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Search results for: CREDIT DEFAULT SWAPS
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Credit default swaps and banks
PublicationThis chapter aims to explore the evolving role of credit default swaps (CDS) in managing and transferring default risk from the perspective of banks from a holistic perspective. This chapter examines credit default swaps (CDSs) as derivative financial instruments that transfer credit risk on debt securities. While CDSs offer benefits such as risk management and risk trading, they also introduce potential systemic risks, as evidenced...
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Maturity Mismatch in the Polish Banking System and its Impact on the Economy
PublicationIn the article maturity mismatch in the Polish banking system is estimated based on the publicly available data. Then the impact on the economy is discussed. Based on Polish central bank’s data it may be estimated that between 1996 and 2012 the maturity gap increased significantly – average residual maturity of assets exceeds 6 years in 2012 (less than 2 years in 1996), while that of liabilities remains below 1 year. The gap...
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Economics of credit scoring management
PublicationCredit scoring models constitute an inevitable element of modern risk and profitability management in retail financial lending institutions. Quality,or separation power of a credit scoring model is usually assessed with the Gini coefficient. Generally, the higher Gini coefficient the better, as in this way a bank can increase number of good customers and/or reject more bad applicants. In...
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Corporate social responsibility and forward default risk mediated by financial performance and goodwill
PublicationIn today’s business environment, corporate social responsibility (CSR) has become an increasingly significant factor for firms. This study is driven by the motivation to add to the current literature by investigating the mediating elements that explain the relationship between CSR and forward default risk. In this paper, we attempt to identify the important mediators and give a more comprehensive explanation of this connection...
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Merton-type default risk and financial performance: the dynamic panel moderation of firm size
PublicationPurpose – The main purpose of this study is to evaluate the probability of default and examine the relationship between default risk and financial performance, with dynamic panel moderation of firm size. Design/methodology/approach – This study utilizes a total of 1,500 firm-year observations from 2013 to 2018 using dynamic panel data approach of generalized method of moments to test the relationship between default risk and financial...
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How to model ROC curves - a credit scoring perspective
PublicationROC curves, which derive from signal detection theory, are widely used to assess binary classifiers in various domains. The AUROC (area under the ROC curve) ratio or its transformations (the Gini coefficient) belong to the most widely used synthetic measures of the separation power of classification models, such as medical diagnostic tests or credit scoring. Frequently a need arises to model an ROC curve. In the biostatistical...
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The shape of an ROC curve in the evaluation of credit scoring models
PublicationThe AUC, i.e. the area under the receiver operating characteristic (ROC) curve, or its scaled version, the Gini coefficient, are the standard measures of the discriminatory power of credit scoring. Using binormal ROC curve models, we show how the shape of the curves affects the economic benefits of using scoring models with the same AUC. Based on the results, we propose that the shape parameter of the fitted ROC curve is reported...
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Which Curve Fits Best: Fitting ROC Curve Models to Empirical Credit-Scoring Data
PublicationIn the practice of credit-risk management, the models for receiver operating characteristic (ROC) curves are helpful in describing the shape of an ROC curve, estimating the discriminatory power of a scorecard, and generating ROC curves without underlying data. The primary purpose of this study is to review the ROC curve models proposed in the literature, primarily in biostatistics, and to fit them to actual credit-scoring ROC data...
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Społeczne koszty niealimentacji. The Social Costs of Default on Child Maintenance Payment.
Publication"Niniejszy artykuł opisuje historię kryminalizacji przestępstwa niealimentacji w polskich kodeksach karnych. We wszystkich polskich kodeksach karnych: kodeksie karnym z 1932 r., kodeksie karnym z 1969 r. oraz w kodeksie karnym z 1997 r. ujęto przestępstwo niealimentacji. Aktualna maksymalna sankcja z tytułu przestępstwa niealimentacji jest niższa niż w kodeksie karnym z 1932 r. Sankcje karne zawsze powinny być ostatecznością...
