The Economy and Loss Given Default: Evidence from Two UK Retail Lending Datasets

Loss given default (LGD) models predict losses as a proportion of the outstanding loan, in the event a debtor goes into default. The literature on corporate sector LGD models suggests LGD is correlated to the economy and so changes in the economy could translate into different predictions of losses. In this work, the role of macroeconomic variables in loan-level retail LGD models is examined by testing the inclusion of macroeconomic variables in two different retail LGD models: a two-stage model for a residential mortgage loans data set and an ordinary least squares model for an unsecured personal loans data set. To improve loan-level predictions of LGD, indicators relating to the macroeconomy are considered with mixed results: the selected macroeconomic variable seemed able to improve the predictive performance of mortgage loan LGD estimates, but not for personal loan LGD. For mortgage loan LGD, interest rate was most beneficial but only predicted better during downturn periods, underestimating LGD during non-downturn periods. For personal loan LGD, only net lending growth is statistically significant but including this variable did not bring any improvement to R2

Radiochemical separation of 7Be from the cooling water of the neutron spallation source SINQ at PSI

7Be is a key radionuclide for investigation of several astrophysical processes and phenomena. In addition, it is used as a tracer in wear measurements. It is produced in considerable amounts in the cooling water (D2O) of the Spallation Induced Neutron Source (SINQ) facility at PSI by spallation reactions on 16O with the generated fast neutrons. A shielded ion-exchange filter containing 100 mL of the mixed-bed ion exchanger LEWATIT was installed as a bypass for the cooling water into the cooling loop of SINQ for three months. The collected activity of 7Be was in the range of several hundred GBq. Further, the 7Be was separated and purified in a hot-cell remotely-controlled using a separation system installed. With the exception of 10Be, radioactive byproducts can be neglected, so that this cooling water could serve as an ideal source for highly active 7Be-samples. The facility is capable of producing 7Be with activities up to 1 TBq per year. The 7Be sample preparation is described in detail and the possible uses are discussed. In particular some preliminary results of 7Be ion beam production are presente

Estimating LGD Correlation

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the LGD parameter as well as to estimate the LGD discount rate and other parameters. Given historical LGD observations we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on a real large data set of unsecured retail account level LGDs and the corresponding monthly series of the average LGDs. The correlation estimate comes relatively close to the PD regulatory correlation. It is also tested for stability using the bootstrapping method and used in an efficient formula to estimate ex ante one-year stressed LGD, i.e. one-year LGD quantiles on any reasonable probability level

Scope for Credit Risk Diversification

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian risk factors and explore the potential for risk diversification. Where possible the results are generalised to non-Gaussian distributions. The theoretical results indicate that if the firm parameters are heterogeneous but come from a common distribution, for sufficiently large portfolios there is no scope for further risk reduction through active portfolio management. However, if the firm parameters come from different distributions, then further risk reduction is possible by changing the portfolio weights. In either case, neglecting parameter heterogeneity can lead to underestimation of expected losses. But, once expected losses are controlled for, neglecting parameter heterogeneity can lead to overestimation of risk, whether measured by unexpected loss or value-at-risk

The arabidopsis DNA polymerase δ has a role in the deposition of transcriptionally active epigenetic marks, development and flowering

