Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology

This paper analyses European banks’ probability of default (PD) by estimating a new measure that is based on the SYstemic Model of Bank Originated Losses (SYMBOL). First, we calculate the individual PD of a sample of European credit institutions during the period of 2011–2016. Then, dynamic panel data models are estimated to analyse the influence of several bank-specific and macroeconomic variables on the PD. We conclude that capital adequacy, liquidity, asset quality and profitability indicators influence the European banks’ PD. The macroeconomic scenario, the industry concentration and the size of banks also appear to have an impact on their risk.Fundación de la Universidad de Cantabria para el Estudio y la Investigación del sector Financiero (UCEIF) y el Banco Santander

Risk profile indicators and Spanish banks’ probability of default from a regulatory approach

This paper analyses the relationships between the traditional bank risk profile indicators and a new measure of banks’ probability of default that considers the Basel regulatory framework. First, based on the SYstemic Model of Bank Originated Losses (SYMBOL), we calculated the individual probabilities of default (PD) of a representative sample of Spanish credit institutions during the period of 2008–2016. Then, panel data regressions were estimated to explore the influence of the risk indicators on the PD. Our findings on the Spanish banking system could be important to regulatory and supervisory authorities. First, the PD based on the SYMBOL model could be used to analyse bank risk from a regulatory approach. Second, the results might be useful for designing new regulations focused on the key factors that affect the banks’ probability of default. Third, our findings reveal that the emphasis on regulation and supervision should differ by type of entity

Regulatory estimates for defaulted exposures: A case study of Spanish mortgages

The capital requirements derived from the Basel Accord were issued with the purpose of deploying a transnational regulatory framework. Further regulatory developments on risk measurement is included across several documents published both by the European Banking Authority and the European Central Bank. Among others, the referred additional documentation focused on the models’ estimation and calibration for credit risk measurement purposes, especially the Advanced Internal-Ratings Based models, which may be estimated both for non-defaulted and defaulted assets. A concrete proposal of the referred defaulted exposures models, namely the Expected Loss Best Estimate (ELBE) and the Loss Given Default (LGD) in-default, is presented. The proposed methodology is eventually calibrated on the basis of data from the mortgage’s portfolios of the six largest financial institutions in Spain. The outcome allows for a comparison of the risk profile particularities attached to each of the referred portfolios. Eventually, the economic sense of the results is analyzed.Regional Government of Andalusia, Spain (Research Group SEJ-555)

Forecasting for regulatory credit loss derived from the COVID-19 pandemic: A machine learning approach

The economic onslaught of the COVID-19 pandemic has compromised the risk management of financial institutions. The consequences related to such an unprecedented situation are difficult to foresee with certainty using traditional methods. The regulatory credit loss attached to defaulted mortgages, so-called expected loss best estimate (ELBE), is forecasted using a machine learning technique. The projection of two ELBEs for 2022 and their comparison are presented. One accounts for the outbreak’s impact, and the other presumes the nonexistence of the pandemic. Then, it is concluded that the referred crisis surely adversely affects said high-risk portfolios. The proposed method has excellent performance and may serve to estimate future expected and unexpected losses amidst any event of extraordinary magnitud

Evaluation of European Deposit Insurance Scheme Funding based on risk analysis

We carry out a quantitative analysis of the financing measures proposed for the European Deposit Insurance Scheme (EDIS) regarding the target level of the fund and the contribution scheme of member entities. We estimate the loss distribution of the EDIS considering different sources of systemic risk associated with the correlations between bank assets and we analyse the sensitivity of the results to bank portfolio risk. Our findings show how the interconnection between banks of different countries has an important influence on accumulated losses in the tail of the distribution. Likewise deterioration in the quality of bank portfolios produces a significant reduction in the fund’s loss-absorbing capacity, which calls into question its soundness in times of economic recession. Finally, the contribution scheme provides more equitable risk measures and may be an appropriate incentive to reduce moral hazard in the Banking Union

Comportamiento reológico no estacionario de emulsiones aceite en agua estabilizadas con un palmitato de sacarosa.

