Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

Pankkien tuloksenjärjestelymahdollisuudet siirryttäessä IFRS-normistoon

Tutkielman ensisijaisena tavoitteena oli määrittää pankkien tuloksenjärjestelymahdollisuuksien muutoksia siirryttäessä kansallisesta FAS GAAP -tilinpäätösnormistosta IFRS-normistoon. Tuloksenjärjestelyn ilmiötä käsiteltiin esittelemällä useita koti- ja ulkomaisia tuloksenjärjestelytutkimuksia. Pankeilla on toimialalleen erityisiä kannustimia tuloksenjärjestelyyn. Pankkitoimialalla tuloksenjärjestely on perinteisesti esiintynyt tuloksentasaamisena tilikausien välillä. Tutkimuksessa saatiin selkeä kuva tuloksenjärjestelymahdollisuuksien muutoksesta. IFRS-normiston sisältämä johdon harkintavalta ilmenee tilinpäätöksen laadintaperiaatteiden valinnaisuutena ja standardien laskelmien sisältäminä johdon arvioina ja oletuksina. Harkintavaltaa käyttämällä johto voi vaikuttaa tilinpäätöksen taseeseen ja tulokseen. IFRS-normistossa tilinpäätöksen laadintaperiaatteisiin liittyvä johdon harkintavalta on vähentynyt verrattuna kansalliseen FAS GAAP-tilinpäätöskäytäntöön, mutta IFRS jättää johdolle edelleen harkintavaltaa muutamien kirjaus- ja raportointikäytäntöjen suhteen. Perinteisten tuloksenjärjestelykeinojen rinnalle IFRS:ssä nousevat useiden standardien laskelmien sisältämät johdon arviot ja oletukset tulevaisuuden muuttujista. Omaisuuserien käypään arvoon arvostamisen myötä tilikauden tuloksista saattaa tulla aikaisempaa volatiilimpia. Käypiin arvoihin arvostamisen seurauksena pankit saattavat siirtyä käyttämään sijoitustensa ostoja ja myyntejä tuloksentasauskeinona. FAS GAAP:ssa pankit ovat käyttäneet tuloksentasaamiseen tiettyjä suoriteperusteisia eriä, esimerkiksi luottotappiovarauksia. IFRS tiukentaa varausten tekemisen periaatteita, mutta tuo tilalle lainakannan arvonalentumistestaukseen sisältyvät johdon arviot.

Kansainvälisen kaupan luotonhallinta

Tutkimuksen tavoitteena on luoda luottopolitiikka kohdeyrityksen jokapäiväiseen käyttöön. Tutkimuksessa selvitetään tekijät, jotka vaikuttavat luottopolitiikan luomiseen sekä hyvän luottopolitiikan osa-alueiden sisältö. Tavoitteena on myös selvittää kohdeyrityksen luotonhallinnan ongelmakohdat sekä antaa ratkaisuehdotuksia. Kyseessä on laadullinen tutkimus, jonka teoreettinen viitekehys on luotu kirjallisuuskatsauksen perusteella. Teoriaosuudessa on käsitelty kansainvälisen kaupan strategioita ja yritysten luotonhallintaa. Empiiriseen osuuteen aineistoa on kerätty useilla eri metodeilla, kuten haastatteluilla, lomakekyselyllä, osallistuvalla havainnoinnilla sekä valmiista aineistoista ja dokumenteista. Tutkimuksen tuloksena on suositus luottopolitiikaksi, jonka tavoitteena on luotonhallinnan käytäntöjen yhtenäistäminen ja sidosryhmien välisen kommunikaation parantaminen. Suositusten mukaisen luottopolitiikan käyttöönotolla uskotaan olevan suotuisa vaikutus yrityksen myyntisaamisten kiertoaikaan ja luottotappioiden määrään.

Luottotappioiden minimointi irtaimen vuokrassa - Case: Finnrowing Oy

Tutkielman tarkoituksena on selvittää, miten vuokranantajan luottotappioriskin todennäköisyyttä voidaan pienentää ja kuinka riskin realisoitumisesta aiheutuvat seuraukset saataisiin mahdollisimman pieneksi. Tutkimus on toteutettu kvalitatiivisena yhden tapauksen tapaustutkimuksena, joka perustuu sekä teoreettiseen että empiiriseen aineistoon. Tutkimuksessa käytetty oikeuskirjallisuus koostuu pääasiassa varallisuusoikeutta, sopimusoikeutta, yhtiöoikeutta ja insolvenssioikeutta käsittelevistä teoksista. Aineistona on lisäksi käytetty lainsäädäntöä ja oikeustapauksia. Tutkimuksen empiiriseen osuuteen liittyvä aineisto muodostuu erityisesti tutkielman tekijän omista havainnoista. Tutkielmaa varten on lisäksi haastateltu kohdeyrityksen toimitusjohtajaa. Tutkimuksessa pyritään käsittelemään riskienhallintaa kokonaisuutena, joka alkaa jo ennen vuokrasuhteen solmimista. Tavoitteena on minimoida luottotappioriskiä niin pitkälle, kuin se on liiketoiminnan siitä kärsimättä mahdollista. Käytännössä kaikkia riskejä ei kuitenkaan ole mahdollista välttää ja perintään on siksi osattava varautua jo etukäteen. Tutkimuksessa selvitetään, mitä vuokrasopimuksessa tulee ottaa huomioon perinnän kannalta. Lisäksi analysoidaan erilaisia vuokranantajan käytössä olevia perintäkeinoja ja niiden käyttökelpoisuutta case-yhtiössä.

