Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults

The most used regression model with binary dependent variable is the logistic regression model. When the dependent variable represents a rare event, the logistic regression model shows relevant drawbacks. In order to overcome these drawbacks we propose the Generalized Extreme Value (GEV) regression model. In particular, in a Generalized Linear Model (GLM) with binary dependent variable we suggest the quantile function of the GEV distribution as link function, so our attention is focused on the tail of the response curve for values close to one. The estimation procedure is the maximum likelihood method. This model accommodates skewness and it presents a generalization of GLMs with log-log link function. In credit risk analysis a pivotal topic is the default probability estimation. Since defaults are rare events, we apply the GEV regression to empirical data on Italian Small and Medium Enterprises (SMEs) to model their default probabilities.

Bankruptcy Prediction of Small and Medium Enterprises Using a Flexible Binary Generalized Extreme Value Model

We introduce a binary regression accounting-based model for bankruptcy prediction of small and medium enterprises (SMEs). The main advantage of the model lies in its predictive performance in identifying defaulted SMEs. Another advantage, which is especially relevant for banks, is that the relationship between the accounting characteristics of SMEs and response is not assumed a priori (e.g., linear, quadratic or cubic) and can be determined from the data. The proposed approach uses the quantile function of the generalized extreme value distribution as link function as well as smooth functions of accounting characteristics to flexibly model covariate effects. Therefore, the usual assumptions in scoring models of symmetric link function and linear or pre-specied covariate-response relationships are relaxed. Out-of-sample and out-of-time validation on Italian data shows that our proposal outperforms the commonly used (logistic) scoring model for different default horizons

A new approach to measure systemic risk:A bivariate copula model for dependent censored data

We propose a novel approach based on the Marshall-Olkin (MO) copula to estimate the impact of systematic and idiosyncratic components on cross-border systemic risk. To use the data on non-failed banks in the suggested method, we consider the time to bank failure as a censored variable. Therefore, we propose a pseudo-maximum likelihood estimation procedure for the MO copula for a Type I censored sample. We derive the log-likelihood function, the copula parameter estimator and the bootstrap confidence intervals. Empirical data on the banking system of three European countries (Germany, Italy and the UK) shows that the proposed censored model can accurately estimate the systematic component of cross-border systemic risk. (C) 2019 Elsevier B.V. All rights reserved

The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach

Following the 2008 financial crisis, regulatory authorities and governments provided distressed banks with equity infusions in order to strengthen national banking systems. However, the effectiveness of these interventions for financial stability has not been extensively researched in the literature. In order to understand the effectiveness of these bailouts for the solvency of banks this paper proposes a new model: the Longitudinal Binary Generalised Extreme Value (LOBGEV) model. Differing from the existing models, the LOBGEV model allows us to analyse the temporal structure of the probability of failure for banks, for both those that received a bailout and for those that did not. In particular, it encompasses both the flexibility of the D-vine copula and the accuracy of the generalised extreme value model in estimating the probability of bank failure and of banks receiving approval for capital injection. We apply this new model to the US banking system from 2008 to 2013 in order to investigate how and to what extent the Troubled Asset Relief Program (TARP)- Capital Purchase Program (CPP) reduced the probability of the failure of commercial banks. We specifically identify a set of macroeconomic and bank-specific factors that affect the probability of bank failure for TARP-CCP recipients and for those that did not receive capital under TARP-CCP. Our results suggest that TARP-CPP provided only short-term relief for US commercial banks

The Fine Structure Constant and the CMB Damping Scale

The recent measurements of the Cosmic Microwave Background anisotropies at arcminute angular scales performed by the ACT and SPT experiments are probing the damping regime of CMB fluctuations. The analysis of these datasets unexpectedly suggests that the effective number of relativistic degrees of freedom is larger than the standard value of Neff = 3.04, and inconsistent with it at more than two standard deviations. In this paper we study the role of a mechanism that could affect the shape of the CMB angular fluctuations at those scales, namely a change in the recombination process through variations in the fine structure constant. We show that the new CMB data significantly improve the previous constraints on variations of {\alpha}, with {\alpha}/{\alpha}0 = 0.984 \pm 0.005, i.e. hinting also to a more than two standard deviation from the current, local, value {\alpha}0. A significant degeneracy is present between {\alpha} and Neff, and when variations in the latter are allowed the constraints on {\alpha} are relaxed and again consistent with the standard value. Deviations of either parameter from their standard values would imply the presence of new, currently unknown physics.Comment: 4 pages, 1 figur

Nutrient transport in the arbuscular mycorrhizal symbiosis : the regulation of nutrient transporters in Rhizophagus irregularis and its host plants populus trichocarpa and sorghum bicolor

