Prognostic personal credit risk model considering censored information

With the digital transformation of commercial banks and the online transfer of credit transactions, the relationship between credit subjects tends to be complex, and personal credit risk management is facing challenges. The contagiousness of personal credit risk and the relationship among credit subjects are poorly understood in the field of credit risk management. This study used an SEIR infectious disease model to reveal the mode and structure of associated credit risk based on the theory and method of complex networks, and it explored the status and influencing factors of associated credit risk in a scale‐free network using simulation experiments. The research findings indicate that the coefficient of latency, the coefficient of risk contagion, the coefficient of direct recovery, the coefficient of latent transformation, the coefficient of immune recovery, and the structure of the association network have a significant influence on the scale and threshold of associated credit risk. This study reveals comprehensive reasons for the outbreak of credit risk clusters and provides a new perspective for financial institutions, such as commercial banks, to help them manage credit risk.

In recent years, with the transformation of our country’s economic structure, the consumption level of residents has gradually increased, and the volume of various consumer credit businesses of commercial banks has increased sharply, which has made the bank’s risk management and control work facing huge challenges. Traditional risk assessment methods mainly rely on the market experience of credit personnel. The results of risk assessment are greatly affected by personal subjective factors. In addition, in the face of increasing data volume and business volume, traditional assessment methods are inefficient, have long business cycles, and are accurate. It is difficult to guarantee. Therefore, this article aims to study the application of electricity data in personal credit risk assessment of commercial banks. On the basis of analyzing the causes of personal credit risk, the characteristics of personal credit risk and the application of electricity data in personal credit risk assessment, a personal credit assessment model is established through the data mining method of neural network, and the model is predicted. The prediction results show that the overall prediction accuracy rate of the model on the training data set is 86%, and the prediction accuracy rate of the test data set is 78%. The neural network model has high prediction accuracy, low data requirements and good results.

The essential issue of this book is the term credit, either in the context of credit markets, credit risk or credit rating. Credit markets’ existence is associated with credit risk, which refers to the risk of an economic loss from the failure of a counterparty to meet its contractual obligations. Due to credit risk, suppliers of credit need to assess the creditworthiness of prospective borrowers. Although modern approaches to credit risk analysis have been developed in recent decades, examining borrowers’ ability to repay their funds is one of the oldest lending activities. The main goal of this monograph is to apply and verify certain methods of credit risk modelling to real data from selected CEE countries. For the main purpose of this work, a micro approach is used to measure credit risk based on monitoring basic indicators and allowing creditors to take the necessary actions in time. The book aims at two partial financial and methodological objectives related to credit risk modelling in this context. Both of them are interconnected, and they complement each other throughout the book. In terms of financial application, this book’s principal objective is to analyse credit risk based on real data, assess its main factors, explore mutual relations, and draw conclusions related to risk assessment and market behaviour. The application is focused on two approaches of individual credit risk assessment within the areas of credit rating and corporate survival. The methodological purpose is the application and verification of rating and bankruptcy models. Rating models estimated using conventional approaches such as discriminant analysis or logistic regression are supplemented by an alternative survival analysis approach to determine the probability of rating downgrade over time. Survival analysis is subsequently used in the following empirical studies on corporate bankruptcy. We will investigate the relationship between the rating and corporate bankruptcy rates and estimate the rating assessment depending on the used model, input variables and the company's age. This book is intended for everyone interested in credit risk, particularly rating and corporate survival modelling, mainly for academia and students at all levels of study. This monograph aims to provide complex information on credit risk fundamentals, current trends and rating systems’ principles. However, the primary purpose is the practical application and estimating models using real corporate data. Thus, we can determine the main factors of rating assessment and corporate survival and demonstrate how these models can be developed through different statistical methods. The text is structured into three central parts: The theoretical background on credit risk and the credit rating industry, a description of econometric approaches used in the applications, and empirical studies on credit rating and corporate bankruptcy modelling. If the reader is particularly interested in estimating models and their comparison and interpretation, then it is suggested that they go directly to the practical application. However, reading the book step by step is recommended to understand the essence and main principles and use them in the application.

Introduction Three main variables affect the credit risk of a financial asset: (i) the probability of default (PD), (ii) the ‘loss given default’ (LGD), which is equal to one minus the recovery rate in the event of default (RR), and (iii) the exposure at default (EAD). While significant attention has been devoted by the credit risk literature on the estimation of the first component (PD), much less attention has been dedicated to the estimation of RR and to the relationship between PD and RR. This is mainly the consequence of two related factors. First, credit pricing models and risk management applications tend to focus on the systematic risk components of credit risk, as these are the only ones that attract risk-premia. Second, credit risk models traditionally assumed RR to be dependent on individual features (e.g. collateral or seniority) that do not respond to systematic factors, and therefore to be independent of PD. This traditional focus only on default analysis has been partly reversed by the recent increase in the number of studies dedicated to the subject of RR estimation and the relationship between the PD and RR (Fridson et al . 2000, Gupton et al . 2000, Altman et al . 2001, Altman et al . 2003, 2005, Frye 2000a, 2000b, 2000c, Hu and Perraudin 2002, Hamilton et al . 2001, Jarrow 2001 and Jokivuolle and Peura 2003). This is partly the consequence of the parallel increase in default rates and decrease of recovery rates registered during the 1999–2002 period.

