scholarly journals Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD

Risks ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 103
Author(s):  
Morne Joubert ◽  
Tanja Verster ◽  
Helgard Raubenheimer ◽  
Willem D. Schutte
Keyword(s):  
Survival Analysis ◽  
Financial Reporting ◽  
Proportional Hazards ◽  
Proportional Hazards Model ◽  
Survival Curve ◽  
Cox Proportional Hazards ◽  
Cox Proportional Hazards Model ◽  
Reporting Standard ◽  
International Financial Reporting Standard ◽  
Ifrs 9

Survival analysis is one of the techniques that could be used to predict loss given default (LGD) for regulatory capital (Basel) purposes. When using survival analysis to model LGD, a proposed methodology is the default weighted survival analysis (DWSA) method. This paper is aimed at adapting the DWSA method (used to model Basel LGD) to estimate the LGD for International Financial Reporting Standard (IFRS) 9 impairment requirements. The DWSA methodology allows for over recoveries, default weighting and negative cashflows. For IFRS 9, this methodology should be adapted, as the estimated LGD is a function of in the expected credit losses (ECL). Our proposed IFRS 9 LGD methodology makes use of survival analysis to estimate the LGD. The Cox proportional hazards model allows for a baseline survival curve to be adjusted to produce survival curves for different segments of the portfolio. The forward-looking LGD values are adjusted for different macro-economic scenarios and the ECL is calculated for each scenario. These ECL values are probability weighted to produce a final ECL estimate. We illustrate our proposed IFRS 9 LGD methodology and ECL estimation on a dataset from a retail portfolio of a South African bank.

scholarly journals Evaluation of Changes on World Stock Exchanges in Connection with the SARS-CoV-2 Pandemic. Survival Analysis Methods

Risks ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 121
Author(s):  
Beata Bieszk-Stolorz ◽  
Krzysztof Dmytrów
Keyword(s):  
Survival Analysis ◽  
Proportional Hazards ◽  
Proportional Hazards Model ◽  
Stock Exchange ◽  
Cox Proportional Hazards ◽  
Cox Proportional Hazards Model ◽  
Stock Exchanges ◽  
Analysis Methods ◽  
Hazards Model ◽  
Kaplan Meier

The aim of our research was to compare the intensity of decline and then increase in the value of basic stock indices during the SARS-CoV-2 coronavirus pandemic in 2020. The survival analysis methods used to assess the risk of decline and chance of rise of the indices were: Kaplan–Meier estimator, logit model, and the Cox proportional hazards model. We observed the highest intensity of decline in the European stock exchanges, followed by the American and Asian plus Australian ones (after the fourth and eighth week since the peak). The highest risk of decline was in America, then in Europe, followed by Asia and Australia. The lowest risk was in Africa. The intensity of increase was the highest in the fourth and eleventh week since the minimal value had been reached. The highest odds of increase were in the American stock exchanges, followed by the European and Asian (including Australia and Oceania), and the lowest in the African ones. The odds and intensity of increase in the stock exchange indices varied from continent to continent. The increase was faster than the initial decline.

scholarly journals Survival Analysis of COVID-19 on Democracy with Cox Proportional Hazards Model

2020 ◽  
Author(s):  
Yue Zhao ◽  
Deepika Dilip
Keyword(s):  
United States ◽  
Survival Analysis ◽  
South Korea ◽  
Proportional Hazards ◽  
Proportional Hazards Model ◽  
The United States ◽  
Cox Proportional Hazards ◽  
Cox Proportional Hazards Model ◽  
Effective Measure ◽  
Hazards Model

Abstract Background: The outbreak of Coronavirus disease 2019 (COVID-19) has struck us in many ways and we observed that China and South Korea found an effective measure to contain the virus. Conversely, the United States and the European countries are struggling to fight the virus. China is not considered a democracy and South Korea is less democratic than the United States. Therefore, we want to explore the association between the deaths of COVID-19 and democracy. Methods: We collected COVID-19 deaths data for each country from the Johns Hopkins University website and democracy indices of 2018 from the Economist Intelligence Unit website in May 2020. Then we conducted a survival analysis, regarding each country as a subject, with the Cox Proportional Hazards Model, adjusting for other selected variables. Result: The result showed that the association between democracy and deaths of COVID-19 was significant (P=0.04), adjusting for other covariates. Conclusion: In conclusion, less democratic governments performed better in containing the virus and controlling the number of deaths.

