Poly-bagging predictors for classification modelling for credit scoring

Credit scoring modelling comprises one of the leading formal tools for supporting the granting of credit. Its core objective consists of the generation of a score by means of which potential clients can be listed in the order of the probability of default. A critical factor is whether a credit scoring model is accurate enough in order to provide correct classification of the client as a good or bad payer. In this context the concept of bootstraping aggregating (bagging) arises. The basic idea is to generate multiple classifiers by obtaining the predicted values from the fitted models to several replicated datasets and then combining them into a single predictive classification in order to improve the classification accuracy. In this paper we propose a new bagging-type variant procedure, which we call poly-bagging, consisting of combining predictors over a succession of resamplings. The study is derived by credit scoring modelling. The proposed poly-bagging procedure was applied to some different artificial datasets and to a real granting of credit dataset up to three successions of resamplings. We observed better classification accuracy for the two-bagged and the three-bagged models for all considered setups. These results lead to a strong indication that the poly-bagging approach may promote improvement on the modelling performance measures, while keeping a flexible and straightforward bagging-type structure easy to implement. (C) 2011 Elsevier Ltd. All rights reserved.

Innovation assessment of a Portuguese railway branch of a foreign multinational - a case study

Paper developed for the unit “Innovation Economics and Management” of the PhD programme in Technology Assessment at the Universidade Nova de Lisboa in 2009-10 under the supervision of Prof. Maria Luísa Ferreira

Prevenção e mitigação do risco de incumprimento mais eficaz na banca de retalho

O âmbito deste trabalho é o da prevenção e mitigação do risco de uma carteira de crédito de um Banco de retalho, com uma quota significativa no mercado Português. A antecipação de potencial incumprimento é crítica para a atuação atempada do Banco junto dos clientes. Pretendeu-se analisar o poder preditivo de uma base de informação exógena (a Central) que inclui as responsabilidades creditícias dos clientes do Banco no Sistema Financeiro Português. As principais fases deste trabalho consistiram na análise e estruturação da informação da Central, de modo a integrá-la com a do Banco, compreensão das condicionantes desta informação, nomeadamente o desfasamento temporal, e finalmente, no desenvolvimento de um modelo de scoring, compatível com os sistemas e tecnologias do Banco, e de modo a alavancar o processo existente.

Credit risk of financial institutions

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

Management consulting Winning

A few decades ago, global management consulting was considered to be one of the most attractive industries due to its abnormal high profit margins and above-average growth rates. However, after the dot-com bubble in 2000 and the last global financial crisis, firms folded and growth rates declined sharply. In an attempt to overcome the uncertainty and information volatility, internationalization is commonly cited as a good strategy. WMC, a Portuguese SME founded in 2012, has now decided to expand its management consulting services. Therefore, a scoring model was created to assess selected European countries’ attractiveness taking into consideration macro and microeconomic data. Results show that Spain is the best option at the moment, mainly because it is where the company has the larger number of projects already developed and is more likely to leverage its network.

Canada, a child's play

Science4you, a Portuguese developer, producer and seller of scientific and educational toys, leveraged the worldwide growth of this category to successfully expand its operations abroad. Following a recent entry into the United States market, the purpose of this report is to help the company define the next step in its international expansion. A customized scoring model, based on a set of relevant macro and micro-criteria was developed for Anglo-Saxon and Asian countries, yielding Canada as the market with the highest potential. The recommended entry mode is direct exporting via an independent distributor, being complemented with a financial and risk analysis.

Plan to bear fruit

Frutaformas is a Portuguese micro-enterprise, specialized in the production of premium dehydrated-fruit, an emerging snack category fostered by the increasing trend for healthier alimentary habits in developed countries. The relatively small size of the domestic market and the growing competition led Frutaformas to consider Europe as an attractive for export market. A scoring model based on a set of macro and micro-level criteria suggested the United Kingdom as the preferential target country at this stage. Recommendations on the entry mode and the associated risks were elaborated taking into account the country and industry analysis as well as Frutaformas’ unique organizational platform.

