Identifying hidden patterns in credit risk survival data using Generalised Additive Models

Modelling patterns in credit risk using survival analysis techniques have received considerable and increasing attention over the past decade. In these models, the predictor of the hazard of default is often expressed as a simple linear combination of the risk factors. In this work, we discussed how these models can be enhanced using Generalised Additive Models (GAMs). In the GAMs framework, the predictor is formulated as a combination of flexible univariate functions of the risk factors. In this paper, we parametrise GAMs for credit risk data in terms of penalised splines, outline the implementation via frequentist and Bayesian MCMC methods, apply them to a large porfolio of credit card accounts, and show how GAMs can be used to improve not only the application, behavioural and macro-economic components of survival models for credit risk data at individual account level, but also the accuracy of predictions. From a practitioner point of view, this work highlights that some accounts may actually become more(less) attractive to the lender if flexible smooth functions are used whereas the same applicant may be denied (accepted) a loan if the linearity assumption is forced

The devil in the details:Dynamic prediction of loan portfolio profitability with macroeconomic drivers through multi-state modelling

In typical loan portfolios such as mortgages and credit cards, many accounts often experience different stages of delinquency before eventually recovering, fully repaying their balance, or defaulting. From the lender perspective, these events, coupled with the state of the economy, can affect cash-flow and profitability significantly. This paper presents a novel framework for dynamic monitoring future expected profit margins and cash flows of loan accounts, taking into account (i) individual risk profiles, (ii) macroeconomic trends, and (iii) transitions between different stages of delinquency. We make three contributions. First, we show a method to predict future cash flows and profit margins over the life of a loan where the predicted probabilities of an account jumping between delinquency states are obligor specific, time varying, adjusted to be competing risks and dependent on predictions from a macroeconomic model. This model is much more comprehensive model than those in the literature. Second, we investigate different methods to compute optimised cut-offs to be used with the transition probabilities to predict jumps an account is expected to make between different states of delinquency. Third, we illustrate the method using a large sample of 30-year term mortgages and show the expected profit margins for segments of the portfolio. The method will be particularly useful to lenders, who must comply with IFRS9 or CECL.</p

Determination of mineral abundances in samples from the Exploratory Studies Facility, Yucca Mountain, Nevada, using x-ray diffraction

Tuff samples collected from the Exploratory Studies Facility (ESF) were X-rayed to estimate relative mineral abundances. X-ray analysis was performed on sub-samples of specimens collected from both the Single Heater Test (SHT) and Drift Scale Heater Test (MT) that were used for thermomechanical measurements, as well as samples collected from cores retrieved from boreholes in the Drift Scale Test Area. The abundance of minerals that could affect the behavior of the host rock at repository relevant temperatures is of particular interest. These minerals include cristobalite, which undergoes a phase transition and volume change at elevated temperature (-250 {degree}C), and smectite and clinoptilolite that can dehydrate at elevated temperature with accompanying volume reduction. In addition, the spatial distribution of Si02 polymorphs and secondary minerals may provide evidence for deducing past fluid pathways. The mineral abundances tabulated here include data reported previously in three milestone reports but reanalyzed, as well as previously unreported data

Angular and Current-Target Correlations in Deep Inelastic Scattering at HERA

Correlations between charged particles in deep inelastic ep scattering have been studied in the Breit frame with the ZEUS detector at HERA using an integrated luminosity of 6.4 pb-1. Short-range correlations are analysed in terms of the angular separation between current-region particles within a cone centred around the virtual photon axis. Long-range correlations between the current and target regions have also been measured. The data support predictions for the scaling behaviour of the angular correlations at high Q2 and for anti-correlations between the current and target regions over a large range in Q2 and in the Bjorken scaling variable x. Analytic QCD calculations and Monte Carlo models correctly describe the trends of the data at high Q2, but show quantitative discrepancies. The data show differences between the correlations in deep inelastic scattering and e+e- annihilation.Comment: 26 pages including 10 figures (submitted to Eur. J. Phys. C

