Basel II compliant credit risk modelling: model development for imbalanced credit scoring data sets, loss given default (LGD) and exposure at default (EAD)

The purpose of this thesis is to determine and to better inform industry practitioners to the most appropriate classification and regression techniques for modelling the three key credit risk components of the Basel II minimum capital requirement; probability of default (PD), loss given default (LGD), and exposure at default (EAD). The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach Basel II allows banks to develop their own empirical models based on historical data for each of PD, LGD and EAD.In this thesis, first the issue of imbalanced credit scoring data sets, a special case of PD modelling where the number of defaulting observations in a data set is much lower than the number of observations that do not default, is identified, and the suitability of various classification techniques are analysed and presented. As well as using traditional classification techniques this thesis also explores the suitability of gradient boosting, least square support vector machines and random forests as a form of classification. The second part of this thesis focuses on the prediction of LGD, which measures the economic loss, expressed as a percentage of the exposure, in case of default. In this thesis, various state-of-the-art regression techniques to model LGD are considered. In the final part of this thesis we investigate models for predicting the exposure at default (EAD). For off-balance-sheet items (for example credit cards) to calculate the EAD one requires the committed but unused loan amount times a credit conversion factor (CCF). Ordinary least squares (OLS), logistic and cumulative logistic regression models are analysed, as well as an OLS with Beta transformation model, with the main aim of finding the most robust and comprehensible model for the prediction of the CCF. Also a direct estimation of EAD, using an OLS model, will be analysed. All the models built and presented in this thesis have been applied to real-life data sets from major global banking institutions

Behavioral responses of terrestrial mammals to COVID-19 lockdowns

COVID-19 lockdowns in early 2020 reduced human mobility, providing an opportunity to disentangle its effects on animals from those of landscape modifications. Using GPS data, we compared movements and road avoidance of 2300 terrestrial mammals (43 species) during the lockdowns to the same period in 2019. Individual responses were variable with no change in average movements or road avoidance behavior, likely due to variable lockdown conditions. However, under strict lockdowns 10-day 95th percentile displacements increased by 73%, suggesting increased landscape permeability. Animals' 1-hour 95th percentile displacements declined by 12% and animals were 36% closer to roads in areas of high human footprint, indicating reduced avoidance during lockdowns. Overall, lockdowns rapidly altered some spatial behaviors, highlighting variable but substantial impacts of human mobility on wildlife worldwide.acceptedVersio

Behavioral responses of terrestrial mammals to COVID-19 lockdowns

COVID-19 lockdowns in early 2020 reduced human mobility, providing an opportunity to disentangle its effects on animals from those of landscape modifications. Using GPS data, we compared movements and road avoidance of 2300 terrestrial mammals (43 species) during the lockdowns to the same period in 2019. Individual responses were variable with no change in average movements or road avoidance behavior, likely due to variable lockdown conditions. However, under strict lockdowns 10-day 95th percentile displacements increased by 73%, suggesting increased landscape permeability. Animals' 1-hour 95th percentile displacements declined by 12% and animals were 36% closer to roads in areas of high human footprint, indicating reduced avoidance during lockdowns. Overall, lockdowns rapidly altered some spatial behaviors, highlighting variable but substantial impacts of human mobility on wildlife worldwide.acceptedVersio