DNA replication is a key process in living organisms. DNA polymerase α (Polα) initiates strand synthesis, which is performed by Polε and Polδ in leading and lagging strands, respectively. Whereas loss of DNA polymerase activity is incompatible with life, viable mutants of Polα and Polε were isolated, allowing the identification of their functions beyond DNA replication. In contrast, no viable mutants in the Polδ polymerase-domain were reported in multicellular organisms. Here we identify such a mutant which is also thermosensitive. Mutant plants were unable to complete development at 28°C, looked normal at 18°C, but displayed increased expression of DNA replication-stress marker genes, homologous recombination and lysine 4 histone 3 trimethylation at the SEPALLATA3 (SEP3) locus at 24°C, which correlated with ectopic expression of SEP3. Surprisingly, high expression of SEP3 in vascular tissue promoted FLOWERING LOCUS T (FT) expression, forming a positive feedback loop with SEP3 and leading to early flowering and curly leaves phenotypes. These results strongly suggest that the DNA polymerase δ is required for the proper establishment of transcriptionally active epigenetic marks and that its failure might affect development by affecting the epigenetic control of master genes.Fil: Iglesias, Francisco Manuel. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquimicas de Buenos Aires; Argentina. Fundación Instituto Leloir; ArgentinaFil: Bruera, Natalia Alejandra. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquimicas de Buenos Aires; Argentina. Fundación Instituto Leloir; ArgentinaFil: Dergan Dylon, Leonardo Sebastian. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquimicas de Buenos Aires; Argentina. Fundación Instituto Leloir; ArgentinaFil: Marino, Cristina Ester. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquimicas de Buenos Aires; Argentina. Fundación Instituto Leloir; ArgentinaFil: Lorenzi, Hernán. J. Craig Venter Institute; Estados UnidosFil: Mateos, Julieta Lisa. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquimicas de Buenos Aires; Argentina. Fundación Instituto Leloir; Argentina. Max Planck Institute for Plant Breeding Research; AlemaniaFil: Turck, Franziska. Max Planck Institute for Plant Breeding Research; AlemaniaFil: Coupland, George. Max Planck Institute for Plant Breeding Research; AlemaniaFil: Cerdan, Pablo Diego. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Instituto de Investigaciones Bioquimicas de Buenos Aires; Argentina. Fundación Instituto Leloir; Argentina. Universidad de Buenos Aires. Departamento de Ciencias Exactas; Argentin

The Evolution of a High Copy Gene Array in Arabidopsis

Local gene duplication is a prominent mechanism of gene copy number expansion. Elucidating the mechanisms by which local duplicates arise is necessary in understanding the evolution of genomes and their host organisms. Chromosome one of Arabidopsis thaliana contains an 81-gene array subdivided into 27 triplet units (t-units), with each t-unit containing three pre-transfer RNA genes. We utilized phylogenetic tree reconstructions and comparative genomics to order the events leading to the array’s formation, and propose a model using unequal crossing-over as the primary mechanism of array formation. The model is supported by additional phylogenetic information from intergenic spacer sequences separating each t-unit, comparative analysis to an orthologous array of 12 t-units in the sister taxa Arabidopsis lyrata, and additional modeling using a stochastic simulation of orthologous array divergence. Lastly, comparative phylogenetic analysis demonstrates that the two orthologous t-unit arrays undergo concerted evolution within each taxa and are likely fluctuating in copy number under neutral evolutionary drift. These findings hold larger implications for future research concerning gene and genome evolution

The role of AtMUS81 in DNA repair and its genetic interaction with the helicase AtRecQ4A

The endonuclease MUS81 has been shown in a variety of organisms to be involved in DNA repair in mitotic and meiotic cells. Homologues of the MUS81 gene exist in the genomes of all eukaryotes, pointing to a conserved role of the protein. However, the biological role of MUS81 varies between different eukaryotes. For example, while loss of the gene results in strongly impaired fertility in Saccharomyces cerevisiae and nearly complete sterility in Schizosaccharomyces pombe, it is not essential for meiosis in mammals. We identified a functional homologue (AtMUS81/At4g30870) in the genome of Arabidopsis thaliana and isolated a full-length cDNA of this gene. Analysing two independent T-DNA insertion lines of AtMUS81, we found that they are sensitive to the mutagens MMS and MMC. Both mutants have a deficiency in homologous recombination in somatic cells but only after induction by genotoxic stress. In contrast to yeast, no meiotic defect of AtMUS81 mutants was detectable and the mutants are viable. Crosses with a hyperrecombinogenic mutant of the AtRecQ4A helicase resulted in synthetic lethality in the double mutant. Thus, the nuclease AtMUS81 and the helicase AtRecQ4A seem to be involved in two alternative pathways of resolution of replicative DNA structures in somatic cells