shapes. The simulation was used to reproduce the blood flow behavior in a microchannel under laboratory conditions, where the CFL formation is visible downstream of the hyperbolic contraction. The multiphase numerical model was developed using Euler-Euler and hybrid Euler-Lagrange approaches. The hybrid CFD simulation of the RBC transport model was performed using a Discrete Phase Model. Blood was assumed to be a nonhomogeneous mixture of two components: dextran, whose properties are consistent with plasma, and RBCs, at a hematocrit of 5% (percent by volume of RBCs). Results: The results show a 5 μm thick CFL in a microchannel with a broader contraction and a 35 μm thick CFL in a microchannel with a narrower contraction. The RBC volume fraction in the CFL is less than 2%, compared to 7–8% in the core flow. The results are consistent for both multiphase simulation techniques used. The simulation results were then validated against the experimentally-measured CFL in each of the studied microchannel geometries. Conclusions: Reasonable agreement between experiments and simulations was achieved. A validated model such as the one tested in this study can expedite the microchannel design process by minimizing the need to prefabricate prototypes and test them under laboratory conditions.The work was partially supported by the Faculty of Energy and Environmental Engineering, Silesian University of Technology (SUT) within Ministry of Education and Science (Poland) statutory research funding scheme (MG, ZO) and by the Silesian University of Technology rector’s pro-quality grants No. 02/040/RGJ21/1011 (SS) and 08/060/RGJ21/1017 (ZO) and National Center of Science (Poland) No. 2017/27/B/ST8/01046 (BM). Rui Lima and João M. Miranda were partially funded by Portuguese national funds of FCT/MCTES (PIDDAC) through the base funding from the following research units: UIDB/00532/2020 (Transport Phenomena Research Center CEFT) and UIDB/04077/2020 (MEtRICs)

Rab27a controls HIV-1 assembly by regulating plasma membrane levels of phosphatidylinositol 4,5-bisphosphate

During the late stages of the HIV-1 replication cycle, the viral polyprotein Pr55Gag is recruited to the plasma membrane (PM), where it binds phosphatidylinositol 4,5-bisphosphate (PI(4,5)P2) and directs HIV-1 assembly. We show that Rab27a controls the trafficking of late endosomes carrying phosphatidylinositol 4-kinase type 2 α (PI4KIIα) toward the PM of CD4+ T cells. Hence, Rab27a promotes high levels of PM phosphatidylinositol 4-phosphate and the localized production of PI(4,5)P2, therefore controlling Pr55Gag membrane association. Rab27a also controls PI(4,5)P2 levels at the virus-containing compartments of macrophages. By screening Rab27a effectors, we identified that Slp2a, Slp3, and Slac2b are required for the association of Pr55Gag with the PM and that Slp2a cooperates with Rab27a in the recruitment of PI4KIIα to the PM. We conclude that by directing the trafficking of PI4KIIα-positive endosomes toward the PM, Rab27a controls PI(4,5)P2 production and, consequently, HIV-1 replication.Fil: Pereyra Gerber, Federico Pehuén. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Investigaciones Biomédicas en Retrovirus y Sida. Universidad de Buenos Aires. Facultad de Medicina. Instituto de Investigaciones Biomédicas en Retrovirus y Sida; ArgentinaFil: Cabrini, Mercedes. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Investigaciones Biomédicas en Retrovirus y Sida. Universidad de Buenos Aires. Facultad de Medicina. Instituto de Investigaciones Biomédicas en Retrovirus y Sida; ArgentinaFil: Jancic, Carolina Cristina. Consejo Nacional de Investigaciones Científicas y Técnicas. Instituto de Medicina Experimental. Academia Nacional de Medicina de Buenos Aires. Instituto de Medicina Experimental; ArgentinaFil: Paoletti, Luciana Elisa. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Rosario. Instituto de Biología Molecular y Celular de Rosario. Universidad Nacional de Rosario. Facultad de Ciencias Bioquímicas y Farmacéuticas. Instituto de Biología Molecular y Celular de Rosario; ArgentinaFil: Banchio, Claudia Elena. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Rosario. Instituto de Biología Molecular y Celular de Rosario. Universidad Nacional de Rosario. Facultad de Ciencias Bioquímicas y Farmacéuticas. Instituto de Biología Molecular y Celular de Rosario; ArgentinaFil: Von Bilderling, Catalina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Física de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Física de Buenos Aires; ArgentinaFil: Sigaut, Lorena. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Centro de Microscopías Avanzadas; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Pietrasanta, Lia. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Centro de Microscopías Avanzadas; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Duette, Gabriel. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Investigaciones Biomédicas en Retrovirus y Sida. Universidad de Buenos Aires. Facultad de Medicina. Instituto de Investigaciones Biomédicas en Retrovirus y Sida; ArgentinaFil: Freed, Eric O.. National Cancer Institute at Frederick; Estados UnidosFil: Basile, Genevieve de Saint. Institut National de la Santé et de la Recherche Médicale; FranciaFil: Moita, Catarina Ferreira. Instituto Gulbenkian de Ciencia; PortugalFil: Moita, Luis Ferreira. Instituto Gulbenkian de Ciencia; PortugalFil: Amigorena, Sebastian. Institute Curie; FranciaFil: Benaroch, Philippe. Institute Curie; FranciaFil: Geffner, Jorge Raúl. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Investigaciones Biomédicas en Retrovirus y Sida. Universidad de Buenos Aires. Facultad de Medicina. Instituto de Investigaciones Biomédicas en Retrovirus y Sida; ArgentinaFil: Ostrowski, Matias. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Houssay. Instituto de Investigaciones Biomédicas en Retrovirus y Sida. Universidad de Buenos Aires. Facultad de Medicina. Instituto de Investigaciones Biomédicas en Retrovirus y Sida; Argentin