Non-steady flow properties of concentrated oil in water emulsions containing oil (60-80% wt.), water and sucrose palmitate (1-5% wt.) of high hydrophilic-lypophilic balance were investigated. Stress growth, steady flow and linear viscoelastic measurements were carried out for this study. The emulsions studied exhibited a thixotropic behavior showing a very rapid stress overshoot. The stress decay was fitted to a Figoni-Shoemaker model using two exponentials. An stress undershoot was also produced under certain conditions. Shear brought about strong structural changes, such as droplet size redistribution at high oil content and temperature. Thus, the steady state viscosity does not fit an Arrhenius type equation with temperature. A shear thinning behavior was found for the steady state viscosity and the peak viscosity.Se han estudiado emulsiones de calidad alimentaria aceite en agua estabilizadas por un palmitato de sacarosa de HLB=15. Dichas emulsiones se fabricaron a concentraciones comprendidas entre el 60 y el 80% (p/p) en peso de aceite vegetal con un 1-5% (p/p) en peso del sucroéster empleado como emulsionante. Para llevar a cabo este estudio se realizaron ensayos de crecimiento del esfuerzo, flujo estacionario y cizalla oscilatoria. Todos los sistemas estudiados presentan un comportamiento tixotrópico en flujo transitorio. Bajo determinadas condiciones, la cizalla puede hacer que el esfuerzo vuelva a aumentar con el tiempo tras haber alcanzado un valor pseudoestacionario. Este hecho se ha relacionado con una redistribución de tamaños de gota como consecuencia de la cizalla. Como resultado, la cizalla provoca una intensa destrucción estructural en los sitemas estudiados, no pudiéndose ajusfar la ecuación de Arrhenius a todo el Intervalo de temperaturas estudiado

Unlocking the Dual Helical Ribbon for rotational viscosity measurements of highly heterogeneous fluids

Road bituminous binders are becoming more complex since, to enhance properties and/or engineer circular economy, the conventional binder is enriched with modifiers of different nature giving birth to a final-product recognisable as highly heterogeneous fluid. The assessment of these materials relies on rheological measurements; however, existing testing equipment are designed for homogeneous fluids, proving to be often inadequate. In fact, rotational testing lacking mixing efficiency during measurements, can compromise sample stability, resulting in non-representative results Lo Presti et al. (2014). To address these challenges, a dual helical ribbons (DHR) was purposefully created and successfully employed in prior studies to measure the rotational viscosity of highly heterogeneous asphalt materials Giancontieri et al. (2019). While the DHR effectiveness has been extensively discussed in earlier investigations, this study aims to contribute to the scientific community at large by providing: state-of-the-art on improving mixing efficiency of highly heterogeneous fluids, rationalizing the choice of the DHR geometry comprehensive technical details for realising any DHR, verified through numerical modelling Calibration with model input parameters achieved by adopting the Rieger and Novak method, and finally design validation. The authors aim for the broader material science community to benefit from this investigation, enabling technologists to independently develop DHR devices and explore new applications

