Quantile regression for modelling distributions of profit and loss

Quantile regression is applied in two retail credit risk assessment exercises exemplifying the power of the technique to account for the diverse distributions that arise in the financial service industry. The first application is to predict loss given default for secured loans, in particular retail mortgages. This is an asymmetric process since where the security (such as a property) value exceeds the loan balance the banks cannot retain the profit, whereas when the security does not cover the value of the defaulting loan then the bank realises a loss. In the light of this asymmetry it becomes apparent that estimating the low tail of the house value is much more relevant for estimating likely losses than estimates of the average value where in most cases no loss is realised. In our application quantile regression is used to estimate the distribution of property values realised on repossession that is then used to calculate loss given default estimates. An illustration is given for a mortgage portfolio from a European mortgage lender. A second application is to revenue modelling. While credit issuing organisations have access to large databases, they also build models to assess the likely effects of new strategies for which, by definition, there is no existing data. Certain strategies are aimed at increasing the revenue stream or decreasing the risk in specific market segments. Using a simple artificial revenue model, quantile regression is applied to elucidate the details of subsets of accounts, such as the least profitable, as predicted from their covariates. The application uses standard linear and kernel smoothed quantile regression.     

Finite element and implicit Runge–Kutta implementation of an acoustics–convection upstream resolution algorithm for the time‐dependent two‐dimensional Euler equations

The second of a two‐paper series, this paper details a solver for the characteristics‐bias system from the acoustics–convection upstream resolution algorithm for the Euler and Navier–Stokes equations. An integral formulation leads to several surface integrals that allow effective enforcement of boundary conditions. Also presented is a new multi‐dimensional procedure to enforce a pressure boundary condition at a subsonic outlet, a procedure that remains accurate and stable. A classical finite element Galerkin discretization of the integral formulation on any prescribed grid directly yields an optimal discretely conservative upstream approximation for the Euler and Navier–Stokes equations, an approximation that remains multi‐dimensional independently of the orientation of the reference axes and computational cells. The time‐dependent discrete equations are then integrated in time via an implicit Runge–Kutta procedure that in this paper is proven to remain absolutely non‐linearly stable for the spatially‐discrete Euler and Navier–Stokes equations and shown to converge rapidly to steady states, with maximum Courant number exceeding 100 for the linearized version. Even on relatively coarse grids, the acoustics–convection upstream resolution algorithm generates essentially non‐oscillatory solutions for subsonic, transonic and supersonic flows, encompassing oblique‐ and interacting‐shock fields that converge within 40 time steps and reflect reference exact solutions. Copyright © 2005 John Wiley & Sons, Ltd.     

An empirical study of PLAD regression using the bootstrap

Partial LAD regression uses the L ₁ norm associated with least absolute deviations (LAD) regression while retaining the same algorithmic structure of univariate partial least squares (PLS) regression. We use the bootstrap in order to assess the partial LAD regression model performance and to make comparisons to PLS regression. We use a variety of examples coming from NIR experiments as well as two sets of experimental data.     

Benchmarking with quality-adjusted DEA (Q-DEA) to seek lower-cost high-quality service: Evidence from a U.S.bank application

Benchmarking is a widely cited method to identify and adopt best-practices as a means to improve performance. Data envelopment analysis (DEA) has been demonstrated to be a powerful benchmarking methodology for situations where multiple inputs and outputs need to be assessed to identify best-practices and improve productivity in organizations. Most DEA benchmarking studies have excluded quality, even in service-sector applications such as health care where quality is a key element of performance. This limits the practical value of DEA in organizations where maintaining and improving service quality is critical to achieving performance objectives. In this paper, alternative methods incorporating quality in DEA benchmarking are demonstrated and evaluated. It is shown that simply treating the quality measures as DEA outputs does not help in discriminating the performance. Thus, the current study presents a new, more sensitive, quality-adjusted DEA (Q-DEA), which effectively deals with quality measures in benchmarking. We report the results of applying Q-DEA to a U.S. bank's 200-branch network that required a method for benchmarking to help manage operating costs and service quality. Q-DEA findings helped the bank achieve cost savings and improved operations while preserving service quality, a dimension critical to its mission. New insights about ways to improve branch operations based on the best-practice (high-quality low-cost) benchmarks identified with Q-DEA are also described in the paper. This demonstrates the practical need and potential benefits of Q-DEA and its efficacy in one application, and also suggests the need for further research on measuring and incorporating quality into DEA benchmarking. The review process of this paper was handled by the Edit-in-Chief Peter Hammer.     

Selective reagent ionisation‐time of flight‐mass spectrometry: a rapid technology for the novel analysis of blends of new psychoactive substances

In this study we demonstrate the potential of selective reagent ionisation‐time of flight‐mass spectrometry for the rapid and selective identification of a popular new psychoactive substance blend called ‘synthacaine’, a mixture that is supposed to imitate the sensory and intoxicating effects of cocaine. Reactions with H₃O⁺ result in protonated parent molecules which can be tentatively assigned to benzocaine and methiopropamine. However, by comparing the product ion branching ratios obtained at two reduced electric field values (90 and 170 Td) for two reagent ions (H₃O⁺ and NO⁺) to those of the pure chemicals, we show that identification is possible with a much higher level of confidence then when relying solely on the m/z of protonated parent molecules. A rapid and highly selective analytical identification of the constituents of a recreational drug is particularly crucial to medical personnel for the prompt medical treatment of overdoses, toxic effects or allergic reactions. Copyright © 2015 John Wiley & Sons, Ltd.     

