A Non-parametric Approach to Incorporating Incomplete Workouts Into Loss Given Default Estimates

When estimating Loss Given Default (LGD) parameters using a workout approach, i.e. discounting cash flows over the workout period, the problem arises of how to take into account partial recoveries from incomplete work-outs. The simplest approach would see LGD based on complete recovery profiles only. Whilst simple, this approach may lead to data selection bias, which may be at the basis of regulatory guidance requiring the assessment of the relevance of incomplete workouts to LGD estimation. Despite its importance, few academic contributions have covered this topic. We enhance this literature by developing a non-parametric estimator that -under certain distributional assumptions on the recovery profiles- aggregates complete and incomplete workout data to produce unbiased and more efficient estimates of mean LGD than those obtained from the estimator based on resolved cases only. Our estimator is appropriate in LGD estimation for wholesale portfolios, where the exposure-weighted LGD estimators available in the literature would not be applicable under Basel II regulatory guidance.Credit risk; bank loans; loss-given-default; LGD; incomplete observations; mortality curves

The whiteflies (Hemiptera : Aleyrodidae) of Europe and the Mediterranean Basin

The whitefly fauna of Europe and the Mediterranean Basin comprises 56 species that are considered to be native or naturalized, accommodated within 25 genera. Presented here are a check-list, an identification key to puparia, and a brief account of each species including its distribution and host-plant range. The puparium of each species is illustrated. One new nomenclatural combination (Aleuroclava similis, fromAleurotuberculatus) and two new synonymies (Parudamoselis kesselyaki with Ceraleurodicus varus, Asterobemisia nigrini with A. paveli) are proposed. Three nominal species (Aleurodes capreae, A. fraxini, and Aleyrodes campanulae) are here treated as nomina dubia. Species which, in the study area, have only been recorded from glasshouses are discussed. Four additional species, not yet recorded from the region, are included in the discussion, two of them because a particular quarantine risk is perceived and two because they are notifiable pests in European Union quarantine legislation.peer-reviewe

Conceptual design of the EU-DEMO dual coolant lithium lead equatorial module

© 20xx IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.Within the framework of EUROfusion Program, the Dual Coolant Lithium Lead (DCLL) is one of the four EU breeder blanket concepts that are being investigated as candidates for DEMO. DCLL uses PbLi as the main coolant, tritium breeder, tritium carrier, and neutron multiplier. The main structures, including the first wall, are cooled with helium. The EU program proposed for the next years will consider a DCLL version limited to 550 °C in order to allow the use of conventional materials and technologies. During the first year of EUROfusion activities, a draft design of the DCLL has been proposed. The main blanket performances were adapted to the new specifications and the CAD model of DEMO. The breeder zone has been toroidally divided into four parallel PbLi circuits, separated through stiffening grid radial walls. The PbLi flow routing has been designed to maximize the amount of thermal power extracted by flowing PbLi and to avoid the occurrence of reverse flows due to volumetric heating. Thermal hydraulics, magnetohydrodynamic and neutronics calculations have been performed for the first draft design. The new DCLL design employs Eurofer-alumina-Eurofer sandwich as flow channel insert (FCI).Postprint (published version

A Non-parametric Approach to Incorporating Incomplete Workouts Into Loss Given Default Estimates

When estimating Loss Given Default (LGD) parameters using a workout approach, i.e. discounting cash flows over the workout period, the problem arises of how to take into account partial recoveries from incomplete work-outs. The simplest approach would see LGD based on complete recovery profiles only. Whilst simple, this approach may lead to data selection bias, which may be at the basis of regulatory guidance requiring the assessment of the relevance of incomplete workouts to LGD estimation. Despite its importance, few academic contributions have covered this topic. We enhance this literature by developing a non-parametric estimator that -under certain distributional assumptions on the recovery profiles- aggregates complete and incomplete workout data to produce unbiased and more efficient estimates of mean LGD than those obtained from the estimator based on resolved cases only. Our estimator is appropriate in LGD estimation for wholesale portfolios, where the exposure-weighted LGD estimators available in the literature would not be applicable under Basel II regulatory guidance

A Non-parametric Approach to Incorporating Incomplete Workouts Into Loss Given Default Estimates

When estimating Loss Given Default (LGD) parameters using a workout approach, i.e. discounting cash flows over the workout period, the problem arises of how to take into account partial recoveries from incomplete work-outs. The simplest approach would see LGD based on complete recovery profiles only. Whilst simple, this approach may lead to data selection bias, which may be at the basis of regulatory guidance requiring the assessment of the relevance of incomplete workouts to LGD estimation. Despite its importance, few academic contributions have covered this topic. We enhance this literature by developing a non-parametric estimator that -under certain distributional assumptions on the recovery profiles- aggregates complete and incomplete workout data to produce unbiased and more efficient estimates of mean LGD than those obtained from the estimator based on resolved cases only. Our estimator is appropriate in LGD estimation for wholesale portfolios, where the exposure-weighted LGD estimators available in the literature would not be applicable under Basel II regulatory guidance

The Lloyd's Register archive: An appraisal

This research note presents the findings of an appraisal of the archives of Lloyd's Register recently undertaken by researchers from Blaydes Maritime Centre at the University of Hull. Funded by the Lloyd's Register Foundation, the aim of this project was to assess the character, extent and evidential quality of a rich yet underutilized assemblage of records relating to shipping and vessel safety from the late eighteenth century. After discussing material generated by the organization's management committees, ship classification process and labour deployment, the research note concludes with a discussion of current and future reader access to this large, historically significant and dynamically evolving collection of primary source materials