In natural and agricultural ecosystems, arbuscular mycorrhizal (AM) fungi play a major role in plant nutrition. In AM symbiosis, the AM fungi extract mineral nutrients from the substrate and transfer them to the host plant. Inside the roots of the host plant, the intraradical hyphae form tree like structures (arbuscules) where the nutrients are released to the plant fungal interface. In return, the AM fungi receive carbohydrates from the plants. Specialized transport systems enable nutrient uptake from the substrate and translocation across membranes. As main components of organic molecules, phosphorus (P), nitrogen (N) and carbon (C) are of particular importance for symbiotic nutrient exchanges. This work is focused on a range of genes that encode proteins contributing to transport molecules (P, N and C nutrients) across cellular membranes in the plants Populus trichocarpa (poplar) and Sorghum bicolor (sorghum), and in the AM fungus Rhizophagus irregularis. In the AM fungus R. irregularis (formerly Glomus intraradices), we identified and characterized a novel functional ammonium transporter (AMT), GintAMT3. Quantification of transcript abundances in the extraradical mycelium (ERM) and the intraradical mycelium (IRM) during symbiosis with poplar and sorghum revealed that GintAMT3 was highly expressed in the IRM of AM roots. Phylogenetic analysis showed further, that the six glomeromycotan AMTs share high sequence similarity, but are distinct to AMTs of other fungal phyla. To functionaly analyze GintAMT3, we expressed GintAMT3 in a yeast deletion mutant devoid of all AMTs. The heterologous expression revealed that GintAMT3 is a low affinity transporter. Heterologous expression of GFP tagged GintAMT3 in yeast showed that GintAMT3 is localized in the plasma membrane and the vacuolar membrane. Further, we could show that expression of GinAMT3 is dependent on the N nutrition status and the fungal C status. Taken together, our data suggested that GintAMT3 is the main export carrier for ammonium at the arbuscular site. Using mRNA sequencing, we could show that low N availability significantly increased gene expression of the AM fungus, including genes involved in cell growth and membrane biogenesis as well as genes involved in signaling and metabolic processes. High abundances of genes related to N metabolism, including glutamine synthase, aminotransferase, AMTs as well as arginases, indicated a high turnover rate of N in the symbiotic root tissue. Depending on P availability, gene expression of AM phosphate transporters (PT) and AMT changed. Induction of PT and AMT under low-P availability indicated that the AM fungus transfers more nutrients to the host plant. Further, we identified amino acids transporters and H+/oligopeptide transporters specifically induced in mycorrhizal poplar roots, indicating that amino acids are transferred between the AM fungus and the plant. In poplar, we found that root colonization and low-N conditions resulted in the down-regulation of defense gene expression, suggesting that the plant stimulated symbiotic interactions with the AM fungus. We showed that root colonization specifically induced expression of known and newly identified PT and AMT in poplar and sorghum. Specific induction of nutrient transporters upon starvation strongly indicated that they are essential components of a functional symbiosis and suggested they are located in AM roots. Furthermore, root colonization suppressed the expression of genes involved in P starvation response, indicating that root colonization efficiently alleviated P stress of the plant. Moreover, we could show that the annual sorghum is more dependent on the AM fungus than the perennial poplar, but also that more P and possibly also more N is transferred from the AM fungus to the host plant. Non-mycorrhized sorghum accumulated similar quantities of P as AM sorghum under conditions, in which only the AM fungus had access to the P source. Poplar on the other hand accumulated less P in AM plants. In addition, we observed that a subset of poplar Pht1 transporters was regulated independently on the AM fungus, but depending on the P availability of the substrate. To deepen our understanding about symbiotic C exchange, we made transcriptome analysis and qRT-PCR to investigate the role of carbohydrate transporters in AM symbiosis between R. irregularis and, poplar and sorghum, respectively. In R. irregularis, the monosaccharide transporter GintMST2 was specifically induced in the IRM independently on the nutrient condition. Interestingly, we observed the down-regulation of many carbohydrate transporters in AM roots of poplar and sorghum. However, in poplar, we identified one carbohydrate transporter, which might be involved in symbiotic C transfer. In conclusion, our data on C transport suggested that carbohydrates are taken from the plant by the AM fungus instead of actively transferred to the fungus by the host plant. Taken together, the data summarized in my thesis add to our understanding of nutrient transport in AM symbiosis under different environmental conditions and help elucidating the underlying mechanisms. Regarding climate changes and resources shortening, a precise understanding of the efficiency of AM symbiosis may help to increase the efficiency of sustainable agriculture

Framework for Data Quality Evaluation Based on ISO/IEC 25012 and ISO/IEC 25024

Nowadays, organizations process large volumes of data. Being able to foster and maintain data quality is one of the biggest challenges that these organizations face. To do this, there are standards, such as ISO/IEC 25012 and ISO/IEC 25024, which are intended to measure data quality based on a set of inherent and system-dependent characteristics, along with a set of associated metrics. Using standards to carry out measurements can be complex and even expensive for those with little experience in the area. In this context, we propose in this work a prototype for a tool based on ISO/IEC 25012 and ISO/IEC 25024 that, by analyzing different patterns of common errors in data, allows an organization to understand data current status.Instituto de Investigación en InformáticaInstituto de Investigación en Informátic

Gallbladder Agenesis and Cystic Duct Absence in an Adult Patient Diagnosed by Magnetic Resonance Cholangiography: Report of a Case and Review of the Literature

Gallbladder agenesis (GA) is a rare congenital anomaly of the biliary system often associated with other congenital abnormalities. Patients become symptomatic in 23% of cases. GA is often misinterpreted as other diseases, therefore, leading to unnecessary surgery. We report a case of congenital GA associated to cystic duct absence and a biliary tract abnormality diagnosed by Magnetic Resonance with Cholangiopancreatography