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Wyniki wyszukiwania dla: CREDIT DEFAULT SWAPS
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Credit default swaps and banks
PublikacjaThis 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
PublikacjaIn 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
PublikacjaCredit 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
PublikacjaIn 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
PublikacjaPurpose – 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
PublikacjaROC 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
PublikacjaThe 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
PublikacjaIn 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.
Publikacja"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
PublikacjaObjective: 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
PublikacjaThis 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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Financial performance under influence of credit risk in non-financial firms: evidence from Pakistan
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QUANTITATIVE EASING POLICY AND ITS IMPACT ON THE GLOBAL ECONOMY
PublikacjaBased 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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Performance and Energy Aware Training of a Deep Neural Network in a Multi-GPU Environment with Power Capping
PublikacjaIn 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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Does being socially good save firms from bankruptcy? A systematic literature review and bibliometric analysis
PublikacjaThe 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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A Simulation Model for Risk and Pricing Competition in the Retail Lending Market
PublikacjaWe 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
PublikacjaIn 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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JamesBot - an intelligent agent playing StarCraft II
PublikacjaThe 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
PublikacjaIn 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
PublikacjaThis 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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Education at the Faculty of Mechanical Engineering of the Gdańsk University of Technology
PublikacjaFaculty 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
PublikacjaFaculty 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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Is it too late now to say we’re sorry? Examining anxiety contagion and crisis communication strategies using machine learning
PublikacjaIn 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...
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FORECASTING EXCHANGE RATES IN THE PROCESS OF THE ASSESSMENT OF CONSUMER RISK BANKRUPTCY IN CENTRAL EUROPE
PublikacjaThis paper focuses on the issue of forecasting the fluctuation of exchange rates as part of the early warning system against the risk of consumer bankruptcy. The author identified the main macroeconomic factors affecting the level of bankruptcies for households in Poland. The fluctuation of exchange rates, which directly affects the deterioration of the economic situation of borrowers who have opened credit accounts in a foreign...
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Process arrival pattern aware algorithms for acceleration of scatter and gather operations
PublikacjaImbalanced process arrival patterns (PAPs) are ubiquitous in many parallel and distributed systems, especially in HPC ones. The collective operations, e.g. in MPI, are designed for equal process arrival times (PATs), and are not optimized for deviations in their appearance. We propose eight new PAP-aware algorithms for the scatter and gather operations. They are binomial or linear tree adaptations introducing additional process...
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Application and evaluation of M-EPDG for performance analysis of Polish typical flexible and rigid pavements
PublikacjaThe main goal of the paper is to implement and evaluate the M-EPDG and the software AASHTOware to analyse the performance of new flexible and rigid pavements designed according to the Polish catalogues, which are comparable with analogous catalogues used in other European countries. For this purpose the site-specific inputs for Poland were determined and described in the paper as well as compared to the default input data used...
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Performance/energy aware optimization of parallel applications on GPUs under power capping
PublikacjaIn the paper we present an approach and results from application of the modern power capping mechanism available for NVIDIA GPUs to the bench- marks such as NAS Parallel Benchmarks BT, SP and LU as well as cublasgemm- benchmark which are widely used for assessment of high performance computing systems’ performance. Specifically, depending on the benchmarks, various power cap configurations are best for desired trade-off of performance...
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Development of Education Tomorrow’s Engineers at the Faculty of Mechanical Engineering in GUT
PublikacjaPaper presents educational activity of Faculty of Mechanical Engineering of the Gdańsk University of Technology. Faculty of Mechanical Engineering is one of the largest departments of the Gdańsk University of Technology (GUT), currently educating about 3 000 student. The Faculty of Mechanical Engineering offers studies in different areas: Mechanical Engineering, Medical and Mechanical Engineering, Materials Engineering, Mechatronic,...
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Security of export transactions in the offer of leading banks on the Polish market
PublikacjaThe following article presents the so-called conditioned payment methods, i.e. instruments for securing export transactions, such as letter of credit, documentary collection, bank guarantees, factoring and forfaiting. The characteristics of each particular method are presented as well as the transactions using them are described. In the following paper, the author included also the leading Polish banks, which offer the above- mentioned...
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LONG-TERM RISK CLASS MIGRATIONS OF NON-BANKRUPT AND BANKRUPT ENTERPRISES
PublikacjaThis paper investigates how the process of going bankrupt can be recognized much earlier by enterprises than by traditional forecasting models. The presented studies focus on the assessment of credit risk classes and on determination of the differences in risk class migrations between non-bankrupt enterprises and future insolvent firms. For this purpose, the author has developed a model of a Kohonen artificial neural network to...
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ADAPTATION OF ENGINEERING FEA-BASED ALGORITHMS TO LCF FAILURE AND MATERIAL DATA PREDICTION IN OFFSHORE DESIGN
PublikacjaThere is an ever growing industrial demand for quantitative assessment of fatigue endurance of critical structural details. Although FEA-based calculations have become a standard in engineering design, problems involving the Low-To-Medium cycle range (101-104) remain challenging. This paper presents an attempt to optimally choose material data, meshing density and other algorithm settings in the context of recent design of the...
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Privacy-Preserving, Scalable Blockchain-Based Solution for Monitoring Industrial Infrastructure in the Near Real-Time
PublikacjaThis paper proposes an improved monitoring and measuring system dedicated to industrial infrastructure. Our model achieves security of data by incorporating cryptographical methods and near real-time access by the use of virtual tree structure over records. The currently available blockchain networks are not very well adapted to tasks related to the continuous monitoring of the parameters of industrial installations. In the database...
