A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime

Credit estimation and bankruptcy prediction methods have been utilizing Altman's $z$ score method for the last several years. It is reported in many studies that $z$ score is sensitive to changes in accounting figures. Researches have proposed different variations to conventional $z$ score that can improve the prediction accuracy. In this paper we develop a new multivariate non-linear model for computing the $z$ score. In addition we develop a new credit risk index by fitting a Pearson type-III distribution to the transformed financial ratios. The results from our study have shown that the new $z$ score can predict the bankruptcy with an accuracy of $98.6\%$ as compared to $93.5\%$ by the Altman's $z$ score. Also, the discriminate analysis revealed that the new transformed financial ratios could predict the bankruptcy probability with an accuracy of $93.0\%$ as compared to $87.4\%$ using the weights of Altman's $z$ score.Comment: 14 pages, 1 figure in Computational Economics, 201

An examination of bank risk measures and their relationship to systemic risk measurement : a dissertation presented in partial fulfilment of the requirements for the degree of Doctoral of Philosophy in Finance at Massey University, Manawatu (Turitea), New Zealand

This research explores ways of measuring bank risk, both individual bank risk and systemic risk, with the main focus on z-score. Z-score is a popular indicator of individual bank risk-taking. Despite its popularity among academics, there is a lack of consensus on a standard way to construct a time-varying z-score measure. Meanwhile, in the post-GFC period, increasing attention has been given to macro-prudential policy and its role in mitigating systemic risk. This research discusses major challenges in existing approaches to the construction of time-varying z-score measure. It empirically compares these approaches using quarterly data of New Zealand banks. Both conceptual discussions and empirical analyses support the use of a rolling window in the computation of time-varying z-score, which is consistent with changing bank risk profiles through time. This research is also the first study to propose a risk-weighted z-score measure. This research further proposes a new systemic risk measure based on z-score, which is developed on the concept of Leave-One-Out (LOO) approach. The systemic risk contribution of an individual bank can be captured by the variation of risk-taking of a banking system when excluding the particular bank. The LOO z-score measure can be computed using accounting information only, and is therefore applicable to both listed and unlisted banks. Empirical analysis on the LOO z-score measure in assessing banks’ systemic risk contribution is first applied to the New Zealand and Australian markets, and then extended to an international sample including 17 countries. The LOO z-score measure is proved to be useful for assessing banks’ systemic risk contribution, with a positive rank correlation with Marginal Expected Shortfall (MES) and Delta Conditional Value-at-Risk (ΔCoVaR). The LOO z-score measure provides a new approach to assess systemic risk contribution using accounting data, which can be used as a complement to market-based approaches. This measure is especially useful for systemic risk analyses of banks with limited or even no share market data at all, which is the key advantage. The ability to include both listed and unlisted banks in the evaluation of systemic risk is fundamental in macro-prudential policy frameworks

Introduction to and Screening Visit Results of the Multicenter Pediatric Crohn's Disease Growth Study.

BackgroundStatural growth impairment is more common in males with Crohn's disease (CD). We assessed sex differences in height Z score differences and bone age (BA) Z scores and characterized age of menarche in a novel contemporary cohort of pediatric CD patients undergoing screening for enrollment in the multicenter longitudinal Growth Study.MethodsCrohn's disease patients (females with chronological age [CA] 5 years and older and younger than 14 years; males with CA 6 years and older and younger than 16 years) participated in a screening visit for the Growth Study. Height BA-Z scores are height Z scores calculated based on BA. Height CA-Z scores are height Z scores calculated based on CA. The height Z score difference equals height CA-Z score minus height BA-Z score.ResultsOne hundred seventy-one patients (60% male) qualified for this analysis. Mean CA was 12.2 years. Mean height CA-Z score was -0.4, and mean height BA-Z score was 0.4 in females. Mean height CA-Z score was -0.1, and mean height BA-Z score was 0.2 in males. The absolute value of the mean height Z score difference was significantly greater in females (0.8) than males (0.3; P = 0.005). The mean BA-Z score in females (-1.0) was significantly lower than in males (-0.2; P = 0.002). The median CA at menarche was 13.6 (95% CI, 12.6-14.6) years.ConclusionsOur screening visit data suggest that standardized height gain is lower in males with skeletal maturation and delayed puberty is common in females in CD. We are investigating these findings in the ongoing Growth Study

Z-score-based modularity for community detection in networks

Identifying community structure in networks is an issue of particular interest in network science. The modularity introduced by Newman and Girvan [Phys. Rev. E 69, 026113 (2004)] is the most popular quality function for community detection in networks. In this study, we identify a problem in the concept of modularity and suggest a solution to overcome this problem. Specifically, we obtain a new quality function for community detection. We refer to the function as Z-modularity because it measures the Z-score of a given division with respect to the fraction of the number of edges within communities. Our theoretical analysis shows that Z-modularity mitigates the resolution limit of the original modularity in certain cases. Computational experiments using both artificial networks and well-known real-world networks demonstrate the validity and reliability of the proposed quality function.Comment: 8 pages, 10 figure

Bank insolvency risk and aggregate Z-score measures: a caveat

We demonstrate that a popular approach to constructing (weighted) mean-based aggregate bank insolvency risk measures is inherently biased; we also suggest an alternative approach that avoids this problem.insolvency risk, aggregate Z-score, Jensen's inequality

Increased risk for malaria in chronically malnourished children under 5 years of age in rural Gambia.