Behavioral responses of terrestrial mammals to COVID-19 lockdowns

DATA AND MATERIALS AVAILABILITY : The full dataset used in the final analyses (33) and associated code (34) are available at Dryad. A subset of the spatial coordinate datasets is available at Zenodo (35). Certain datasets of spatial coordinates will be available only through requests made to the authors due to conservation and Indigenous sovereignty concerns (see table S1 for more information on data use restrictions and contact information for data requests). These sensitive data will be made available upon request to qualified researchers for research purposes, provided that the data use will not threaten the study populations, such as by distribution or publication of the coordinates or detailed maps. Some datasets, such as those overseen by government agencies, have additional legal restrictions on data sharing, and researchers may need to formally apply for data access. Collaborations with data holders are generally encouraged, and in cases where data are held by Indigenous groups or institutions from regions that are under-represented in the global science community, collaboration may be required to ensure inclusion.COVID-19 lockdowns in early 2020 reduced human mobility, providing an opportunity to disentangle its effects on animals from those of landscape modifications. Using GPS data, we compared movements and road avoidance of 2300 terrestrial mammals (43 species) during the lockdowns to the same period in 2019. Individual responses were variable with no change in average movements or road avoidance behavior, likely due to variable lockdown conditions. However, under strict lockdowns 10-day 95th percentile displacements increased by 73%, suggesting increased landscape permeability. Animals’ 1-hour 95th percentile displacements declined by 12% and animals were 36% closer to roads in areas of high human footprint, indicating reduced avoidance during lockdowns. Overall, lockdowns rapidly altered some spatial behaviors, highlighting variable but substantial impacts of human mobility on wildlife worldwide.The Radboud Excellence Initiative, the German Federal Ministry of Education and Research, the National Science Foundation, Serbian Ministry of Education, Science and Technological Development, Dutch Research Council NWO program “Advanced Instrumentation for Wildlife Protection”, Fondation Segré, RZSS, IPE, Greensboro Science Center, Houston Zoo, Jacksonville Zoo and Gardens, Nashville Zoo, Naples Zoo, Reid Park Zoo, Miller Park, WWF, ZCOG, Zoo Miami, Zoo Miami Foundation, Beauval Nature, Greenville Zoo, Riverbanks zoo and garden, SAC Zoo, La Passarelle Conservation, Parc Animalier d’Auvergne, Disney Conservation Fund, Fresno Chaffee zoo, Play for nature, North Florida Wildlife Center, Abilene Zoo, a Liber Ero Fellowship, the Fish and Wildlife Compensation Program, Habitat Conservation Trust Foundation, Teck Coal, and the Grand Teton Association. The collection of Norwegian moose data was funded by the Norwegian Environment Agency, the German Ministry of Education and Research via the SPACES II project ORYCS, the Wyoming Game and Fish Department, Wyoming Game and Fish Commission, Bureau of Land Management, Muley Fanatic Foundation (including Southwest, Kemmerer, Upper Green, and Blue Ridge Chapters), Boone and Crockett Club, Wyoming Wildlife and Natural Resources Trust, Knobloch Family Foundation, Wyoming Animal Damage Management Board, Wyoming Governor’s Big Game License Coalition, Bowhunters of Wyoming, Wyoming Outfitters and Guides Association, Pope and Young Club, US Forest Service, US Fish and Wildlife Service, the Rocky Mountain Elk Foundation, Wyoming Wild Sheep Foundation, Wild Sheep Foundation, Wyoming Wildlife/Livestock Disease Research Partnership, the US National Science Foundation [IOS-1656642 and IOS-1656527, the Spanish Ministry of Economy, Industry and Competitiveness, and by a GRUPIN research grant from the Regional Government of Asturias, Sigrid Rausing Trust, Batubay Özkan, Barbara Watkins, NSERC Discovery Grant, the Federal Aid in Wildlife Restoration act under Pittman-Robertson project, the State University of New York, College of Environmental Science and Forestry, the Ministry of Education, Youth and Sport of the Czech Republic, the Ministry of Agriculture of the Czech Republic, Rufford Foundation, an American Society of Mammalogists African Graduate Student Research Fund, the German Science Foundation, the Israeli Science Foundation, the BSF-NSF, the Ministry of Agriculture, Forestry and Food and Slovenian Research Agency (CRP V1-1626), the Aage V. Jensen Naturfond (project: Kronvildt - viden, værdier og værktøjer), the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation) under Germany’s Excellence Strategy, National Centre for Research and Development in Poland, the Slovenian Research Agency, the David Shepherd Wildlife Foundation, Disney Conservation Fund, Whitley Fund for Nature, Acton Family Giving, Zoo Basel, Columbus, Bioparc de Doué-la-Fontaine, Zoo Dresden, Zoo Idaho, Kolmården Zoo, Korkeasaari Zoo, La Passarelle, Zoo New England, Tierpark Berlin, Tulsa Zoo, the Ministry of Environment and Tourism, Government of Mongolia, the Mongolian Academy of Sciences, the Federal Aid in Wildlife Restoration act and the Illinois Department of Natural Resources, the National Science Foundation, Parks Canada, Natural Sciences and Engineering Research Council, Alberta Environment and Parks, Rocky Mountain Elk Foundation, Safari Club International and Alberta Conservation Association, the Consejo Nacional de Ciencias y Tecnología (CONACYT) of Paraguay, the Norwegian Environment Agency and the Swedish Environmental Protection Agency, EU funded Interreg SI-HR 410 Carnivora Dinarica project, Paklenica and Plitvice Lakes National Parks, UK Wolf Conservation Trust, EURONATUR and Bernd Thies Foundation, the Messerli Foundation in Switzerland and WWF Germany, the European Union’s Horizon 2020 research and innovation program under the Marie Skłodowska-Curie Actions, NASA Ecological Forecasting Program, the Ecotone Telemetry company, the French National Research Agency, LANDTHIRST, grant REPOS awarded by the i-Site MUSE thanks to the “Investissements d’avenir” program, the ANR Mov-It project, the USDA Hatch Act Formula Funding, the Fondation Segre and North American and European Zoos listed at http://www.giantanteater.org/, the Utah Division of Wildlife Resources, the Yellowstone Forever and the National Park Service, Missouri Department of Conservation, Federal Aid in Wildlife Restoration Grant, and State University of New York, various donors to the Botswana Predator Conservation Program, data from collared caribou in the Northwest Territories were made available through funds from the Department of Environment and Natural Resources, Government of the Northwest Territories. The European Research Council Horizon2020, the British Ecological Society, the Paul Jones Family Trust, and the Lord Kelvin Adam Smith fund, the Tanzania Wildlife Research Institute and Tanzania National Parks. The Eastern Shoshone and Northern Arapahoe Fish and Game Department and the Wyoming State Veterinary Laboratory, the Alaska Department of Fish and Game, Kodiak Brown Bear Trust, Rocky Mountain Elk Foundation, Koniag Native Corporation, Old Harbor Native Corporation, Afognak Native Corporation, Ouzinkie Native Corporation, Natives of Kodiak Native Corporation and the State University of New York, College of Environmental Science and Forestry, and the Slovenia Hunters Association and Slovenia Forest Service. F.C. was partly supported by the Resident Visiting Researcher Fellowship, IMéRA/Aix-Marseille Université, Marseille. This work was partially funded by the Center of Advanced Systems Understanding (CASUS), which is financed by Germany’s Federal Ministry of Education and Research (BMBF) and by the Saxon Ministry for Science, Culture and Tourism (SMWK) with tax funds on the basis of the budget approved by the Saxon State Parliament. This article is a contribution of the COVID-19 Bio-Logging Initiative, which is funded in part by the Gordon and Betty Moore Foundation (GBMF9881) and the National Geographic Society.https://www.science.org/journal/sciencehj2023Mammal Research InstituteZoology and Entomolog

