Search results for: Credit Scoring
139 A Optimal Subclass Detection Method for Credit Scoring
Authors: Luciano Nieddu, Giuseppe Manfredi, Salvatore D'Acunto, Katia La Regina
In this paper a non-parametric statistical pattern recognition algorithm for the problem of credit scoring will be presented. The proposed algorithm is based on a clustering k- means algorithm and allows for the determination of subclasses of homogenous elements in the data. The algorithm will be tested on two benchmark datasets and its performance compared with other well known pattern recognition algorithm for credit scoring.
Keywords: Constrained clustering, Credit scoring, Statistical pattern recognition, Supervised classification.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1915
138 A Comparison of Different Soft Computing Models for Credit Scoring
Authors: Nnamdi I. Nwulu, Shola G. Oroja
Abstract:It has become crucial over the years for nations to improve their credit scoring methods and techniques in light of the increasing volatility of the global economy. Statistical methods or tools have been the favoured means for this; however artificial intelligence or soft computing based techniques are becoming increasingly preferred due to their proficient and precise nature and relative simplicity. This work presents a comparison between Support Vector Machines and Artificial Neural Networks two popular soft computing models when applied to credit scoring. Amidst the different criteria-s that can be used for comparisons; accuracy, computational complexity and processing times are the selected criteria used to evaluate both models. Furthermore the German credit scoring dataset which is a real world dataset is used to train and test both developed models. Experimental results obtained from our study suggest that although both soft computing models could be used with a high degree of accuracy, Artificial Neural Networks deliver better results than Support Vector Machines.
Keywords: Artificial Neural Networks, Credit Scoring, SoftComputing Models, Support Vector Machines.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1997
137 Assessment of Mortgage Applications Using Fuzzy Logic
Authors: Swathi Sampath, V. Kalaichelvi
The assessment of the risk posed by a borrower to a lender is one of the common problems that financial institutions have to deal with. Consumers vying for a mortgage are generally compared to each other by the use of a number called the Credit Score, which is generated by applying a mathematical algorithm to information in the applicant’s credit report. The higher the credit score, the lower the risk posed by the candidate, and the better he is to be taken on by the lender. The objective of the present work is to use fuzzy logic and linguistic rules to create a model that generates Credit Scores.
Keywords: Credit scoring, fuzzy logic, mortgage, risk assessment.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2601
136 Credit Spread Changes and Volatility Spillover Effects
Authors: Thomas I. Kounitis
Abstract:The purpose of this paper is to investigate the influence of a number of variables on the conditional mean and conditional variance of credit spread changes. The empirical analysis in this paper is conducted within the context of bivariate GARCH-in- Mean models, using the so-called BEKK parameterization. We show that credit spread changes are determined by interest-rate and equityreturn variables, which is in line with theory as provided by the structural models of default. We also identify the credit spread change volatility as an important determinant of credit spread changes, and provide evidence on the transmission of volatility between the variables under study.
Keywords: Credit spread changes, GARCH-in-Mean models, structural framework, volatility transmission.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1522
135 Credit Risk Management and Analysis in an Iranian Bank
Authors: Isa Nakhai Kamal Abadi, Esmaeel Saberi, Ehsan Mirjafari
Abstract:While financial institutions have faced difficulties over the years for a multitude of reasons, the major cause of serious banking problems continues to be directly related to lax credit standards for borrowers and counterparties, poor portfolio risk management, or a lack of attention to changes in economic or other circumstances that can lead to a deterioration in the credit standing of a bank's counterparties. Credit risk is most simply defined as the potential that a bank borrower or counterparty will fail to meet its obligations in accordance with agreed terms. The goal of credit risk management is to maximize a bank's risk-adjusted rate of return by maintaining credit risk exposure within acceptable parameters. Banks need to manage the credit risk inherent in the entire portfolio as well as the risk in individual credits or transactions. Banks should also consider the relationships between credit risk and other risks. The effective management of credit risk is a critical component of a comprehensive approach to risk management and essential to the long-term success of any banking organization. In this research we also study the relationship between credit risk indices and borrower-s timely payback in Karafarin bank.