Measurement of event shapes in deep inelastic scattering at HERA

Inclusive event-shape variables have been measured in the current region of the Breit frame for neutral current deep inelastic ep scattering using an integrated luminosity of 45.0 pb^-1 collected with the ZEUS detector at HERA. The variables studied included thrust, jet broadening and invariant jet mass. The kinematic range covered was 10 < Q^2 < 20,480 GeV^2 and 6.10^-4 < x < 0.6, where Q^2 is the virtuality of the exchanged boson and x is the Bjorken variable. The Q dependence of the shape variables has been used in conjunction with NLO perturbative calculations and the Dokshitzer-Webber non-perturbative corrections (`power corrections') to investigate the validity of this approach.Comment: 7+25 pages, 6 figure

eRAPID electronic patient self-Reporting of Adverse-events: Patient Information and aDvice: a pilot study protocol in pelvic radiotherapy.

Background: An estimated 17,000 patients are treated annually in the UK with radical radiotherapy (RT) for pelvic cancer. New treatment approaches in RT have increased survivorship and changed the subjective toxicity profile for patients who experience acute and long-term pelvic-related adverse events (AE). Multi-disciplinary follow-up creates difficulty for monitoring and responding to these events during treatment and beyond. Originally developed for use in systemic oncology therapy eRAPID (electronic patient self-Reporting of Adverse-events: Patient Information and aDvice) is an online system for patients to report AEs from home. eRAPID enables patient data to be integrated into the electronic patient records for use in clinical practice, provides patient management advice for mild and moderate AE and advice to contact the hospital for severe AE. The system has now been developed for pelvic RT patients, and we aim to test the intervention in a pilot study with staff and patients to inform a future randomised controlled trial (RCT). Methods: Eligible patients are those attending St James's University hospital cancer centre and The Christie Hospital Manchester undergoing pelvic radiotherapy+/-chemotherapy/hormonotherapy for prostate, lower gastrointestinal and gynaecological cancers. A prospective 1:1 randomised (intervention or usual care) parallel group design with repeated measures and mixed methods will be employed. We aim to recruit 168 patients following recommendations for sample size estimates for pilot studies. Participants using eRAPID will report AE (at least weekly) from home weekly for 6 weeks and 6 weeks post-treatment (12-week total) then at 18 and 24 weeks. Hospital staff will review eRAPID reports and use information during consultations. Notifications will be sent to the relevant clinical team when severe symptoms are reported. We will measure patient-reported outcomes using validated questionnaires (Functional Assessment in Cancer Therapy Scale-General (FACT-G), European Organisation for Research and Treatment of Cancer Core Quality of Life questionnaire (EORTC-QLQ-C30), process of care impact (hospital records of patient contacts and admissions) and economic variables (EQ5D-5L, patient use of resources)). Staff and patient experiences will be explored via semi-structured interviews. Discussion: The objectives are to establish feasibility, recruitment, integrity of the system and attrition rates, determine effect sizes and aid selection of the primary outcome measure for a future RCT. We will also refine the intervention by exploring staff and patient views. The overall goal of this complex intervention is to improve the safe delivery of cancer treatments, enhance patient care and standardise documentation of AE within the clinical datasets. Trial registration: ClinicalTrials.gov NCT02747264

Ion sorption onto hydrous ferric oxides: Effect on major element fluid chemistry at Aspo, Sweden