Evapotranspiration is the most important variable next to rainfall in the context of irrigation to crops and it is a multivariate phenomenon as it is influenced by many hydrological variables. In this paper, the relative importance of different variables involved in evapotranspiration has been investigated through a multivariate technique, namely factor analysis. Monthly data pertaining to eight meteorological stations located in two tropical states of India are used in this analysis. Factor analysis was applied to determine the relative effect of rainfall, temperature (maximum and minimum), wind speed, relative humidity, and sunshine duration on evapotraspiration. The analysis was performed in two stages: in the first stage, the principal components were obtained and in the second stage, a set of factors was derived using Varimax factor rotation. Three factors were extracted which explained more than 85% of the total variation in the original data set. The identified factors were related to physical processes influencing the evapotranspiration. The results of the study reveal that the variables, relative humidity, temperature, and wind speed, are those with the most influence in the evapotranspiration process, in that order. The variables rainfall and sunshine duration have been found to have less influence on the ET process.

대부분의 사회과학분야 연구에서는 다중선형회귀모형에 포함되는 설명변수들의 상대적 중요도에 대해 많은 관심을 가지고 있다. SPSS를 비롯한 여러 상용 통계패키지에서는 표준화 회귀계수의 추정값을 계산해 주고 있으며 표준화 회귀계수의 추정값의 절대값이 큰 설명변수가 중요하다고 해석하기도 하지만 이러한 주장에는 많은 논란이 있다. 여러 회귀분석 교과서에서도 표준화 회귀계수의 맹목적인 사용에 유의할 필요가 있다고 강조하고 있지만 대안은 제시되고 있지않다. 본 연구에서는 설명변수의 상대적 중요도에 대한 구체적인 의미를 생각해보고 몇 가지 잔차산점도에서의 상관계수와 표준화 회귀계수의 관계를 알아보고 설명변수들의 상대적 중요도를 나타내는 적절한 척도를 제안한다. 추가변수그림의 상관계수는 추가적인 설명력을 검정하는 부분 검정통계량의 크기를 나타내는 척도로 사용될 수 있고, 추가결정계수그림의 상관계수는 설명변수의 추가를 통해서 발생하는 결정계수의 증가분을 나타내는 척도로 사용될 수 있다. 또한 보정계수를 이용하여 이러한 척도들과 표준화 회귀계수와의 관계를 구해본다. 제시된 척도들을 실제 자료에 적용시켜본다.In most social science research work there are some interests concerning the rank of relative importance of different variables in the regression model. Statistical packages such as SPSS provide the printouts on the standardized coefficient. But many people make cautionary remarks that the rankings of the standardized coefficients in terms of absolute magnitude does not necessarily reflect the importance of variables in explaining the variability of response variable. Many textbooks give warnings against the misuse of this automatic computer generated output. We consider the relationship between this standardized coefficient and the correlation coefficients of various residual plots. And this suggests that the appropriate correlation coefficients may be used in ranking the relative importance of variables. The correlation coefficient derived from added variable plot is a good measure in determining the ranks of variables according to the size of partial -values for regression coefficient. The correlation coefficient from the additional   plot compares each variable s contribution in terms of additional increase of coefficient of determination over the variability explained by other variables in the model.

In order to provide more view of using personal credit risk measurement tools at Vietnamese commercial bank branches, this study collected data from 386 individual customer profiles of Agribank - Tay Do branch and applied logistic regression technique. The results show that 8 factors including Age, Marital status, Education, Collateral, Income before loan, Income after disbursement, Loan term, Credit history have statistically significant influences on personal credit risk with the model's explanatory level of 82.6%. The study also made recommendations for Agribank - Tay Do branch in particular and Vietnam's commercial bank branches in general to use logistic regression model and to attach importance to income and credit history factors instead of focusing too much on collateral elements in measuring personal credit risk.

A method for describing and analyzing selection decisions is applied to the problem of the acceptance and admission of patients referred to psychiatric hospitals. The model directs attention to the separate decision points that constitute the overall selection process and permits an examination of the relative importance of different variables at different points in this process. The total populations of referrals to two psychiatric hospitals over an elevenweek period were followed to determine those persons who were accepted, or not accepted; and those admitted or not admitted to the hospital. These sub-groups were compared with each other on a number of social characteristics. Differences and similarities among these groups reflect the selection criteria of the institutions and indicate the ways in which the populations of referred, accepted, and admitted patients are related to each other.