First Sagittarius A* Event Horizon Telescope Results. II. EHT and Multiwavelength Observations, Data Processing, and Calibration

We present Event Horizon Telescope (EHT) 1.3 mm measurements of the radio source located at the position of the supermassive black hole Sagittarius A* (Sgr A*), collected during the 2017 April 5–11 campaign. The observations were carried out with eight facilities at six locations across the globe. Novel calibration methods are employed to account for Sgr A*'s flux variability. The majority of the 1.3 mm emission arises from horizon scales, where intrinsic structural source variability is detected on timescales of minutes to hours. The effects of interstellar scattering on the image and its variability are found to be subdominant to intrinsic source structure. The calibrated visibility amplitudes, particularly the locations of the visibility minima, are broadly consistent with a blurred ring with a diameter of ∼50 μas, as determined in later works in this series. Contemporaneous multiwavelength monitoring of Sgr A* was performed at 22, 43, and 86 GHz and at near-infrared and X-ray wavelengths. Several X-ray flares from Sgr A* are detected by Chandra, one at low significance jointly with Swift on 2017 April 7 and the other at higher significance jointly with NuSTAR on 2017 April 11. The brighter April 11 flare is not observed simultaneously by the EHT but is followed by a significant increase in millimeter flux variability immediately after the X-ray outburst, indicating a likely connection in the emission physics near the event horizon. We compare Sgr A*’s broadband flux during the EHT campaign to its historical spectral energy distribution and find that both the quiescent emission and flare emission are consistent with its long-term behavior

First Sagittarius A* Event Horizon Telescope Results. I. The Shadow of the Supermassive Black Hole in the Center of the Milky Way

Abstract We present the first Event Horizon Telescope (EHT) observations of Sagittarius A* (Sgr A*), the Galactic center source associated with a supermassive black hole. These observations were conducted in 2017 using a global interferometric array of eight telescopes operating at a wavelength of λ = 1.3 mm. The EHT data resolve a compact emission region with intrahour variability. A variety of imaging and modeling analyses all support an image that is dominated by a bright, thick ring with a diameter of 51.8 ± 2.3 μas (68% credible interval). The ring has modest azimuthal brightness asymmetry and a comparatively dim interior. Using a large suite of numerical simulations, we demonstrate that the EHT images of Sgr A* are consistent with the expected appearance of a Kerr black hole with mass ∼4 × 106 M ⊙, which is inferred to exist at this location based on previous infrared observations of individual stellar orbits, as well as maser proper-motion studies. Our model comparisons disfavor scenarios where the black hole is viewed at high inclination (i &gt; 50°), as well as nonspinning black holes and those with retrograde accretion disks. Our results provide direct evidence for the presence of a supermassive black hole at the center of the Milky Way, and for the first time we connect the predictions from dynamical measurements of stellar orbits on scales of 103–105 gravitational radii to event-horizon-scale images and variability. Furthermore, a comparison with the EHT results for the supermassive black hole M87* shows consistency with the predictions of general relativity spanning over three orders of magnitude in central mass.</jats:p