Credit risk stress testing: The Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Evaluating the legacy of landscape history: extinction debt and species credit in bird and small mammal assemblages in the Brazilian Atlantic Forest

There is now an extensive literature on extinction debt following deforestation. However, the potential for species credit in landscapes that have experienced a change from decreasing to expanding forest cover has received little attention. Both delayed responses should depend on current landscape forest cover and on species life-history traits, such as longevity, as short-lived species are likely to respond faster than long-lived species. We evaluated the effects of historical and present-day local forest cover on two vertebrate groups with different longevities understorey birds and non-flying small mammals - in forest patches at three Atlantic Forest landscapes. Our work investigated how the probability of extinction debt and species credit varies (i) amongst landscapes with different proportions of forest cover and distinct trajectories of forest cover change, and (ii) between taxa with different life spans. Our results suggest that the existence of extinction debt and species credit, as well as the potential for their future payment and/or receipt, is not only related to forest cover trajectory but also to the amount of remaining forest cover at the landscape scale. Moreover, differences in bird and small mammal life spans seem to be insufficient to affect differently their probability of showing time-delayed responses to landscape change. Synthesis and applications. Our work highlights the need for considering not only the trajectory of deforestation/regeneration but also the amount of forest cover at landscape scale when investigating time-delayed responses to landscape change. As many landscapes are experiencing a change from decreasing to expanding forest cover, understanding the association of extinction and immigration processes, as well as their interactions with the landscape dynamic, is a key factor to plan conservation and restoration actions in human-altered landscapes.

“All Data is Credit Data,” or, On Close Reading as a Reciprocal Process in Digital Knowledge Environments

The new knowledge environments of the digital age are oen described as places where we are all closely read, with our buying habits, location, and identities available to advertisers, online merchants, the government, and others through our use of the Internet. This is represented as a loss of privacy in which these entities learn about our activities and desires, using means that were unavailable in the pre-digital era. This article argues that the reciprocal nature of digital networks means 1) that the privacy issues that we face online are not radically different from those of the pre-Internet era, and 2) that we need to reconceive of close reading as an activity of which both humans and computer algorithms are capable.

Protecting Your Assets: A Well-Defined Credit Policy Is The Key

In - Protecting Your Assets: A Well-Defined Credit Policy Is The Key – an essay by Steven V. Moll, Associate Professor, The School of Hospitality Management at Florida International University, Professor Moll observes at the outset: “Bad debts as a percentage of credit sales have climbed to record levels in the industry. The author offers suggestions on protecting assets and working with the law to better manage the business.” “Because of the nature of the hospitality industry and its traditional liberal credit policies, especially in hotels, bad debts as a percentage of credit sales have climbed to record levels,” our author says. “In 1977, hotels showing a net income maintained an average accounts receivable ratio to total sales of 3.4 percent. In 1983, the accounts receivable ratio to total sales increased to 4.1 percent in hotels showing a net income and 4.4 percent in hotels showing a net loss,” he further cites. As the professor implies, there are ways to mitigate the losses from bad credit or difficult to collect credit sales. In this article Professor Moll offers suggestions on how to do that. Moll would suggest that hotels and food & beverage operations initially tighten their credit extension policies, and on the following side, be more aggressive in their collection-of-debt pursuits. There is balance to consider here and bad credit in and of itself as a negative element is not the only reflection the profit/loss mirror would offer. “Credit managers must know what terms to offer in order to compete and afford the highest profit margin allowable,” Moll says. “They must know the risk involved with each guest account and be extremely alert to the rights and wrongs of good credit management,” he advocates. A sound profit policy can be the result of some marginal and additional credit risk on the part of the operation manager. “Reality has shown that high profits, not small credit losses, are the real indicator of good credit management,” the author reveals. “A low bad debt history may indicate that an establishment has an overly conservative credit management policy and is sacrificing potential sales and profits by turning away marginal accounts,” Moll would have you believe, and the science suggests there is no reason not to. Professor Moll does provide a fairly comprehensive list to illustrate when a manager would want to adopt a conservative credit policy. In the final analysis the design is to implement a policy which weighs an acceptable amount of credit risk against a potential profit ratio. In closing, Professor Moll does offer some collection strategies for loose credit accounts, with reference to computer and attorney participation, and brings cash and cash discounts into the discussion as well. Additionally, there is some very useful information about what debt collectors – can’t – do!

Evidence of positive selection associated with placental loss in tiger sharks

Acknowledgements We thank staff at the Cape Eleuthera Institute for assistance in the field, Dominique Barthelemy and Jean Goasdoue for providing samples, and Helen Hipperson for assistance in the lab.