Keywords: Financial Ratios; Spearman Test; Bank OperationsRiskProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1667
134 Easy Shopping by Electronic Credit
Authors: M. Kargar, A. Isazadeh, F. Fartash, T. Saderi
Abstract:In this paper we suggest a method for setting electronic credits for the customers. In this method banks and market-sites help each other to make doing large shopping through internet so easy. By developing this system, the people who have less money to buy most of the things they want, become able to buy all of them just through a credit. This credit is given by market-sites through a banking control on it. The method suggested can stop being imprisoned because of banking debts.
Keywords: E-Business, E-Credit, Market-site, Buy-site, Bank, E-Commerce.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1379
133 Sovereign Credit Risk Measures
Authors: Kristýna Pokorná, Petr Teplý
Abstract:This paper focuses on sovereign credit risk meaning a hot topic related to the current Eurozone crisis. In the light of the recent financial crisis, market perception of the creditworthiness of individual sovereigns has changed significantly. Before the outbreak of the financial crisis, market participants did not differentiate between credit risk born by individual states despite different levels of public indebtedness. In the proceeding of the financial crisis, the market participants became aware of the worsening fiscal situation in the European countries and started to discriminate among government issuers. Concerns about the increasing sovereign risk were reflected in surging sovereign risk premium. The main of this paper is to shed light on the characteristics of the sovereign risk with the special attention paid to the mutual relation between credit spread and the CDS premium as the main measures of the sovereign risk premium.
Keywords: cointegration, credit default swap, credit risk, credit spread, sovereign riskProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1773
132 The Need for Selective Credit Policy Implementation: Case of Croatia
Authors: Drago Jakovcevic, Mihovil Andelinovic, Igor Husak
The aim of this paper is to explore the economic circumstances in which the selective credit policy, the least used instrument of four types of instruments on disposal to central banks, should be used. The most significant example includes the use of selective credit policies in response to the emergence of the global financial crisis by the FED. Specifics of the potential use of selective credit policies as the instigator of economic growth in Croatia, a small open economy, are determined by high euroization of financial system, fixed exchange rate and long-term trend growth of external debt that is related to the need to maintain high levels of foreign reserves. In such conditions, the classic forms of selective credit policies are unsuitable for the introduction. Several alternative approaches to implement selective credit policies are examined in this paper. Also, thorough analysis of distribution of selective monetary policy loans among economic sectors in Croatia is conducted in order to minimize the risk of investing funds and maximize the return, in order to influence the GDP growth.
Keywords: Global crisis, Selective credit policy, Small open economy.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1513
131 A Hybrid Classification Method using Artificial Neural Network Based Decision Tree for Automatic Sleep Scoring
Authors: Haoyu Ma, Bin Hu, Mike Jackson, Jingzhi Yan, Wen Zhao
In this paper we propose a new classification method for automatic sleep scoring using an artificial neural network based decision tree. It attempts to treat sleep scoring progress as a series of two-class problems and solves them with a decision tree made up of a group of neural network classifiers, each of which uses a special feature set and is aimed at only one specific sleep stage in order to maximize the classification effect. A single electroencephalogram (EEG) signal is used for our analysis rather than depending on multiple biological signals, which makes greatly simplifies the data acquisition process. Experimental results demonstrate that the average epoch by epoch agreement between the visual and the proposed method in separating 30s wakefulness+S1, REM, S2 and SWS epochs was 88.83%. This study shows that the proposed method performed well in all the four stages, and can effectively limit error propagation at the same time. It could, therefore, be an efficient method for automatic sleep scoring. Additionally, since it requires only a small volume of data it could be suited to pervasive applications.
Keywords: Sleep, Sleep stage, Automatic sleep scoring, Electroencephalography, Decision tree, Artificial neural networkProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1954
130 Harmonic Parameters with HHT and Wavelet Transform for Automatic Sleep Stages Scoring
Authors: Wei-Chih Tang, Shih-Wei Lu, Chih-Mong Tsai, Cheng-Yan Kao, Hsiu-Hui Lee
Abstract:Previously, harmonic parameters (HPs) have been selected as features extracted from EEG signals for automatic sleep scoring. However, in previous studies, only one HP parameter was used, which were directly extracted from the whole epoch of EEG signal. In this study, two different transformations were applied to extract HPs from EEG signals: Hilbert-Huang transform (HHT) and wavelet transform (WT). EEG signals are decomposed by the two transformations; and features were extracted from different components. Twelve parameters (four sets of HPs) were extracted. Some of the parameters are highly diverse among different stages. Afterward, HPs from two transformations were used to building a rough sleep stages scoring model using the classifier SVM. The performance of this model is about 78% using the features obtained by our proposed extractions. Our results suggest that these features may be useful for automatic sleep stages scoring.
