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

Evolution of the Schr\"odinger--Newton system for a self--gravitating scalar field

Using numerical techniques, we study the collapse of a scalar field configuration in the Newtonian limit of the spherically symmetric Einstein--Klein--Gordon (EKG) system, which results in the so called Schr\"odinger--Newton (SN) set of equations. We present the numerical code developed to evolve the SN system and topics related, like equilibrium configurations and boundary conditions. Also, we analyze the evolution of different initial configurations and the physical quantities associated to them. In particular, we readdress the issue of the gravitational cooling mechanism for Newtonian systems and find that all systems settle down onto a 0--node equilibrium configuration.Comment: RevTex file, 19 pages, 26 eps figures. Minor changes, matches version to appear in PR

Scalar Field as Dark Matter in the Universe

We investigate the hypothesis that the scalar field is the dark matter and the dark energy in the Cosmos, wich comprises about 95% of the matter of the Universe. We show that this hypothesis explains quite well the recent observations on type Ia supernovae.Comment: 4 pages REVTeX, 1 eps figure. Minor changes. To appear in Classical and Quantum Gravit

Newtonian Collapse of Scalar Field Dark Matter

In this letter, we develop a Newtonian approach to the collapse of galaxy fluctuations of scalar field dark matter under initial conditions inferred from simple assumptions. The full relativistic system, the so called Einstein-Klein-Gordon, is reduced to the Schr\"odinger-Newton one in the weak field limit. The scaling symmetries of the SN equations are exploited to track the non-linear collapse of single scalar matter fluctuations. The results can be applied to both real and complex scalar fields.Comment: 4 pages RevTex4 file, 4 eps figure

Longitudinal Bone Loss Occurs at the Radius in CKD.

Chronic kidney disease (CKD) exposes to an increased incidence of fragility fractures. International guidelines recommend performing bone mineral density (BMD) if the results will impact treatment decisions. It remains unknown where bone loss occurs and what would preclude the longitudinal loss in patients with CKD. Here, we aimed to investigate factors influencing BMD and to analyze the longitudinal BMD changes. In the NephroTest cohort, we measured BMD at the femoral neck, total hip, lumbar spine, and proximal radius, together with circulating biomarkers and standardized measured glomerular filtration rate (mGFR) by <sup>51</sup> Cr-EDTA in a subset of patients with CKD stage 1 to 5 followed during 4.3 ± 2.0 years. A linear mixed model explored the longitudinal bone loss and the relationship of associated factors with BMD changes. A total of 858 patients (mean age 58.9 ± 15.2 years) had at least 1 and 477 had at least 2 BMD measures. At baseline, cross-sectional analysis showed a significantly lower BMD at femoral neck and total hip and a significant higher serum parathyroid hormone (PTH) along with CKD stages. Baseline age, gender, tobacco, low body mass index (BMI), and high PTH levels were significantly associated with low BMD. Longitudinal analysis during the mean 4.3 years revealed a significant bone loss at the radius only. BMD changes at the femoral neck were associated with BMI, but not CKD stages or basal PTH levels. CKD is associated with low BMD and high PTH in the cross-sectional analysis. Longitudinal bone loss occurred at the proximal radius after 4.3 years

Quintessence and Scalar Dark Matter in the Universe

Continuing with previous works, we present a cosmological model in which dark matter and dark energy are modeled by scalar fields $\Phi$ and $\Psi$, respectively, endowed with the scalar potentials $V(\Phi)=V_{o}[ \cosh {(\lambda \sqrt{\kappa_{o}}\Phi)}-1]$ and $\tilde{V}(\Psi)=\tilde{V_{o}}[ \sinh {(\alpha \sqrt{\kappa_{o}}\Psi)}] ^{\beta}$. This model contains 95% of scalar field. We obtain that the scalar dark matter mass is $m_{\Phi}\sim 10^{-26}eV.$ The solution obtained allows us to recover the success of the standard CDM. The implications on the formation of structure are reviewed. We obtain that the minimal cutoff radio for this model is $r_{c}\sim 1.2 kpc.$Comment: 4 pages REVTeX, 3 eps color figures. Minor changes and references updated. To appear in Classical and Quantum Gravity as a Letter to the Editor. More information at http://www.fis.cinvestav.mx/~siddh/PHI

Galactic Collapse of Scalar Field Dark Matter

We present a scenario for galaxy formation based on the hypothesis of scalar field dark matter. We interpret galaxy formation through the collapse of a scalar field fluctuation. We find that a cosh potential for the self-interaction of the scalar field provides a reasonable scenario for galactic formation, which is in agreement with cosmological observations and phenomenological studies in galaxies.Comment: 4 pages, 3 figue

Oscillons in dilaton-scalar theories

It is shown by both analytical methods and numerical simulations that extremely long living spherically symmetric oscillons appear in virtually any real scalar field theory coupled to a massless dilaton (DS theories). In fact such "dilatonic" oscillons are already present in the simplest non-trivial DS theory -- a free massive scalar field coupled to the dilaton. It is shown that in analogy to the previously considered cases with a single nonlinear scalar field, in DS theories there are also time periodic quasibreathers (QB) associated to small amplitude oscillons. Exploiting the QB picture the radiation law of the small amplitude dilatonic oscillons is determined analytically.Comment: extended discussion on stability, to appear in JHEP, 29 pages, 7 figure

On the Space Time of a Galaxy

We present an exact solution of the averaged Einstein's field equations in the presence of two real scalar fields and a component of dust with spherical symmetry. We suggest that the space-time found provides the characteristics required by a galactic model that could explain the supermassive central object and the dark matter halo at once, since one of the fields constitutes a central oscillaton surrounded by the dust and the other scalar field distributes far from the coordinate center and can be interpreted as a halo. We show the behavior of the rotation curves all along the background. Thus, the solution could be a first approximation of a ``long exposition photograph'' of a galaxy.Comment: 8 pages REVTeX, 11 eps figure