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Corporate social responsibility and forward default risk under firm and industry heterogeneity
PublicationObjective: This study aims to evaluate the impact of corporate social responsibility on forward default risk (FDR) under the setting of firm and industry heterogeneity. Research Design & Methods: This study evaluated the impact of corporate social responsibility (CSR) on FDR using the data of 497 companies from 2007-2021 in the S&P 500 index, taking into account firm and industry heterogeneity aspects. This study utilized instrumental...
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Bifractal receiver operating characteristic curves: a formula for generating receiver operating characteristic curves in credit-scoring contexts
PublicationThis paper formulates a mathematical model for generating receiver operating characteristic (ROC) curves without underlying data. Credit scoring practitioners know that the Gini coefficient usually drops if it is only calculated on cases above the cutoff. This fact is not a mathematical necessity, however, as it is theoretically possible to get an ROC curve that keeps the same Gini coefficient no matter how big a share of lowest...
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Risk Scoring Models for Trade Credit in Small and Medium Enterprises
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Journal of Credit Risk
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Global Credit Review
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Credit and Capital Markets
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JOURNAL OF MONEY CREDIT AND BANKING
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Financial performance under influence of credit risk in non-financial firms: evidence from Pakistan
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Karol Flisikowski dr inż.
PeopleKarol Flisikowski works as Associate Professor at the Department of Statistics and Econometrics, Faculty of Management and Economics, Gdansk University of Technology. He is responsible for teaching descriptive and mathematical statistics (in Polish and English), as well as scientific research in the field of social statistics. He has been a participant in many national and international conferences, where he has presented the results...
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QUANTITATIVE EASING POLICY AND ITS IMPACT ON THE GLOBAL ECONOMY
PublicationBased on the analysis of the impact of quantitative easing policies on the global economy, there was concluded that the world’s largest central banks and widespread debt stimulation have created the model of economic growth. This model was based on the productivity growth. The lack of productivity growth in the developed world, the active integration of developing countries (first of all China and India) in the global economy have...
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Financial and Credit Activity-Problems of Theory and Practice
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Does being socially good save firms from bankruptcy? A systematic literature review and bibliometric analysis
PublicationThe purpose of the review was to find out, does being responsible saves firms from bank-ruptcy? What is the relationship between corporate social responsibility and default risk? What meth-ods and measures are used in the literature to evaluate this relationship? And what is the theoretical underpinning of the studies? Moreover, to explore what are the gaps for future work, Web of Science and Scopus databases were utilised to obtain...
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Performance and Energy Aware Training of a Deep Neural Network in a Multi-GPU Environment with Power Capping
PublicationIn this paper we demonstrate that it is possible to obtain considerable improvement of performance and energy aware metrics for training of deep neural networks using a modern parallel multi-GPU system, by enforcing selected, non-default power caps on the GPUs. We measure the power and energy consumption of the whole node using a professional, certified hardware power meter. For a high performance workstation with 8 GPUs, we were...
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A Simulation Model for Risk and Pricing Competition in the Retail Lending Market
PublicationWe propose a simulation model of the retail lending market with two types of agents: borrowers searching for low interest rates and lenders competing through risk-based pricing. We show that individual banks observe adverse selection, even if every lender applies the same pricing strategy and a credit scoring model of comparable discrimination power. Additionally, the model justifies the reverse-S shape of the response rate curve....
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Analyzing energy/performance trade-offs with power capping for parallel applications on modern multi and many core processors
PublicationIn the paper we present extensive results from analyzing energy/performance trade-offs with power capping observed on four different modern CPUs, for three different parallel applications such as 2D heat distribution, numerical integration and Fast Fourier Transform. The CPU tested represent both multi-core type CPUs such as Intel⃝R Xeon⃝R E5, desktop and mobile i7 as well as many-core Intel⃝R Xeon PhiTM x200 but also server, desktop...