Keywords: EEG, harmonic parameter, Hilbert-Huang transform, sleep stages, wavelet transform.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1723
129 Event Template Generation for News Articles
Authors: A. Kowcika, E. Umamaheswari, T.V. Geetha
Abstract:In this paper we focus on event extraction from Tamil news article. This system utilizes a scoring scheme for extracting and grouping event-specific sentences. Using this scoring scheme eventspecific clustering is performed for multiple documents. Events are extracted from each document using a scoring scheme based on feature score and condition score. Similarly event specific sentences are clustered from multiple documents using this scoring scheme. The proposed system builds the Event Template based on user specified query. The templates are filled with event specific details like person, location and timeline extracted from the formed clusters. The proposed system applies these methodologies for Tamil news articles that have been enconverted into UNL graphs using a Tamil to UNL-enconverter. The main intention of this work is to generate an event based template.
Keywords: Event Extraction, Score based Clustering, Segmentation, Template Generation.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1477
128 The Role and Effectiveness of Audit Committee in Corporate Governance of Credit Institutions
Authors: Tina Vuko, Marija Maretić, Marko Čular
The aim of this study is to analyze the role and effectiveness of internal mechanism (audit committee) of corporate governance on credit institutions performance in Croatia. Based on research objective, sample of 78 credit institutions listed on Zagreb Stock Exchange, from 2007 to 2012, has been collected and efficiency index of audit committee (EIAC) has been created. Based on the sample and created EIAC, conclusions are as follows: audit committees of credit institutions have medium efficiency, based on EIAC measurement; there is a significant difference in audit committee effectiveness, in observed period; there is no positive relationship between audit committee effectiveness and credit institution performance; there is a significant difference between level of audit committee effectiveness and audit firm type. Future research should contain increased number of elements in EIAC creation and increased sample, for all obligators who need to establish audit committee.
Keywords: Corporate Governance, Audit Committee, Financial Institutions, Efficiency Index of Audit Committee.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2502
127 Conceptual Frameworks of Carbon Credit Registry System for Thailand
Authors: Akekaluck Hemtanon, Bunyarit Uyyanonvara
This research explores on the development of the structure of Carbon Credit Registry System those accords to the need of future events in Thailand. This research also explores the big picture of every connected system by referring to the design of each system, the Data Flow Diagram, and the design in term of the system-s data using DES standard. The purpose of this paper is to show how to design the model of each system. Furthermore, this paper can serve as guideline for designing an appropriate Carbon Credit Registry System.
Keywords: CDM, CDM BE, Annex I County, Non-Annex I country, CERs, Kyoto Protocol.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1508
126 Comparison between XGBoost, LightGBM and CatBoost Using a Home Credit Dataset
Authors: Essam Al Daoud
Gradient boosting methods have been proven to be a very important strategy. Many successful machine learning solutions were developed using the XGBoost and its derivatives. The aim of this study is to investigate and compare the efficiency of three gradient methods. Home credit dataset is used in this work which contains 219 features and 356251 records. However, new features are generated and several techniques are used to rank and select the best features. The implementation indicates that the LightGBM is faster and more accurate than CatBoost and XGBoost using variant number of features and records.
Keywords: Gradient boosting, XGBoost, LightGBM, CatBoost, home credit.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 6369
125 Two Stage Fuzzy Methodology to Evaluate the Credit Risks of Investment Projects
Authors: O. Badagadze, G. Sirbiladze, I. Khutsishvili
The work proposes a decision support methodology for the credit risk minimization in selection of investment projects. The methodology provides two stages of projects’ evaluation. Preliminary selection of projects with minor credit risks is made using the Expertons Method. The second stage makes ranking of chosen projects using the Possibilistic Discrimination Analysis Method. The latter is a new modification of a well-known Method of Fuzzy Discrimination Analysis.