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GPU Power Capping for Energy-Performance Trade-Offs in Training of Deep Convolutional Neural Networks for Image Recognition
PublikacjaIn the paper we present performance-energy trade-off investigation of training Deep Convolutional Neural Networks for image recognition. Several representative and widely adopted network models, such as Alexnet, VGG-19, Inception V3, Inception V4, Resnet50 and Resnet152 were tested using systems with Nvidia Quadro RTX 6000 as well as Nvidia V100 GPUs. Using GPU power capping we found other than default configurations minimizing...
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Optimization of Data Assignment for Parallel Processing in a Hybrid Heterogeneous Environment Using Integer Linear Programming
PublikacjaIn the paper we investigate a practical approach to application of integer linear programming for optimization of data assignment to compute units in a multi-level heterogeneous environment with various compute devices, including CPUs, GPUs and Intel Xeon Phis. The model considers an application that processes a large number of data chunks in parallel on various compute units and takes into account computations, communication including...
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Remote learning among students with and without reading difficulties during the initial stages of the COVID-19 pandemic
PublikacjaThis article presents the results of a survey on yet under-researched aspects of remote learning and learning difficulties in higher education during the initial stage (March – June 2020) of the COVID-19 pandemic. A total of 2182 students from University of Warsaw in Poland completed a two-part questionnaire regarding academic achievements in the academic year 2019/2020, living conditions and stress related to learning and pandemic,...
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Economic crisis in Croatia
PublikacjaCroatia is becoming the 28th member of the European Union on July 1st, 2013. Croatia has gone a long way from a socialistic republic to an independent country recognized as one of the economic tigers of the Western Balkans in the first decade of the 21st century. Croatia has been hit by a global crisis which turned out to be a huge external shock for the region of the Western Balkans. Although it does not enter the economy through...
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The mechanisms of technological innovation in SMEs: a Bayesian Network Analysis of EU regional policy impact on Polish firms.
PublikacjaWe study the underlying mechanisms of technological innovation in SMEs in the context of ex-post evaluation of European Union’s regional policy. Our aim is to explain the observed change in firms’ innovativeness after receiving EU support for technological investment. To do so, we take an approach that is novel in innovation studies: a Bayesian Network Analysis to assess the effectiveness of EU policy instrument for technological...
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The importance of CEFTA 2006 for Western Balkan countries
PublikacjaFree foreign trade is one of the most important issues all over the world. The impact of bilateral trade can be studied both from economic as well as political perspectives; when it improves economic development, it also creates the conditions for international stability. The aim of the article is to conduct a comparison of the changes to export trade flow in the Central European Free Trade Agreement 2006, with reference to countries...
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Economic Situation in Balkan Countries in the First Decade of 21st Century
PublikacjaThe recent economic crisis affected most of the countries in the world to a greater or lesser extent, including small economies sector. Small economies are a distinctive group of countries distinguished by particular qualities. They are dependent on trade exchange or international investment stream, and both their aggregate demand and supply, and price level depend on the development of the big economies dynamics. This is the reason...
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Can Web Search Queries Predict Prices Change on the Real Estate Market?
PublikacjaThis study aims to explore whether the intensity of internet searches, according to the Google Trends search volume index (SVI), is a predictor of changes in real estate prices. The motivation of this study is the possibility to extend the understanding of the extra predictive power of Google search engine query volume of future housing price change (shift direction) by (i) the introduction of a research approach that combines...
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Methodology of Selecting the Hadoop Ecosystem Configuration in Order to Improve the Performance of a Plagiarism Detection System
PublikacjaThe plagiarism detection problem involves finding patterns in unstructured text documents. Similarity of documents in this approach means that the documents contain some identical phrases with defined minimal length. The typical methods used to find similar documents in dig- ital libraries are not suitable for this task (plagiarism detection) because found documents may contain similar content and we have not any war- ranty that...
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Techno-economic evaluation of combined cycle gas turbine and a diabatic compressed air energy storage integration concept
PublikacjaMore and more operational flexibility is required from conventional power plants due to the increasing share of weather-dependent renewable energy sources (RES) generation in the power system. One way to increase power plant’s flexibility is integrating it with energy storage. The energy storage facility can be used to minimize ramping or shutdowns and therefore should lower overall generating costs and CO2 emissions. In this article,...
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Evaluating the effect of different operational strategies on the carbon footprint of wastewater treatment plants – case studies from northern Poland
PublikacjaNowadays, low greenhouse gas (GHG) emission is expected at wastewater treatment plants (WWTPs). However, emission quantification and evaluation still faces difficulties related to data availability and uncertainty. The objective of this study was to perform carbon footprint (CF) analysis for two municipal WWTPs located in northern Poland. Slupsk WWTP is a large biological nutrient removal (BNR) facility (250,000 PE) which benefits...
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Synergism of floated paperboard sludge cake /sewage sludge for maximizing biomethane yield and biochar recovery from digestate: A step towards circular economy
PublikacjaAnaerobic digestion of floated paperboard sludge (PS) cake suffers from volatile fatty acids (VFAs) accumulation, nutrient unbalanced condition, and generation of digestate with a risk of secondary pollution. To overcome these drawbacks, sewage sludge (SS) was added to PS cake for biogas recovery improvement under a co-digestion process followed by the thermal treatment of solid fraction of digestate for biochar production. Batch...