Shielding Design Optimization of the Helium-Cooled Pebble Bed Breeding Blanket for the EU DEMO Fusion Reactor

The helium-cooled pebble bed (HCPB) breeding blanket (BB) is one of the two driver-blanket candidates for the European DEMO fusion reactor. Recent design activities were focused, among other objectives, on the achievement of an efficient shielding system to adequately protect the vacuum vessel (VV) and toroidal field coils (TFCs). Several shielding options have been studied in terms of architecture (e.g., in-BB shield and ex-BB shield) and materials (e.g., B$_{4}$C, WC, WB, YHx, and ZrHx). In this study, the B$_{4}$C material was selected as the most attractive option considering not only shielding performance but also availability, industrialization, experience, and cost factors. Subsequently, we performed a parametric study by implementing different thicknesses of a B$_{4}$C external shield and reporting information of its effect on shielding performance, structural behavior, swelling and tritium breeding. Furthermore, a detailed structure for the VV was developed considering an internal layered configuration comprising steels/water with different boron contents. Corresponding shielding analyses were conducted regarding influence on neutron attenuation when implementing such a VV structure for both the baseline consolidated design of the HCPB and one of the previously developed and improved BSS configurations. The most critical responses (neutron flux and dpa) were fully established only using 10 cm B$_{4}$C and an improved VV configuration

Experimental Determination of Hydrogen Isotope Transport Parameters in Vanadium

[EN] Deuterium permeation through vanadium membranes in a wide range of pressures and the temperature range ~250–550 °C was experimentally investigated. Measurements on the same material were carried out in three laboratories with different features for an extended characterization and for cross-check validation. A unified equation for deuterium permeability in pure vanadium (99%) was provided as Φ=1.27×10−4⋅e−8667/T mol m−1 s−1 Pa−0.5, which represents a significant progress for the characterization of the transport properties in this material, given the spread of data, which can currently be found in the literature. Adsorption and recombination rate constants were also measured for hydrogen and deuterium at low pressure for the same range of temperatures. Finally, the influence of the surface roughness was examined by measuring samples with different surface finish.Part of this work was carried out within the framework of the EUROfusion Consortium and received funding from the Euratom research and training programme 2014–2018 and 2019–2020 under grant agreement No 633053. The views and opinions expressed herein do not necessarily reflect those of the European Commission

All-optical aggregation and distribution of traffic in large metropolitan area networks using multi-Tb/s S-BVTs

Current metropolitan area network architectures are based on a number of hierarchical levels that aggregate traffic toward the core at the IP layer. In this setting, routers are interconnected by means of fixed transceivers operating on a point-to-point basis where the rates of transceivers need to match. This implies a great deal of intermediate transceivers to collect traffic and groom and send it to the core. This paper proposes an alternative scheme based on sliceable bandwidth/bitrate variable transceivers (S-BVTs) where the slice-ability property is exploited to perform the aggregation of traffic from multiple edges �� -to-1 rather than 1-to-1. This approach can feature relevant cost reductions through IP offloading at intermediate transit nodes but requires viable optical signal-to-noise ratio (OSNR) margins for all-optical transmission through the network. In this work, we prove through simulation the viability and applicability of this technique in large metro networks with a vertical-cavity-surface-emitting laser-based S-BVT design to target net capacities per channel of 25, 40, and 50 Gb/s. The study reveals that this technology can support most of the paths required for IP offloading after simulation in a semi-synthetic topology modeling a 20-million-inhabitant metropolitan area. Moreover, OSNR margins enable the use of protection paths (secondary disjoint paths) between the target node and the core much longer than primary paths in terms of both the number of intermediate hops and kilometers.European Union H2020 project PASSION, grant no. 780326 (http://www.passion-project.eu/)

Communication calls produced by electrical stimulation of four structures in the guinea pig brain

One of the main central processes affecting the cortical representation of conspecific vocalizations is the collateral output from the extended motor system for call generation. Before starting to study this interaction we sought to compare the characteristics of calls produced by stimulating four different parts of the brain in guinea pigs (Cavia porcellus). By using anaesthetised animals we were able to reposition electrodes without distressing the animals. Trains of 100 electrical pulses were used to stimulate the midbrain periaqueductal grey (PAG), hypothalamus, amygdala, and anterior cingulate cortex (ACC). Each structure produced a similar range of calls, but in significantly different proportions. Two of the spontaneous calls (chirrup and purr) were never produced by electrical stimulation and although we identified versions of chutter, durr and tooth chatter, they differed significantly from our natural call templates. However, we were routinely able to elicit seven other identifiable calls. All seven calls were produced both during the 1.6 s period of stimulation and subsequently in a period which could last for more than a minute. A single stimulation site could produce four or five different calls, but the amygdala was much less likely to produce a scream, whistle or rising whistle than any of the other structures. These three high-frequency calls were more likely to be produced by females than males. There were also differences in the timing of the call production with the amygdala primarily producing calls during the electrical stimulation and the hypothalamus mainly producing calls after the electrical stimulation. For all four structures a significantly higher stimulation current was required in males than females. We conclude that all four structures can be stimulated to produce fictive vocalizations that should be useful in studying the relationship between the vocal motor system and cortical sensory representation