Keywords: Expert valuations, expertons, investment project risks, positive and negative discriminations, possibility distribution.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1634
124 Impact Assessment of Credit Policy and Medical Credit Facility (MCF) on Nigerian Private Sector Health Market: Evidence from Eight Nigerian States
Authors: Chimaobi V. Okolo, Kenneth A. Okpala, Johnbull S. Ogboi
Abstract:A teeming set of doctors that graduated from various universities within and outside Nigeria with the hope of practicing in the country, has their hope shattered because of poor financing, lack of medical equipments and a very weak healthcare systems. Such hydra headed challenges, allows room for quackery which increasingly contributes to the cause of mortality in Nigeria. With a view of reversing the challenges of healthcare delivery and financing in Nigeria, African Health Market for Equity (AHME), a project funded by the Bill and Melinda Gates foundation [With contribution from Department For International Development (DFID)] and currently implemented in three African Countries (Nigeria, Kenya and Ghana) over a Five (5) year period supports the healthcare sector via Medical credit fund (MCF). The study examines the impact of credit policy and medical credit funding on Nigerian health market. Ordinary least square analysis, correlation and granger causality tests were employed to measure the extent to which the Nigerian healthcare market has been influenced. Medical credit fund significantly and positively influenced average monthly turnover of private healthcare providers and Commercial bank’s lending rate had a weak relationship with access to credit/approved loans (13.46%). The programme has so far made 13.91% progress, which is very poor, considering the minimum targeted private health care providers (437.6) and expected number of loan approvals (180.4) for the two years. Medical credit policy in Nigeria should be revised to include private healthcare providers in rural area for more positive impact and increased returns. Good brand advert and sensitization of the programme to stakeholders and health pressure group, and an extension of the programme beyond five years is necessary to better address the issues raised in the study.
Keywords: Credit, health market, medical credit facility, policy.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1646
123 A Comprehensive Survey on Machine Learning Techniques and User Authentication Approaches for Credit Card Fraud Detection
Authors: Niloofar Yousefi, Marie Alaghband, Ivan Garibay
With the increase of credit card usage, the volume of credit card misuse also has significantly increased, which may cause appreciable financial losses for both credit card holders and financial organizations issuing credit cards. As a result, financial organizations are working hard on developing and deploying credit card fraud detection methods, in order to adapt to ever-evolving, increasingly sophisticated defrauding strategies and identifying illicit transactions as quickly as possible to protect themselves and their customers. Compounding on the complex nature of such adverse strategies, credit card fraudulent activities are rare events compared to the number of legitimate transactions. Hence, the challenge to develop fraud detection that are accurate and efficient is substantially intensified and, as a consequence, credit card fraud detection has lately become a very active area of research. In this work, we provide a survey of current techniques most relevant to the problem of credit card fraud detection. We carry out our survey in two main parts. In the first part, we focus on studies utilizing classical machine learning models, which mostly employ traditional transnational features to make fraud predictions. These models typically rely on some static physical characteristics, such as what the user knows (knowledge-based method), or what he/she has access to (object-based method). In the second part of our survey, we review more advanced techniques of user authentication, which use behavioral biometrics to identify an individual based on his/her unique behavior while he/she is interacting with his/her electronic devices. These approaches rely on how people behave (instead of what they do), which cannot be easily forged. By providing an overview of current approaches and the results reported in the literature, this survey aims to drive the future research agenda for the community in order to develop more accurate, reliable and scalable models of credit card fraud detection.
Keywords: credit card fraud detection, user authentication, behavioral biometrics, machine learning, literature surveyProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 326
122 Improving Detection of Illegitimate Scores and Assessment in Most Advantageous Tenders
Authors: Hao-Hsi Tseng, Hsin-Yun Lee
Abstract:Adopting Most Advantageous Tender (MAT) for the government procurement projects has become popular in Taiwan. As time pass by, the problems of MAT has appeared gradually. People condemn two points that are the result might be manipulated by a single committee member’s partiality and how to make a fair decision when the winner has two or more. Arrow’s Impossibility Theorem proposed that the best scoring method should meet the four reasonable criteria. According to these four criteria this paper constructed an “Illegitimate Scores Checking Scheme” for a scoring method and used the scheme to find out the illegitimate of the current evaluation method of MAT. This paper also proposed a new scoring method that is called the “Standardizing Overall Evaluated Score Method”. This method makes each committee member’s influence tend to be identical. Thus, the committee members can scoring freely according to their partiality without losing the fairness. Finally, it was examined by a large-scale simulation, and the experiment revealed that the it improved the problem of dictatorship and perfectly avoided the situation of cyclical majorities, simultaneously. This result verified that the Standardizing Overall Evaluated Score Method is better than any current evaluation method of MAT.