Malaria and malnutrition cause high morbidity and mortality in rural sub-Saharan Africa. To explore the relationship between nutritional status and malaria, a cohort of Gambian children under 5 years of age was followed weekly during one malaria season. Anthropometric measurements were made at the beginning and at the end of the season. A total of 55/107 (51.4 per cent) children with baseline stunting, defined as having a height-for-age z-score below -2 standard deviations, subsequently experienced malaria episodes, compared to 145/380 (38.2 per cent) children who were not stunted (RR = 1.35; 95 per cent CI, 1.08-1.69; p value = 0.01). Neither wasting (weight-for-height z-score below -2 standard deviations) nor undernutrition (weight-for-age z-score below -2 standard deviations) influenced susceptibility to malaria. Adjustment for characteristics of age, sex, and ethnicity did not significantly change the risk ratios. Malaria had no effect on the nutritional status from the beginning to the end of the malaria season. Our findings suggest that chronically malnourished children may be at higher risk for developing malaria episodes

The influence of dairy consumption, sedentary behaviour and physical activity on bone mass in Flemish children : a cross-sectional study

Background: This cross-sectional study aimed to look for an association in young children between whole body bone mineral content (BMC) and areal bone mineral density (aBMD) and dairy consumption as well as sedentary behaviour (SB) and physical activity (PA). Moreover, we investigated whether there was an interaction effect between dairy consumption and SB or PA on BMC and aBMD. Methods: Healthy children (6-12 years) were recruited from primary schools. Body composition and whole body bone mass were measured with dual-energy X-ray absorptiometry (DXA), dairy consumption was assessed with a food frequency questionnaire (FFQ) and PA and SB with an accelerometer. In total, 272 children underwent a DXA scan. Complete FFQ data were available for 264 children and 210 children had matching data from accelerometry recordings. Regression analyses were used to study the associations between (1) BMC and aBMD and (2) dairy consumption, SB and PA, adjusting for age, gender, pubertal stage, height and body composition. Results: Dairy consumption was positively associated with whole body BMC and aBMD (absolute value as well as z-score), after correction for relevant confounders. SB was negatively associated with aBMD z-score and light PA was positively associated with both BMC and aBMD z-score. No gender differences were found. Moreover, an interaction effect between vigorous PA (VPA) and dairy consumption on aBMD (z-score) and BMC z-score was found, indicating that children with both high VPA and high dairy consumption had higher values for BMC and aBMD of the whole body minus the head. Conclusion: Already at young age, PA and dairy consumption positively influence whole body bone mass assessed by DXA. Moreover, this study indicates clearly that SB is negatively associated with whole body bone density. Promoting regular PA and sufficient dairy consumption in young children and limiting SB can be expected to positively influence their bone mass accumulation, which can help in the prevention of osteoporosis later in life

Atenolol versus losartan in children and young adults with Marfan's syndrome

BACKGROUND : Aortic-root dissection is the leading cause of death in Marfan's syndrome. Studies suggest that with regard to slowing aortic-root enlargement, losartan may be more effective than beta-blockers, the current standard therapy in most centers. METHODS : We conducted a randomized trial comparing losartan with atenolol in children and young adults with Marfan's syndrome. The primary outcome was the rate of aortic-root enlargement, expressed as the change in the maximum aortic-root-diameter z score indexed to body-surface area (hereafter, aortic-root z score) over a 3-year period. Secondary outcomes included the rate of change in the absolute diameter of the aortic root; the rate of change in aortic regurgitation; the time to aortic dissection, aortic-root surgery, or death; somatic growth; and the incidence of adverse events. RESULTS : From January 2007 through February 2011, a total of 21 clinical centers enrolled 608 participants, 6 months to 25 years of age (mean [+/- SD] age, 11.5 +/- 6.5 years in the atenolol group and 11.0 +/- 6.2 years in the losartan group), who had an aorticroot z score greater than 3.0. The baseline-adjusted rate of change (+/- SE) in the aortic-root z score did not differ significantly between the atenolol group and the losartan group (-0.139 +/- 0.013 and -0.107 +/- 0.013 standard-deviation units per year, respectively; P = 0.08). Both slopes were significantly less than zero, indicating a decrease in the degree of aortic-root dilatation relative to body-surface area with either treatment. The 3-year rates of aortic-root surgery, aortic dissection, death, and a composite of these events did not differ significantly between the two treatment groups. CONCLUSIONS : Among children and young adults with Marfan's syndrome who were randomly assigned to losartan or atenolol, we found no significant difference in the rate of aorticroot dilatation between the two treatment groups over a 3-year period