A Methodology to measure shareholder value orientation and shareholder value creation aimed at providing a research basis to investigate the link between both magnitudes

Does shareholder value orientation lead to shareholder value creation? This article proposes methods to quantify both, shareholder value orientation and shareholder value creation. Through the application of these models it is possible to quantify both dimensions and examine statistically in how far shareholder value orientation explains shareholder value creation. The scoring model developed in this paper allows quantifying the orientation of managers towards the objective to maximize wealth of shareholders. The method evaluates information that comes from the companies and scores the value orientation in a scale from 0 to 10 points. Analytically the variable value orientation is operationalized expressing it as the general attitude of managers toward the objective of value creation, investment policy and behavior, flexibility and further eight value drivers. The value creation model works with market data such as stock prices and dividend payments. Both methods where applied to a sample of 38 blue chip companies: 32 firms belonged to the share index IBEX 35 on July 1st, 1999, one company represents the “new economy” listed in the Spanish New Market as per July 1st, 2001, and 5 European multinational groups formed part of the EuroStoxx 50 index also on July 1st, 2001. The research period comprised the financial years 1998, 1999, and 2000. A regression analysis showed that between 15.9% and 23.4% of shareholder value creation can be explained by shareholder value orientation.

Enhancing clinically-relevant shoulder function assessment using only essential movements.

Kinematic functional evaluation with body-worn sensors provides discriminative and responsive scores after shoulder surgery, but the optimal movements' combination has not yet been scientifically investigated. The aim of this study was the development of a simplified shoulder function kinematic score including only essential movements. The P Score, a seven-movement kinematic score developed on 31 healthy participants and 35 patients before surgery and at 3, 6 and 12 months after shoulder surgery, served as a reference.Principal component analysis and multiple regression were used to create simplified scoring models. The candidate models were compared to the reference score. ROC curve for shoulder pathology detection and correlations with clinical questionnaires were calculated.The B-B Score (hand to the Back and hand upwards as to change a Bulb) showed no difference to the P Score in time*score interaction (P > .05) and its relation with the reference score was highly linear (R(2) > .97). Absolute value of correlations with clinical questionnaires ranged from 0.51 to 0.77. Sensitivity was 97% and specificity 94%.The B-B and reference scores are equivalent for the measurement of group responses. The validated simplified scoring model presents practical advantages that facilitate the objective evaluation of shoulder function in clinical practice.

Organic consumers' attitudes and preferences regarding alternatives to piglet castration without anaesthesia and analgesia in organic farming - an explorative analysis

In Germany and other European countries piglets are routinely castrated in order to avoid the occurrence of boar taint, an off-flavour and off-odour of pork. Sensory perception of boar taint varies; however, it is regarded as very unpleasant by many people. Surgical castration which is an effective means against boar taint has commonly been performed without anaesthesia or analgesia within the piglets’ first seven days of life. Piglet castration without anaesthesia has been heavily criticised, as the assumption that young piglets perceive less pain than older animals cannot be supported by scientific evidence. Consequently, surgical castration is only allowed with anaesthesia and/or analgesia in organic farming throughout the European Union since January 2012. Abandoning piglet castration without pain relief requires the implementation of alternative methods which improve animal welfare while maintaining sensory meat quality. There are three relevant alternatives: castration with anaesthesia and/or analgesia to reduce pain, a vaccination against boar taint (immunocastration) and the fattening of uncastrated male pigs (fattening of boars) combined with measures to reduce and detect boar taint in meat. Consumers’ attitudes and opinions regarding the alternatives are an important factor with regard to the implementation of alternatives, as they are finally supposed to buy the meat. The objective of this dissertation was to explore organic consumers’ attitudes, preferences and willingness-to-pay regarding piglet castration without pain relief and the three alternatives. Important aspects for the evaluation of the alternatives and influencing factors (e.g. information, taste) on preferences and willingness-to-pay should also be identified. In autumn 2009 nine focus group discussions were conducted each followed by a Vickrey auction including a tasting of boar salami. Overall, 89 consumers of organic pork participated in the study. Information on piglet castration and alternatives (in three variants) was provided as a basis for discussion. The focus group data were analysed using qualitative content analysis. In order to compare the focus group results with those from the auctions, an innovative approach applying an adapted scoring model to further analyse the data set was used. The majority of participants were not aware that piglets are castrated without anaesthesia in organic farming. They reacted shocked and disappointed on learning about this practice which did not fit into their image of animal welfare standards in organic farming. Overall, the results show, that for consumers of organic pork castration with anaesthesia and analgesia as well as the fattening of boars may be acceptable alternatives in organic farming. Considering the strong food safety concerns regarding immunocastration, acceptance of this alternative may be questioned. Communication regarding alternatives to piglet castration without anaesthesia and analgesia should take into account that the relevance of the aspects animal welfare, food safety, taste and costs differs between alternatives. Furthermore, it seems advisable not to address an unappetizing topic like piglet castration directly at the point of sale so as not to deter consumers from buying organic pork. The issue of piglet castration demonstrates exemplarily that it is important for the organic sector to implement and maintain high animal welfare standards and communicate them in an appropriate way, thereby trying to prevent strong discrepancies between consumers’ expectations regarding animal husbandry in organic farming and actual conditions. So, disappointment of consumers and a loss of image due to negative reports about animal welfare issues can be avoided.