The observed variability of fluid chemistry at the Aespoe Hard Rock Laboratory is not fully described by conservative fluid mixing models. Ion exchange may account for some of the observed discrepancies. It is also possible that variably charged solids such as oxyhydroxides of Fe can serve as sources and sinks of anions and cations through surface complexation. Surface complexation reactions on hydrous ferric oxides involve sorption of both cations and anions. Geochemical modeling of the surface chemistry of hydrous ferric oxides (HFOs) in equilibrium with shallow HBH02 and deep KA0483A waters shows that HFOs can serve as significant, pH-sensitive sources and sinks for cations and anions. Carbonate sorption is favored especially at below-neutral pH. A greater mass of carbonate is sorbed onto HFO surfaces than is contained in the fluid when 10 g goethite, used as a proxy for HFOs, is in contact with 1 kg H{sub 2}O. The masses of sorbent required to significantly impact fluid chemistry through sorption/desorption reactions seem to be reasonable when compared to the occurrences of HFOs at Aespoe. Thus, it is possible that small changes in fluid chemistry can cause significant releases of cations or anions from HFOs into the fluid phase or, alternately, result in uptake of aqueous species onto HFO surfaces. Simulations of the mixing of shallow HBH02 and native KA0483A waters in the presence of a fixed mass of goethite show that surface complexation does not cause the concentrations of Ca, Sr, and SO{sub 4} to deviate from those that are predicted using conservative mixing models. Results for HCO{sub 3} are more difficult to interpret and cannot be addressed adequately at this time

Controls of Fluid Chemistry on Fracture Growth

During this two year project (the original proposal requested 3 years funding) we developed and tested a new design for a mini-bending jig for the hydrothermal atomic force microscope (HAFM) and a modified design for the HAFM itself. These new capabilities now permit study of the connection between stress and mineral dissolution and growth, as well as sub-critical crack growth (SCG). We demonstrated the successful design by imaging SCG of glass in situ, in real time in the HAFM, as a function of changing solution pH. We generated a movie of the SCG process. We successfully accomplished our project objectives through year 2

Searches for excited fermions in ep collisions at HERA

Searches in ep collisions for heavy excited fermions have been performed with the ZEUS detector at HERA. Excited states of electrons and quarks have been searched for in e^+p collisions at a centre-of-mass energy of 300 GeV using an integrated luminosity of 47.7 pb^-1. Excited electrons have been sought via the decays e*->egamma, e*->eZ and e*->nuW. Excited quarks have been sought via the decays q*->qgamma and q*->qW. A search for excited neutrinos decaying via nu*->nugamma, nu*->nuZ and nu*->eW is presented using e^-p collisions at 318 GeV centre-of-mass energy, corresponding to an integrated luminosity of 16.7 pb^-1. No evidence for any excited fermion is found, and limits on the characteristic couplings are derived for masses below 250 GeV

The Uptake of Integrated Perinatal Prevention of Mother-to-Child HIV Transmission Programs in Low- and Middle-Income Countries: A Systematic Review

BACKGROUND: The objective of this review was to assess the uptake of WHO recommended integrated perinatal prevention of mother-to-child transmission (PMTCT) of HIV interventions in low- and middle-income countries. METHODS AND FINDINGS: We searched 21 databases for observational studies presenting uptake of integrated PMTCT programs in low- and middle-income countries. Forty-one studies on programs implemented between 1997 and 2006, met inclusion criteria. The proportion of women attending antenatal care who were counseled and who were tested was high; 96% (range 30-100%) and 81% (range 26-100%), respectively. However, the overall median proportion of HIV positive women provided with antiretroviral prophylaxis in antenatal care and attending labor ward was 55% (range 22-99%) and 60% (range 19-100%), respectively. The proportion of women with unknown HIV status, tested for HIV at labor ward was 70%. Overall, 79% (range 44-100%) of infants were tested for HIV and 11% (range 3-18%) of them were HIV positive. We designed two PMTCT cascades using studies with outcomes for all perinatal PMTCT interventions which showed that an estimated 22% of all HIV positive women attending antenatal care and 11% of all HIV positive women delivering at labor ward were not notified about their HIV status and did not participate in PMTCT program. Only 17% of HIV positive antenatal care attendees and their infants are known to have taken antiretroviral prophylaxis. CONCLUSION: The existing evidence provides information only about the initial PMTCT programs which were based on the old WHO PMTCT guidelines. The uptake of counseling and HIV testing among pregnant women attending antenatal care was high, but their retention in PMTCT programs was low. The majority of women in the included studies did not receive ARV prophylaxis in antenatal care; nor did they attend labor ward. More studies evaluating the uptake in current PMTCT programs are urgently needed