Many studies have examined how fuels, topography, climate, and fire weather influence fire severity. Less is known about how different forest management practices influence fire severity in multi-owner landscapes, despite costly and controversial suppression of wildfires that do not acknowledge ownership boundaries. In 2013, the Douglas Complex burned over 19,000ha of Oregon & California Railroad (O&C) lands in Southwestern Oregon, USA. O&C lands are composed of a checkerboard of private industrial and federal forestland (Bureau of Land Management, BLM) with contrasting management objectives, providing a unique experimental landscape to understand how different management practices influence wildfire severity. Leveraging Landsat based estimates of fire severity (Relative differenced Normalized Burn Ratio, RdNBR) and geospatial data on fire progression, weather, topography, pre-fire forest conditions, and land ownership, we asked (1) what is the relative importance of different variables driving fire severity, and (2) is intensive plantation forestry associated with higher fire severity? Using Random Forest ensemble machine learning, we found daily fire weather was the most important predictor of fire severity, followed by stand age and ownership, followed by topographic features. Estimates of pre-fire forest biomass were not an important predictor of fire severity. Adjusting for all other predictor variables in a general least squares model incorporating spatial autocorrelation, mean predicted RdNBR was higher on private industrial forests (RdNBR 521.85±18.67 [mean ± SE]) vs. BLM forests (398.87±18.23) with a much greater proportion of older forests. Our findings suggest intensive plantation forestry characterized by young forests and spatially homogenized fuels, rather than pre-fire biomass, were significant drivers of wildfire severity. This has implications for perceptions of wildfire risk, shared fire management responsibilities, and developing fire resilience for multiple objectives in multi-owner landscapes.

Perfluorooctanoic acid (PFOA) is used in a variety of industries and is highly persistent in the environment, with potential human health risks. Photocatalysis has been extensively used for the decomposition of various organic pollutants, yet its simulation and modeling are challenging. This research aimed to establish different machine learning (ML) algorithms which can simulate and predict the photocatalytic degradation of PFOA. The published results were used to estimate and predict the photocatalytic degradation of PFOA. Statistical criteria including the coefficient of determination (R2 ), mean absolute error (MAE), and mean squared error (MSE) were considered in assessing the best method of modeling. Among the seven ML algorithms pre-screened, Adaptive Boosting (AdaBoost), Gradient Boosting Machine (GBM), and Random Forest (RF) showed the best performance and were chosen for deep modeling and analysis. Grid search was used to optimize the models developed by AdaBoost, GBM, and RF; and permutation variable importance (PVI) was used to analyze the relative importance of different variables. Based on the modeling results, GBM model (R2 = 0.878, MSE = 106.660, MAE = 6.009) and RF model (R2 = 0.867, MSE = 107.500, MAE = 6.796) showed superior performances compared with AdaBoost model (R2 = 0.574, MSE = 388.369, MAE = 16.480). Furthermore, the PVI results suggested that the GBM model provided the best outcome, with the light irradiation time, type of catalyst, dosage of catalyst, solution pH, irradiation intensity, initial PFOA concentration, oxidizing agents (peroxymonosulfate, ammonium persulfate, and sodium persulfate), irradiation wavelength, and solution temperature as the most important process variables in decreasing order.

Combining crop plants with other plant species in agro-ecosystems is one way to enhance ecological pest and disease regulation mechanisms. Resource availability and microclimatic variation mechanisms affect processes related to pest and pathogen life cycles. These mechanisms are supported both by empirical research and by epidemiological models, yet their relative importance in a real complex agro-ecosystem is still not known. Our aim was thus to assess the independent effects and the relative importance of different variables related to resource availability and microclimatic variation that explain pest and disease occurrence at the plot scale in real complex agro-ecosystems. The study was conducted in cacao (Theobroma cacao) agroforests in Cameroon, where cocoa production is mainly impacted by the mirid bug, Sahlbergella singularis, and black pod disease, caused by Phytophthora megakarya. Vegetation composition and spatial structure, resource availability and pest and disease occurrence were characterized in 20 real agroforest plots. Hierarchical partitioning was used to identify the causal variables that explain mirid density and black pod prevalence. The results of this study show that cacao agroforests can be differentiated on the basis of vegetation composition and spatial structure. This original approach revealed that mirid density decreased when a minimum number of randomly distributed forest trees were present compared with the aggregated distribution of forest trees, or when forest tree density was low. Moreover, a decrease in mirid density was also related to decreased availability of sensitive tissue, independently of the effect of forest tree structure. Contrary to expectations, black pod prevalence decreased with increasing cacao tree abundance. By revealing the effects of vegetation composition and spatial structure on mirids and black pod, this study opens new perspectives for the joint agro-ecological management of cacao pests and diseases at the plot scale, through the optimization of the spatial structure and composition of the vegetation.