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Błażej Kochański dr
PeopleBłażej Kochański is an assistant professor at the Department of Statistics and Econometrics at the Faculty of Management and Economics of Gdańsk University of Technology, banking risk expert. He worked for banks in Poland and Europe, as a risk specialist, planning and analysis manager, chief risk officer, supervisory board member and management consultant. He built numerous credit risk management models, successfully managed credit...
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JamesBot - an intelligent agent playing StarCraft II
PublicationThe most popular method for optimizing a certain strategy based on a reward is Reinforcement Learning (RL). Lately, a big challenge for this technique are computer games such as StarCraft II which is a real-time strategy game, created by Blizzard. The main idea of this game is to fight between agents and control objects on the battlefield in order to defeat the enemy. This work concerns creating an autonomous bot using reinforced...
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CURRENT SITUATION ON THE POLAND REAL ESTATE MARKET
PublicationIn recent years the polish real estate market has been characterised by a significant increase in supply and demand. This was facilitated by a number of macroeconomic factors. In recent years, housing has been commissioned as 30 years ago. Therefore, the depth analysis issue of the causes and consequences for the Polish economy of these trends is now relevant. Among the reasons are significant economic growth, low interest rates...
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Consumer Bankruptcy Prediction Using Balanced and Imbalanced Data
PublicationThis paper examines the usefulness of logit regression in forecasting the consumer bankruptcy of households using an imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical models that can identify consumers in a difficult financial situation that may lead to consumer bankruptcy. In the face of the current global pandemic crisis, the future of household finances...
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Technical Physics 22
e-Learning CoursesTechnical Physics, ćwiczenia (Inżynieria Danych, 3 semestr)
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Technical Physics
e-Learning CoursesTechnical Physics, ćwiczenia grupa 1 (Inżynieria Danych, 3 semestr)
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Technical Physics 23/24
e-Learning CoursesTechnical Physics, ćwiczenia grupa 1 (Inżynieria Danych, 3 semestr)
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Fizyka przyrządów półprzewodnikowych - 2022/2023
e-Learning CoursesStacjonarne I stopnia Kurs "Fizyka przyrządów półprzewodnikowych - 2022/2023" Kierunek: Fizyka Techniczna Wydział FTiMS stopień I, semestr 5
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Fizyka przyrządów półprzewodnikowych - 2021/2022
e-Learning CoursesStacjonarne I stopnia Kurs "Fizyka przyrządów półprzewodnikowych - 2021/2022" Kierunek: Fizyka Techniczna Wydział FTiMS stopień I, semestr 5
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Fizyka I - 2022/2023
e-Learning CoursesKurs "Fizyka I - 2022/2023" Kierunek: Zielone Technologie Wydział Chemiczny stopień I, semestr 1
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Physics I - 2021/2022
e-Learning CoursesLECTURE "Physics I - 2021/2022" Kierunek: Green Technology and Monitoring Wydział Chemiczny stopień I, semestr 1
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Wstęp do teorii miary
e-Learning CoursesWstęp do teorii miary 3 semestr Matematyki Stosowanej
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Funkcje zespolone wykład 2022/2023
e-Learning CoursesFunkcje zespolone (MAT1014) Kierunek: Matematyka (WFTiMS), I stopnia - licencjackie, stacjonarne,
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Fizyka
e-Learning CoursesKierunek: Elektronika i telekomunikacja (WETI), I stopnia - inżynierskie, stacjonarne, 2019/2020 - zimowy (obecnie sem. 2)
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Education at the Faculty of Mechanical Engineering of the Gdańsk University of Technology
PublicationFaculty of Mechanical Engineering is one of the largest departments of the Gdańsk University of Technology (GUT), currently educating about 3 000 student. Lectures are conducted in five Chairs, which include 18 Divisions. In 2000 GUT introduced the European Credit Transfer and Accumulation System (ECTS). Each student should get during one academic year 60 ECTS points. Obtaining a diploma of BEng requires the acquisition of no less...