Keywords: Arrow’s impossibility theorem, most advantageous tender, illegitimate scores checking scheme, standard score.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1267
121 A Medical Vulnerability Scoring System Incorporating Health and Data Sensitivity Metrics
Authors: Nadir A. Carreón, Christa Sonderer, Aakarsh Rao, Roman Lysecky
With the advent of complex software and increased connectivity, security of life-critical medical devices is becoming an increasing concern, particularly with their direct impact to human safety. Security is essential, but it is impossible to develop completely secure and impenetrable systems at design time. Therefore, it is important to assess the potential impact on security and safety of exploiting a vulnerability in such critical medical systems. The common vulnerability scoring system (CVSS) calculates the severity of exploitable vulnerabilities. However, for medical devices, it does not consider the unique challenges of impacts to human health and privacy. Thus, the scoring of a medical device on which a human life depends (e.g., pacemakers, insulin pumps) can score very low, while a system on which a human life does not depend (e.g., hospital archiving systems) might score very high. In this paper, we present a Medical Vulnerability Scoring System (MVSS) that extends CVSS to address the health and privacy concerns of medical devices. We propose incorporating two new parameters, namely health impact and sensitivity impact. Sensitivity refers to the type of information that can be stolen from the device, and health represents the impact to the safety of the patient if the vulnerability is exploited (e.g., potential harm, life threatening). We evaluate 15 different known vulnerabilities in medical devices and compare MVSS against two state-of-the-art medical device-oriented vulnerability scoring system and the foundational CVSS.
Keywords: Common vulnerability system, medical devices, medical device security, vulnerabilities.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 533
120 Analysis on the Relationship between Rating and Economic Growth for the European Union Emergent Economies
Authors: Monica Dudian , Raluca Andreea Popa
Abstract:This article analyses the relationship between sovereign credit risk rating and gross domestic product for Central and Eastern European Countries for the period 1996 – 2010. In order to study the metioned relationship, we have used a numerical transformation of the risk qualification, thus: we marked 0 the lowest risk; then, we went on ascending, with a pace of 5, up to the score of 355 corresponding to the maximum risk. The used method of analysis is that of econometric modelling with EViews 7.0. programme. This software allows the analysis of data into a pannel type system, involving a mix of periods of time and series of data for different entities. The main conclusion of the work is the one confirming the negative relationship between the sovereign credit risk and the gross domestic product for the Central European and Eastern countries during the reviewed period.
Keywords: credit rating agencies, economic growth, gross domestic product, sovereign credit risk rating.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2333
119 Development of a Rating Scale for Elementary EFL Writing
Authors: Mohammed S. Assiri
In EFL programs, rating scales used in writing assessment are often constructed by intuition. Intuition-based scales tend to provide inaccurate and divisive ratings of learners’ writing performance. Hence, following an empirical approach, this study attempted to develop a rating scale for elementary-level writing at an EFL program in Saudi Arabia. Towards this goal, 98 students’ essays were scored and then coded using comprehensive taxonomy of writing constructs and their measures. An automatic linear modeling was run to find out which measures would best predict essay scores. A nonparametric ANOVA, the Kruskal-Wallis test, was then used to determine which measures could best differentiate among scoring levels. Findings indicated that there were certain measures that could serve as either good predictors of essay scores or differentiators among scoring levels, or both. The main conclusion was that a rating scale can be empirically developed using predictive and discriminative statistical tests.
Keywords: Analytic scoring, rating scales, writing assessment, writing performance.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3350
118 Differences in Goal Scoring and Passing Sequences between Winning and Losing Team in UEFA-EURO Championship 2012
Authors: Muhamad S., Norasrudin S, Rahmat A.