A classification of orbits admitting a unique invariant measure

We consider the space of countable structures with fixed underlying set in a given countable language. We show that the number of ergodic probability measures on this space that are $S_{\infty }$-invariant and concentrated on a single isomorphism class must be zero, or one, or continuum. Further, such an isomorphism class admits a unique $S_{\infty }$-invariant probability measure precisely when the structure is highly homogeneous; by a result of Peter J. Cameron, these are the structures that are interdefinable with one of the five reducts of the rational linear order $(\mathbb{Q},<)$.     

Characterization of poly(sodium styrene sulfonate) thin films grafted from functionalized titanium surfaces

Biointegration of titanium implants in the body is controlled by their surface properties. Improving surface properties by coating with a bioactive polymer is a promising approach to improve the biological performance of titanium implants. To optimize the grafting processes, it is important to fully understand the composition and structure of the modified surfaces. The main focus of this study is to provide a detailed, multitechnique characterization of a bioactive poly(sodium styrene sulfonate) (pNaSS) thin film grafted from titanium surfaces via a two-step procedure. Thin titanium films (～50 nm thick with an average surface roughness of 0.9 ± 0.2 nm) prepared by evaporation onto silicon wafers were used as smooth model substrates. X-ray photoelectron spectroscopy (XPS) and time-of-flight secondary ion mass spectrometry (ToF-SIMS) showed that the titanium film was covered with a TiO(2) layer that was at least 10 nm thick and contained hydroxyl groups present at the outermost surface. These hydroxyl groups were first modified with a 3-methacryloxypropyltrimethoxysilane (MPS) cross-linker. XPS and ToF-SIMS showed that a monolayer of the MPS molecules was successfully attached onto the titanium surfaces. The pNaSS film was grafted from the MPS-modified titanium through atom transfer radical polymerization. Again, XPS and ToF-SIMS were used to verify that the pNaSS molecules were successfully grafted onto the modified surfaces. Atomic force microscopy analysis showed that the film was smooth and uniformly covered the surface. Fourier transform infrared spectroscopy indicated that an ordered array of grafted NaSS molecules were present on the titanium surfaces. Sum frequency generation vibration spectroscopy and near edge X-ray absorption fine structure spectroscopy illustrated that the NaSS molecules were grafted onto the titanium surface with a substantial degree of orientational order in the styrene rings.     

Comparative evaluation of antibacterial activity of silver nanoparticles synthesized using Rhizophora apiculata and glucose

The focus of the study is to compare the antibacterial efficacy of silver nanoparticles (AgNPs) fabricated by exploiting biological (a mangrove plant, Rhizophora apiculata) and chemical means (Glucose). The synthesized nanoparticles were characterised using UV-visible absorption spectrophotometry (UV-vis), Fourier transform Infra-red Spectroscopy (FTIR) and Transmission electron microscopy (TEM). Biologically synthesized silver nanoparticles (BAgNPs) were observed at 423 nm with particle sizes of 19-42 nm. The chemically synthesized silver nanoparticles (CAgNPs) showed a maximum peak at 422 nm with particle sizes of 13-19 nm. An obvious superiority of the antibacterial potency of BAgNPs compared to the CAgNPs as denoted by the zone of inhibition (ZoI) was noted when the nanoparticles were treated against seven different Microbial Type Culture Collection (MTCC) strains. The current study therefore elucidates that the synthesized AgNPs were efficient against the bacterial strains tested.     

Phospholipid bilayer formation on hydroxyapatite sol-gel synthesized films

Lipid bilayers supported by porous biomaterials are being explored as models for cell membranes. Hydroxyapatite is a relevant material currently being used extensively for biomedical applications. In this study, hydroxyapatite films produced via a sol-gel chemistry route have been characterized and explored as a scaffolding material for lipid membranes. The hydroxyapatite has been characterized using XRD, SEM, and AFM, followed by vesicle-fusion of lipids characterized by fluorescence microscopy and fluorescence recovery after photobleaching (FRAP) to determine the diffusion coefficient of this system. The HA films produced in this work were found to produce slow lateral diffusion and, in the two-phase lipid systems, some domains were observed. The low lateral diffusion coefficients were believed to be a result of the large undulations present on the hydroxyapatite film surface.     

Lithium-ion conducting electrolyte salts for lithium batteries

This paper presents an overview of the various types of lithium salts used to conduct Li(+) ions in electrolyte solutions for lithium rechargeable batteries. More emphasis is paid towards lithium salts and their ionic conductivity in conventional solutions, solid-electrolyte interface (SEI) formation towards carbonaceous anodes and the effect of anions on the aluminium current collector. The physicochemical and functional parameters relevant to electrochemical properties, that is, electrochemical stabilities, are also presented. The new types of lithium salts, such as the bis(oxalato)borate (LiBOB), oxalyldifluoroborate (LiODFB) and fluoroalkylphosphate (LiFAP), are described in detail with their appropriate synthesis procedures, possible decomposition mechanism for SEI formation and prospect of using them in future generation lithium-ion batteries. Finally, the state-of-the-art of the system is given and some interesting strategies for the future developments are illustrated.