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Education at the Faculty of Mechanical Engineering of the Gdańsk University of Technology
PublicationFaculty of Mechanical Engineering is one of the largest departments of the Gdańsk University of Technology (GUT), currently educating about 3 000 student. Lectures are conducted in five Chairs, which include 18 Divisions. In 2000 GUT introduced the European Credit Transfer and Accumulation System (ECTS). Each student should get during one academic year 60 ECTS points. Obtaining a diploma of BEng requires the acquisition of no less...
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Bifurkacje w równaniach mechaniki sprężystej
e-Learning Coursesgrupa zajęciowa: studenci I stopnia kierunku Matematyka, specjalności Matematyka Stosowana (MS), semestru 6 rok akademicki: 2022/2023
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Podstawy Informatyki - 2021/2022 nst. inż.
e-Learning CoursesNiestacjonarne I st. Rok 1, Semestr II kier. Budownictwo BO+BKiS+GIiNM Opis: Celem przedmiotu jest wykształcenie u studentów umiejętności sprawnego posługiwania się programami inżynierskimi: AutoCad i MatLab.
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Podstawy fizyki
e-Learning CoursesKierunek: Informatyka (WETI), I stopnia - inżynierskie, stacjonarne, 2019/2020 - zimowy (obecnie sem. 2) Kierunek: Automatyka, cybernetyka i robotyka (WETI), I stopnia - inżynierskie, stacjonarne, 2019/2020 - zimowy (obecnie sem. 2)
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Mechanika i Wytrzymałość Materiałów rok 2022 Kierunek Inżynieria Środowiska
e-Learning Courseskierunek: Inżynieria Środowiska rok: 1 i 2 semestr: 2 i 3 opis: Celem kursu jest zapoznanie się z podstawami mechaniki teoretycznej, mechaniki konstrukcji na podstawie prostych elementów konstrukcyjnych oraz wytrzymałością materiałów.
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Mechanika Ogólna i Wytrzymałość Materiałów rok 2023 Kierunek Inżynieria Środowiska
e-Learning Courseskierunek: Inżynieria Środowiska rok: 1 i 2 semestr: 2 i 3 opis: Celem kursu jest zapoznanie się z podstawami mechaniki teoretycznej, mechaniki konstrukcji na podstawie prostych elementów konstrukcyjnych oraz wytrzymałością materiałów.
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Mechanika Ogólna i Wytrzymałość Materiałów rok 2024 Kierunek Inżynieria Środowiska
e-Learning Courseskierunek: Inżynieria Środowiska rok: 1 i 2 semestr: 2 i 3 opis: Celem kursu jest zapoznanie się z podstawami mechaniki teoretycznej, mechaniki konstrukcji na podstawie prostych elementów konstrukcyjnych oraz wytrzymałością materiałów.
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Podstawy Informatyki - 2023/2024 nst. inż.
e-Learning CoursesNiestacjonarne I stopnia Rok 1, Semestr II kier. Budownictwo BO+BKiS+GIiNM Opis: Celem przedmiotu jest wykształcenie u studentów umiejętności sprawnego posługiwania się programem do obliczeń inżynierskich MatLab i umiejętności wykorzystania go do programowania.
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Fale i optyka - 2022/2023
e-Learning CoursesStacjonarne I stopnia Kurs "Fale i optyka - 2022/2023" Kierunek: Fizyka Techniczna Wydział FTiMS stopień I, semestr 3
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Seminarium specjalnościowe Analityk Danych 2022/2023
e-Learning CoursesSeminarium specjalnościowe (PG_00049176) Specjalność: Analityk danych (WFTiMS), I stopnia - licencjackie, stacjonarne
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Is it too late now to say we’re sorry? Examining anxiety contagion and crisis communication strategies using machine learning
PublicationIn this paper, we explore the role of perceived emotions and crisis communication strategies via organizational computer-mediated communication in predicting public anxiety, the default crisis emotion. We use a machine-learning approach to detect and predict anxiety scores in organizational crisis announcements on social media and the public’s responses to these posts. We also control for emotional and language tones in organizational...