Inelastic neutron scattering studies of methyl chloride synthesis over alumina

Not only is alumina the most widely used catalyst support material in the world, it is also an important catalyst in its own right. One major chemical process that uses alumina in this respect is the industrial production of methyl chloride. This is a large scale process (650 000 metric tons in 2010 in the United States), and a key feedstock in the production of silicones that are widely used as household sealants. In this Account, we show how, in partnership with conventional spectroscopic and reaction testing methods, inelastic neutron scattering (INS) spectroscopy can provide additional insight into the active sites present on the catalyst, as well as the intermediates present on the catalyst surface.<p></p> INS spectroscopy is a form of vibrational spectroscopy, where the spectral features are dominated by modes involving hydrogen. Because of this, most materials including alumina are largely transparent to neutrons. Advantageously, in this technique, the entire “mid-infrared”, 0–4000 cm<sup>–1</sup>, range is accessible; there is no cut-off at 1400 cm<sup>–1</sup> as in infrared spectroscopy. It is also straightforward to distinguish fundamental modes from overtones and combinations. <p></p> A key parameter in the catalyst’s activity is the surface acidity. In infrared spectroscopy of adsorbed pyridine, the shifts in the ring stretching modes are dependent on the strength of the acid site. However, there is a very limited spectral range available. We discuss how we can observe the low energy ring deformation modes of adsorbed pyridine by INS spectroscopy. These modes can undergo shifts that are as large as those seen with infrared inspectroscopy, potentially enabling finer discrimination between acid sites. <p></p> Surface hydroxyls play a key role in alumina catalysis, but in infrared spectroscopy, the presence of electrical anharmonicity complicates the interpretation of the O–H stretch region. In addition, the deformations lie below the infrared cut-off. Both of these limitations are irrelevant to INS spectroscopy, and all the modes are readily observable. When we add HCl to the catalyst surface, the acid causes changes in the spectra. We can then deduce both that the surface chlorination leads to enhanced Lewis acidity and that the hydroxyl group must be threefold coordinated. <p></p> When we react η-alumina with methanol, the catalyst forms a chemisorbed methoxy species. Infrared spectroscopy clearly shows its presence but also indicates the possible coexistence of a second species. Because of INS spectroscopy’s ability to discriminate between fundamental modes and combinations, we were able to unambiguously show that there is a single intermediate present on the surface of the active catalyst. This work represents a clear example where an understanding of the chemistry at the molecular level can help rationalize improvements in a large scale industrial process with both financial and environmental benefits. <p></p&gt

Research collaboration in solar radiometry between the University of Reunion Island and the University of Kwazulu-Natal

Paper presented to the 3rd Southern African Solar Energy Conference, South Africa, 11-13 May, 2015.Since 2012, the Universities of KwaZulu-Natal and Reunion Island have collaborated on a joint programme of solar energy research. The initiative has two principle aims: the development of solar forecasting techniques and the expansion of solar monitoring capabilities from continental Africa into the southern Indian Ocean region. In this paper, we introduce the programme and review the progress made. A key activity is performance validation of a low-cost radiometric sensor, the Delta-T Devices SPN1, which has been operated at a UKZN ground station for comparison against reference sensors. The instrument potentially represents an opportunity to expand existing radiometric networks by reducing the cost of ground station facilities. A novel feature of the device is its use of seven thermopile sensors and a stationery shading mask which together enable the simultaneous measurement of global horizontal and diffuse horizontal irradiance. It is important that the instrument performance should first be assessed, however, so that its measurement uncertainty is known ahead of deployment. Data from the UKZN trial are included in the paper, along with a description of a meteorological classification system that may be used in solar forecasting systems. The system is based on the direct solar fraction, that is, the ratio of direct horizontal irradiance to global horizontal irradiance. A clustering methodology is described and sample data are provided to illustrate the ability of the method to segregate days into statistically significant bins.cf201

Specificity of the point-of-care urine strip test for schistosoma circulating cathodic antigen (POC-CCA) tested in non-endemic pregnant women and young children

ABSTRACTThe point-of-care urine based strip test for the detection of circulating cathodic antigen (POC-CCA) in schistosome infections is a frequently used tool for diagnosis and mapping of Schistosoma mansoni in school-aged children. Because of its ease of use, the test is increasingly applied to adults and preschool-aged children (PSAC), but its performance has not been specifically evaluated in these target groups. Recent observations have raised concerns about possible reduced specificity, in particular in pregnant women (PW) and PSAC. We thus explored specificity of the POC-CCA urine strip test (Rapid Medical Diagnostics, Pretoria, South Africa) in a non-endemic, nonexposed population of 47 healthy nonpregnant adults (NPAs), 52 PW, and 58 PSAC. A total of 157 urines were tested with POC-CCA, of which five (10.6%) NPAs, 17 (32.7%) PW, and 27 (46.5%) PSAC were positive. The highest scores were found in the youngest babies, with an infant of 9 months being the oldest positive case. On measuring pH, it appeared that all POC-CCA strongly positive urines were acidic (pH range 5–5.5), whereas addition of pH-neutral buffer to a subsample reversed the false positivity. We conclude that the POC-CCA test has reduced specificity in PW and infants younger than 9 months, but that the false positivity might be eliminated by modifications in the buffers used in the test.Cancer Signaling networks and Molecular Therapeutic