Abstract:The objective of current study is to investigate the differences of winning and losing teams in terms of goal scoring and passing sequences. Total of 31 matches from UEFA-EURO 2012 were analyzed and 5 matches were excluded from analysis due to matches end up drawn. There are two groups of variable used in the study which is; i. the goal scoring variable and: ii. passing sequences variable. Data were analyzed using Wilcoxon matched pair rank test with significant value set at p < 0.05. Current study found the timing of goal scored was significantly higher for winning team at 1st half (Z=-3.416, p=.001) and 2nd half (Z=-3.252, p=.001). The scoring frequency was also found to be increase as time progressed and the last 15 minutes of the game was the time interval the most goals scored. The indicators that were significantly differences between winning and losing team were the goal scored (Z=-4.578, p=.000), the head (Z=-2.500, p=.012), the right foot (Z=-3.788,p=.000), corner (Z=-.2.126,p=.033), open play (Z=-3.744,p=.000), inside the penalty box (Z=-4.174, p=.000) , attackers (Z=-2.976, p=.003) and also the midfielders (Z=-3.400, p=.001). Regarding the passing sequences, there are significance difference between both teams in short passing sequences (Z=-.4.141, p=.000). While for the long passing, there were no significance difference (Z=-.1.795, p=.073). The data gathered in present study can be used by the coaches to construct detailed training program based on their objectives.
Keywords: Football, goals scored, passing, timing.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2718
117 Optimal Allocation Between Subprime Structured Mortgage Products and Treasuries
Authors: MP. Mulaudzi, MA. Petersen, J. Mukuddem-Petersen , IM. Schoeman, B. de Waal, JM. Manale
This conference paper discusses a risk allocation problem for subprime investing banks involving investment in subprime structured mortgage products (SMPs) and Treasuries. In order to solve this problem, we develop a L'evy process-based model of jump diffusion-type for investment choice in subprime SMPs and Treasuries. This model incorporates subprime SMP losses for which credit default insurance in the form of credit default swaps (CDSs) can be purchased. In essence, we solve a mean swap-at-risk (SaR) optimization problem for investment which determines optimal allocation between SMPs and Treasuries subject to credit risk protection via CDSs. In this regard, SaR is indicative of how much protection investors must purchase from swap protection sellers in order to cover possible losses from SMP default. Here, SaR is defined in terms of value-at-risk (VaR). Finally, we provide an analysis of the aforementioned optimization problem and its connections with the subprime mortgage crisis (SMC).
Keywords: Investors; Jump Diffusion Process, Structured Mortgage Products, Treasuries, Credit Risk, Credit Default Swaps, Tranching Risk, Counterparty Risk, Value-at-Risk, Swaps-at-Risk, Subprime Mortgage Crisis.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1542
116 Multiclass Support Vector Machines with Simultaneous Multi-Factors Optimization for Corporate Credit Ratings
Authors: Hyunchul Ahn, William X. S. Wong
Corporate credit rating prediction is one of the most important topics, which has been studied by researchers in the last decade. Over the last decade, researchers are pushing the limit to enhance the exactness of the corporate credit rating prediction model by applying several data-driven tools including statistical and artificial intelligence methods. Among them, multiclass support vector machine (MSVM) has been widely applied due to its good predictability. However, heuristics, for example, parameters of a kernel function, appropriate feature and instance subset, has become the main reason for the critics on MSVM, as they have dictate the MSVM architectural variables. This study presents a hybrid MSVM model that is intended to optimize all the parameter such as feature selection, instance selection, and kernel parameter. Our model adopts genetic algorithm (GA) to simultaneously optimize multiple heterogeneous design factors of MSVM.
Keywords: Corporate credit rating prediction, feature selection, genetic algorithms, instance selection, multiclass support vector machines.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1276
115 Rubric in Vocational Education
Authors: Azmanirah Ab Rahman, Jamil Ahmad, Ruhizan Muhammad Yasin
Rubric is a very important tool for teachers and students for a variety of purposes. Teachers use the rubric for evaluating student work while students use rubrics for self-assessment. Therefore, this paper was emphasized scoring rubric as a scoring tool for teachers in an environment of Competency Based Education and Training (CBET) in Malaysia Vocational College. A total of three teachers in the fields of electrical and electronics engineering were interviewed to identify how the use of rubrics practiced since vocational transformation implemented in 2012. Overall holistic rubric used to determine the performance of students in the skills area.
Keywords: Rubric, Vocational Education.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3347
114 Role of Credit on Production Efficiency of Farming Sector in Pakistan(A Data Envelopment Analysis)
Authors: Saima Ayaz, Zakir Hussain, Maqbool Hussain Sial
Abstract:The study identified the sources of production inefficiency of the farming sector in district Faisalabad in the Punjab province of Pakistan. Data Envelopment Analysis (DEA) technique was utilized at farm level survey data of 300 farmers for the year 2009. The overall mean efficiency score was 0.78 indicating 22 percent inefficiency of the sample farmers. Computed efficiency scores were then regressed on farm specific variables using Tobit regression analysis. Farming experience, education, access to farming credit, herd size and number of cultivation practices showed constructive and significant effect on the farmer-s technical efficiency.
