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

Flat-spectrum radio sources as likely counterparts of unidentified INTEGRAL sources (Research Note)

Many sources in the fourth INTEGRAL/IBIS catalogue are still unidentified, since they lack an optical counterpart. An important tool that can help in identifying/classifying these sources is the cross-correlation with radio catalogues, which are very sensitive and positionally accurate. Moreover, the radio properties of a source, such as the spectrum or morphology, could provide further insight into its nature. Flat-spectrum radio sources at high Galactic latitudes are likely to be AGN, possibly associated to a blazar or to the compact core of a radio galaxy. Here we present a small sample of 6 sources extracted from the fourth INTEGRAL/IBIS catalogue that are still unidentified/unclassified, but which are very likely associated with a bright, flat-spectrum radio object. To confirm the association and to study the source X-ray spectral parameters, we performed X-ray follow-up observations with Swift/XRT. We report the results obtained from this search and discuss the nature of each source. 5 of the 6 radio associations are also detected in X-rays; in 3 cases they are the only counterpart found. IGR J06073--0024 is a flat-spectrum radio quasar at z=1.08, IGR J14488--4008 is a newly discovered radio galaxy, while IGR J18129--0649 is an AGN of a still unknown type. The nature of IGR J07225--3810 and IGR J19386--4653 is less well defined, since in both cases we find another X-ray source in the INTEGRAL error circle; nevertheless, the flat-spectrum radio source, likely to be a radio loud AGN, remains a viable and more convincing association in both cases. Only for IGR J11544--7618 could we not find any convincing counterpart since the radio association is not an X-ray emitter.Comment: 7 pages, 7 figures, accepted for publication on Astronomy and Astrophysic

The assisted suicide of Italians in Switzerland and the silence of psychiatry

The debate on different forms of request of death has taken on a broad dimension in public opinion over last years, often referring on profoundly differentiated and often opposing positions of principle. Beyond cultural, political or ideal positions, a further critical issue, often underestimated or quite not considered, concerns a person’s ability to express a valid consent to the request of death, according to the same criteria of validity of the informed consent to any medical act. This assumes particular importance in the case of assisted suicide. Assisted suicide represents a phenomenon in sharp growth in Western world. It is legal in many nations, and in Switzerland it is also allowed for foreign citizens, thus increasing the phenomenon of the so-called “tourism of suicide”. In addition to neoplastic and neurological diseases, depression has also been accepted as a disease that makes assisted suicide possible. This imposes profound clinical and ethical considerations, since depression is unanimously recognized as a treatable disease and since in its most serious forms, such as those in which suicidal ideation dominates, it can compromise the patient’s ability to express a valid consent to any medical act, including the assisted suicide. Furthermore, it is often overlooked that any serious and disabling somatic disease, source of intense and chronic suffering, carries the very high risk of the onset of unrecognized depressive conditions, able in turn to negatively influence the ability to express valid consent. Faced with this situation, which has involved a large number of Italian citizens in recent years, the personal and official voice of psychiatry is absolutely lacking, contrasting its silence with the opinions of those who do not want to take into account its potentially fundamental considerations

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

Design e narração: linguagens, estruturas e modelos de narrativa como matéria para o design

Every design project is the history of a transformation occurring as an answer to a certain need or opportunity. The action of narrating is therefore implicitly (and in some cases also explicitly) present in every design process. The understanding and study of the constituent elements of narration can therefore represent an instrument of conscious appropriation of techniques and methods often enacted in a spontaneous, unconscious, habitual way. Unlike design, a young discipline whose methodological apparatuses still need to be constructed and perfected, narration has a long history. It has seen a rich and articulated decoding process, which has enriched itself from time to time by having crossed the most various fields - from visual art to music, from literature to multimedia. The aim of the present paper is to underline the potential of narrative languages, formal structures and content schemata in the design field, by putting in contact the perspective of the writer-scriptwriter (who deals with narrative design) and the perspective of the designer (who deals with design as narration and with the narration of design). As exemplifi cation of such potentialities, the paper presents some projects wittingly generated and examined with a narratological approach and some methodological remarks derived from direct experiences. The reported experiences intentionally belong to two very distant worlds, the field of the Cultural Assets and the one of the Commercial brands, to emphasize the versatility and richness of the approach.Key words: design, narration, brand, cultural assets.Cada projeto de design é a história de uma transformação que ocorre como uma resposta a uma determinada necessidade ou oportunidade. A ação de narrar é, portanto, implicitamente (e em alguns casos, também explicitamente) presente em cada processo de design. Assim, a compreensão e estudo dos elementos constitutivos da narração, pode representar um instrumento de apropriação consciente de técnicas e métodos, muitas vezes adotados de forma espontânea, inconsciente e habitual. Ao contrário do design, uma disciplina jovem cujos aparelhos metodológicos ainda precisam ser construídos e aperfeiçoados, a narração tem uma longa história. Ela tem passado por um rico e articulado processo de decodificação, que enriqueceu-se com o tempo, tendo atravessado os campos mais diversos - da arte visual à música, da literatura à multimídia. O objetivo do presente trabalho é destacar o potencial das linguagens narrativas, estruturas formais e esquemas de conteúdo no campo do design, colocandoem contato a perspectiva do escritor-roteirista (que lida com o design da narrativa) e da perspectiva do designer (que lida com o design como a narração e com a narração de design). Como exemplificação das potencialidades, o trabalho apresenta alguns projetos gerados e analisados com uma abordagem narratológica e algumas observações metodológicas derivadas de experiências diretas. As experiências relatadas intencionalmente pertencem a dois mundos distantes, o campo dos bens culturais e o das marcas comerciais, para enfatizar a versatilidade e riqueza da abordagem.Palavras-chave: design, narração, marca, bens culturais

The rationale for liquid biopsy in colorectal cancer: focus on circulating tumor cells

Capturing circulating tumor cells (CTCs) and/or circulating tumor DNA from blood, which represents a precious source of biological material derived from both primary and metastatic tumors, has been named a 'liquid biopsy'. While the circulating tumor DNA might be more representative of the bulk of the metastatic tumor, CTCs are thought to reflect more of the metastases-initiating cells. Consequently, a liquid biopsy made of tumor cells and tumor DNA that is able to track cancer evolution, as a fingerprint of the patient's individual tumor, and is easy to perform at every stage of the disease course, sounds attractive. This article mainly focuses on the applications of CTCs to track tumor dynamics in real time using colorectal cancer as a model system. The analysis of viable CTCs at DNA, RNA and protein levels, as well as their expansion in vitro, may allow deep investigation of the features of metastases-initiating cells