Prognosis in malignant melanoma

Many problems in mathematical finance can be formulated as high-dimensional integrals, where the large number of dimensions arises from small time steps in time discretization and/or a large number of state variables. Quasi--Monte Carlo (QMC) methods have been successfully used for approximating such integrals. To understand this success, this paper focuses on investigating the special features of some typical high-dimensional finance problems, namely, option pricing and bond valuation. We provide new insight into the connection between the effective dimension and the efficiency of QMC, and we present methods to analyze the dimension structure of a function. We confirm the observation of Caflisch, Morokoff, and Owen that functions from finance are often of low effective dimension, in the sense that they can be well approximated by their low-order ANOVA (analysis of variance) terms, usually just the order-1 and order-2 terms. We explore why the effective dimension is small for many integrals from finance. By deriving explicit forms of the ANOVA terms in simple cases, we find that the importance of each dimension is naturally weighted by certain hidden weights. These weights characterize the relative importance of different variables or groups of variables and limit the importance of the higher-order ANOVA terms. We study thevariance ratios captured by low-order ANOVA terms and their asymptotic properties as the dimension tends to infinity, and we show that with the increase of dimension the lower-order terms continue to play a significant role and the higher-order terms tend to be negligible. This provides some insight into high-dimensional problems from finance and explains why QMC algorithms are efficient for problems of this kind.

The Van Nuys Prognostic Index (VNPI), an algorithm based on tumour size, tumour grade, presence of necrosis and excision margin width, is claimed to predict local recurrence after breast-conserving surgery for ductal carcinoma in situ (DCIS). The aim of this study was to examine the validity of the VNPI in a UK population. Clinicopathological data, including VNPI subgroups, for 237 patients who had breast-conserving operations for DCIS were examined. Multivariate data analysis was performed using a Cox regression model to examine the independence and relative importance of different variables in predicting recurrence, and to compare the data with those used in derivation of the VNPI. The median follow-up was 47 months. There were 37 ipsilateral local recurrences. Excision margin width (P < 0.001) and tumour grade (by Van Nuys grading (P = 0.014) or simple nuclear grading (P = 0.004)) were the only independent risk factors for local recurrence. Excision margin width had three times more power than grade in predicting local recurrence. Subgrouping data by VNPI score predicted recurrence-free survival (P < 0.001), but stratified 78 per cent of patients into a group with a moderate risk of local recurrence. Excision margin width is the most important predictor of local recurrence after breast-conserving surgery for DCIS. The VNPI lacked discriminatory power for guiding further patient management.

&lt;p&gt;Credit risk refers to the probability of financial loss resulting from a borrower’s failure to repay a loan. Essentially, it encompasses the risk that a lender may not receive the owed principal and interest, leading to disrupted cash flows and increased collection costs. Lenders can mitigate credit risk by analyzing factors related to a borrower’s creditworthiness, such as their current debt load and income. In the last decade, many banks have started to make use of models to assess the risks of lending credit. The credit risk models are very complex and include algorithm-based methods of assessing credit risk. Such a model aims to help banks quantify, aggregate, and manage credit risk. Despite the method, the focus of credit risk assessment stays on credit quality and risk exposure. Strategies to reduce losses and manage risks are pertinent in credit risk management. However, banks have to organize and manage the lending function professionally and proactively and use advanced techniques to measure and manage risks. Credit risk management has become a hot topic due to the ongoing global economic crises, the rapid digital transformation, the recent technological innovations, and the growing use of artificial intelligence in banking. Regulators expect banks to have a clear and comprehensive understanding of their customers and their credit risk and to be transparent and capable in this area. As the Basel regulations change, banks will face more regulatory pressure. To meet the changing regulatory demands and to manage risk better, many banks are changing their credit risk practices. However, banks that see this as only a compliance issue are missing the point. The research findings indicate that the bank’s credit management practices have strongly influenced its profitability. In brief, manoeuvring through the complex risk terrain poses a significant hurdle for financial organizations. This requires ongoing adjustments and strategic choices to ensure both stability and profitability. Consequently, persistent academic research is essential to guide management, governments, and regulators.&lt;/p&gt;&lt;p&gt;&lt;strong&gt; &lt;/strong&gt;&lt;/p&gt;&lt;p&gt;&lt;strong&gt;JEL&lt;/strong&gt;: G21, G32, G33, C53, E58, D81&lt;/p&gt;&lt;p&gt; &lt;/p&gt;&lt;p&gt;&lt;strong&gt; Article visualizations:&lt;/strong&gt;&lt;/p&gt;&lt;p&gt;&lt;img src="/-counters-/soc/0771/a.php" alt="Hit counter" /&gt;&lt;/p&gt;