Keywords: Agricultural credit, DEA, Technical efficiency, Tobit analysisProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2196
113 The Impact of Bank Consolidation on the Performance of SMES in Nigeria
Authors: Okolo Chimaobi Valentine
Abstract:This paper seeks to assess the implications of bank consolidation on the performance of small and medium scale enterprises in the Nigerian economy. Multiple linear regression technique and correlation matrix test were employed to measure the extent to which small and medium scale enterprises asset size, survival and access to credit were influenced. The result showed that bank deposit (BD) and bank credit (L or BC) impacted on asset size and survival of small and medium scale enterprises. None of the variables had significant impact on SMEs access to credit. There is a shift of focus by commercial banks away from small and medium scale enterprises (small customers), which is evidenced by the significant negative influence of bank credit to both the survival and asset size of small and medium enterprises. While micro finance banks work hard at providing funds to small and medium scale entrepreneurs, their capacity to meet the needs of these entrepreneurs is constrained. CBN should make policies that will boost micro finance bank’s capital and also monitor closely the management of the banks to ensure prudent financing of small and medium scale investments.
Keywords: Bank consolidation, small and medium enterprises.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3719
112 Machine Scoring Model Using Data Mining Techniques
Authors: Wimalin S. Laosiritaworn, Pongsak Holimchayachotikul
Abstract:this article proposed a methodology for computer numerical control (CNC) machine scoring. The case study company is a manufacturer of hard disk drive parts in Thailand. In this company, sample of parts manufactured from CNC machine are usually taken randomly for quality inspection. These inspection data were used to make a decision to shut down the machine if it has tendency to produce parts that are out of specification. Large amount of data are produced in this process and data mining could be very useful technique in analyzing them. In this research, data mining techniques were used to construct a machine scoring model called 'machine priority assessment model (MPAM)'. This model helps to ensure that the machine with higher risk of producing defective parts be inspected before those with lower risk. If the defective prone machine is identified sooner, defective part and rework could be reduced hence improving the overall productivity. The results showed that the proposed method can be successfully implemented and approximately 351,000 baht of opportunity cost could have saved in the case study company.
Keywords: Computer Numerical Control, Data Mining, HardDisk Drive.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1292
111 An Information Theoretic Approach to Rescoring Peptides Produced by De Novo Peptide Sequencing
Authors: John R. Rose, James P. Cleveland, Alvin Fox
Abstract:Tandem mass spectrometry (MS/MS) is the engine driving high-throughput protein identification. Protein mixtures possibly representing thousands of proteins from multiple species are treated with proteolytic enzymes, cutting the proteins into smaller peptides that are then analyzed generating MS/MS spectra. The task of determining the identity of the peptide from its spectrum is currently the weak point in the process. Current approaches to de novo sequencing are able to compute candidate peptides efficiently. The problem lies in the limitations of current scoring functions. In this paper we introduce the concept of proteome signature. By examining proteins and compiling proteome signatures (amino acid usage) it is possible to characterize likely combinations of amino acids and better distinguish between candidate peptides. Our results strongly support the hypothesis that a scoring function that considers amino acid usage patterns is better able to distinguish between candidate peptides. This in turn leads to higher accuracy in peptide prediction.
Keywords: Tandem mass spectrometry, proteomics, scoring, peptide, de novo, mutual informationProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1591
110 Accent Identification by Clustering and Scoring Formants
Authors: Dejan Stantic, Jun Jo
Abstract:There have been significant improvements in automatic voice recognition technology. However, existing systems still face difficulties, particularly when used by non-native speakers with accents. In this paper we address a problem of identifying the English accented speech of speakers from different backgrounds. Once an accent is identified the speech recognition software can utilise training set from appropriate accent and therefore improve the efficiency and accuracy of the speech recognition system. We introduced the Q factor, which is defined by the sum of relationships between frequencies of the formants. Four different accents were considered and experimented for this research. A scoring method was introduced in order to effectively analyse accents. The proposed concept indicates that the accent could be identified by analysing their formants.
Keywords: Accent Identification, Formants, Q Factor.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1965