Loss Intro 475

General note: Title and date provided by Bettye Lane.

Credit risk & forward price models

Doutoramento em Gestão

Chronic Telogen Effluvium And Female Pattern Hair Loss Are Separate And Distinct Forms Of Alopecia: A Histomorphometric And Immunohistochemical Analysis.

Chronic telogen effluvium (CTE), a poorly understood condition, can be confused with or may be a prodrome to female pattern hair loss (FPHL). The pathogenesis of both is related to follicle cycle shortening and possibly to blood supply changes. To analyze a number of histomorphometric and immunohistochemical findings through vascular endothelial growth factor (VEGF), Ki-67, and CD31 immunostaining in scalp biopsies of 20 patients with CTE, 17 patients with mild FPHL and 9 controls. Ki-67 index and VEGF optical density were analyzed at the follicular outer sheath using ImageJ software. CD31 microvessel density was assessed by a Chalkley grid. Significant follicle miniaturization and higher density of nonanagen follicles were found in FPHL, compared with patients with CTE and controls. Ki-67+ index correlated positively with FPHL histological features. The FPHL group showed the highest VEGF optical density, followed by the CTE and control groups. No differences were found in CD31 microvessel density between the three groups. Histomorphometric results establish CTE as a distinct disorder, separate from FPHL from its outset. Its pathogenic mechanisms are also distinct. These findings support the proposed mechanism of 'immediate telogen release' for CTE, leading to cycle synchronization. For FPHL, accelerated anagen follicular mitotic rates and, thus, higher Ki-67 and VEGF values, would leave less time for differentiation, resulting in hair miniaturization.

Predictors For Weight Loss Failure Following Roux-en-y Gastric Bypass.

Weight loss failure is a widely recognized occurrence following Roux-en-Y gastric bypass. This study aims to identify predictors associated with weight loss failure. It is a retrospective cohort which enrolled 187 subjects who underwent RYGB. Comparisons were made between patients' features at baseline and 24 months after surgery. A weight loss failure rate of 11.2% was found. Advanced age and diabetes were statistically associated with failure. The results found were close to previous reports. As weight loss failure represents an important concern, there is the possibility to perform revisional surgeries, which may emphasize the restrictive or malabsorptive characteristics of RYGB, leading to varied results. It is reinforced that weight loss cannot be used as the unique outcome to evaluate the success of surgery.

Mass loss of four commercially available heat-polymerized acrylic resins after toothbrushing with three different dentifrices

The association between a toothbrush and a dentifrice is the most used denture cleaning method. The purpose of this study was to evaluate the abrasiveness of specific and non-specific denture cleaning dentifrices on different heat-polymerized acrylic resins. Sixteen specimens (90x30x3mm) of each acrylic resin (QC-20, Lucitone 550, Clássico, Vipi-Cril) were prepared and randomly assigned to 4 groups: 1: control (distilled water), 2: Colgate, 3: Bonyplus and 4: Dentu-Creme. The specimens were subjected to simulated toothbrushing in an automatic brushing machine using 35,600 brush strokes for each specimen. Brushing abrasion run at a 200-g load with the specimens immersed in 2:1 dentifrice/water slurry. Specimens were reconditioned to constant mass and the mass loss (mg) was evaluated. Data were analyzed by 2-way ANOVA and Tukey's test (a=0.05). Analysis of dentifrices' abrasive particles was made by scanning electron microscopy. Colgate produced the greatest mass reduction (42.44 mg, p<0.05), followed by Dentu-Creme (33.60 mg). Bonyplus was the less abrasive (19.91 mg), similar to the control group (19.69 mg) (p>0.05). The mass loss values indicated that QC-20 (33.13 mg) and Lucitone 550 (33.05 mg) resins were less (p<0.05) resistant to abrasion than Clássico (26.04 mg) and Vipi-Cril (23.43 mg). In conclusion, Colgate produced the greatest abrasion. Specific dentifrices for dentures tend to cause less damage to acrylic resins.

Relation between implant/abutment vertical misfit and torque loss of abutment screws

This study investigated whether there is a direct correlation between the level of vertical misfit at the abutment/implant interface and torque losses (detorque) in abutment screws. A work model was obtained from a metal matrix with five 3.75 x 9 mm external hex implants with standard platform (4.1 mm). Four frameworks were waxed using UCLA type abutments and one-piece cast in commercially pure titanium. The misfit was analyzed with a comparator microscope after 20 Ncm torque. The highest value of misfit observed per abutment was used. The torque required to loose the screw was evaluated using a digital torque meter. The torque loss values, measured by the torque meter, were assumed as percentage of initial torque (100%) given to abutment screws. Pearson's correlation (α=0.05) between the misfit values (29.08 ± 8.78 µm) and the percentage of detorque (50.71 ± 11.37%) showed no statistically significant correlation (p=0.295). Within the limitations of this study, it may be concluded that great vertical misfits dot not necessarily implies in higher detorque values.