Uso de modelos estatísticos para dados de escore de crédito de uma instituição financeira

Pós-graduação em Engenharia de Produção - FEB

Characterization of the structure of RAMP1 by mutagenesis and molecular modeling

Receptor activity modifying proteins (RAMPs) are a family of single-pass transmembrane proteins that dimerize with G-protein-coupled receptors. They may alter the ligand recognition properties of the receptors (particularly for the calcitonin receptor-like receptor, CLR). Very little structural information is available about RAMPs. Here, an ab initio model has been generated for the extracellular domain of RAMP1. The disulfide bond arrangement (Cys 27-Cys82, Cys40-Cys72, and Cys 57-Cys104) was determined by site-directed mutagenesis. The secondary structure (a-helices from residues 29-51, 60-80, and 87-100) was established from a consensus of predictive routines. Using these constraints, an assemblage of 25,000 structures was constructed and these were ranked using an all-atom statistical potential. The best 1000 conformations were energy minimized. The lowest scoring model was refined by molecular dynamics simulation. To validate our strategy, the same methods were applied to three proteins of known structure; PDB:1HP8, PDB:1V54 chain H (residues 21-85), and PDB:1T0P. When compared to the crystal structures, the models had root mean-square deviations of 3.8 Å, 4.1 Å, and 4.0 Å, respectively. The model of RAMP1 suggested that Phe93, Tyr 100, and Phe101 form a binding interface for CLR, whereas Trp74 and Phe92 may interact with ligands that bind to the CLR/RAMP1 heterodimer. © 2006 by the Biophysical Society.

Re-evaluation of central America drug market where to start?

Atral is a Portuguese Pharmaceutical firm devoted to the production of finished drugs. Due to domestic market hurdles, Atral is now, more than ever, focused in the world. The Central America region seams alluring due to its context alignment with firm’s resources bundle. As Atral should approach one regional country at a time, the purpose of this thesis is to find out the most suitable country to approach now. Hence a tailored scoring model was applied, based on contexts analysis and importance of benchmarking indicators to both firm and industry. Upon analysis of the highest scored country, the most appropriate entry modes were assessed.

Prediction of 18-month survival in patients with primary myelodysplastic syndrome. A regression model and scoring system based on the combination of chromosome findings and the Bournemouth score.

The predictive potential of six selected factors was assessed in 72 patients with primary myelodysplastic syndrome using univariate and multivariate logistic regression analysis of survival at 18 months. Factors were age (above median of 69 years), dysplastic features in the three myeloid bone marrow cell lineages, presence of chromosome defects, all metaphases abnormal, double or complex chromosome defects (C23), and a Bournemouth score of 2, 3, or 4 (B234). In the multivariate approach, B234 and C23 proved to be significantly associated with a reduction in the survival probability. The similarity of the regression coefficients associated with these two factors means that they have about the same weight. Consequently, the model was simplified by counting the number of factors (0, 1, or 2) present in each patient, thus generating a scoring system called the Lausanne-Bournemouth score (LB score). The LB score combines the well-recognized and easy-to-use Bournemouth score (B score) with the chromosome defect complexity, C23 constituting an additional indicator of patient outcome. The predicted risk of death within 18 months calculated from the model is as follows: 7.1% (confidence interval: 1.7-24.8) for patients with an LB score of 0, 60.1% (44.7-73.8) for an LB score of 1, and 96.8% (84.5-99.4) for an LB score of 2. The scoring system presented here has several interesting features. The LB score may improve the predictive value of the B score, as it is able to recognize two prognostic groups in the intermediate risk category of patients with B scores of 2 or 3. It has also the ability to identify two distinct prognostic subclasses among RAEB and possibly CMML patients. In addition to its above-described usefulness in the prognostic evaluation, the LB score may bring new insights into the understanding of evolution patterns in MDS. We used the combination of the B score and chromosome complexity to define four classes which may be considered four possible states of myelodysplasia and which describe two distinct evolutional pathways.