A comparison of two intrauterine antibiotic treatments for endometritis in dairy cows by means of survival analysis

2001 ◽  
Vol 26 (2) ◽  
pp. 417-421
Author(s):  
S.H. Loeffler ◽  
A.C. de Zeeuw
Keyword(s):  
Survival Analysis ◽  
Proportional Hazards ◽  
Proportional Hazards Model ◽  
Positive Control ◽  
Cox Proportional Hazards ◽  
Cox Proportional Hazards Model ◽  
Equal Treatment ◽  
Water Suspension ◽  
Oil In Water ◽  
Early Late

AbstractA prospective cohort study was designed to compare the effects of two different intrauterine antibiotic treatments for endometritis on fertility in a multi-farm trial during a 4 year-period. Product A contained 1.5 million I.E. of Procaine Penicilline-G and 500 mg of Neomycine sulfate in 20 ml of an oil in water suspension with a gas-driven applicator (Ubrocelan®, Boehringer-Ingelheim, Germany) and product B (positive control) contained 2g of Oxytetracycline and 500.000 I.E. Colistine in a 20 ml oil in water suspension (Colicycline® , A. U. V., Cuyk, The Netherlands). Diagnosis was by field veterinarians during routine monthly visits. Pyometra, vaginitis, toxic endometritis and post-insemination uterine treatments were excluded from the study. Only cases of non-toxic endometritis prior to first insemination in the period from 1- 150 days after calving were included. Cows were allocated to treatment group based on ear tag number (even/uneven) at the time of diagnosis by the veterinarian. Cows received only a single treatment. Cases were coded as censored at 150 days if not yet inseminated and at 180 days if not yet pregnant. A total of 623 cases of endometritis in first or later parity cows on 13 farms were used in the analysis. The distribution of treatments among farms was unequal ( chi-square = 0.167) , but no farm had more than 70% of one treatment and farm was included as a correction factorin all models. A larger number of controls than cases also had no effect on study outcome. The effect oftreament on the interval (days) from from treatment to conception or censoring was analyzed with a Cox proportional hazards model. Other variables included in the models were season, parity, herd and time of treatment (late/early) with respect to calving. There was no effect of treatment on the number of days to breeding or days open. Early/late ( cutoff = 40 days) endometritis was a significant factor for the interval from treatment to first insemination and conception rate to first breeding. Early/late metritis, however, was not a factor for the interval from treatment to pregnancy. This study suggests that there is an equal treatment efficacy for intrauterine therapy of endometritis between the two products tested. The authors discuss the growing trend away from intrauterine treatments and the suitability of survival analysis techniques for multi-farm field studies of this type.

scholarly journals Survival Analysis for the Adjustment Phase Following Investment in Swiss Dairy Sheds

Agriculture ◽  
2019 ◽  
Vol 9 (11) ◽  
pp. 238
Author(s):  
Kramer ◽  
Schorr ◽  
Doluschitz ◽  
Lips
Keyword(s):  
Survival Analysis ◽  
Proportional Hazards ◽  
Planning Process ◽  
Proportional Hazards Model ◽  
Cox Proportional Hazards ◽  
Equity Capital ◽  
Cox Proportional Hazards Model ◽  
Farm Income ◽  
Hazards Model ◽  
Farm Accountancy Data Network

We analysed the adjustment phase following a dairy shed investment. On the basis of farm observations from both the Swiss Farm Accountancy Data Network (FADN) and a database of government-supported investments from 2003 through 2014, we focused on the imputed profit, the farm income minus opportunity costs for family labour and family capital. After investment, the analysed farms needed three years to return to the same profit level as that before the investment (median value). A Cox proportional-hazards model (survival analysis) showed that the probability of reattaining the imputed profit increased with equity capital. A reduction of the probability was related to a high imputed profit, a high off-farm income, high expenses for purchased animals and, in particular, a greater use of family labour before the investment. We conclude that the use of family labour after investment should be addressed more thoroughly during the planning process prior to an investment.

scholarly journals Survival Analysis and Prediction Model for Pulmonary Sarcomatoid Carcinoma Based on SEER Database

2021 ◽  
Vol 11 ◽  
Author(s):  
Mingjing Chen ◽  
Qiao Yang ◽  
Zihan Xu ◽  
Bangyu Luo ◽  
Feng Li ◽  
...  
Keyword(s):  
Survival Analysis ◽  
Prediction Model ◽  
Proportional Hazards ◽  
Proportional Hazards Model ◽  
Clinical Stage ◽  
Sarcomatoid Carcinoma ◽  
Cox Proportional Hazards ◽  
Cox Proportional Hazards Model ◽  
Pulmonary Sarcomatoid Carcinoma ◽  
Testing Set

ObjectiveThis study aimed to investigate the incidence of the pulmonary sarcomatoid carcinoma (PSC), to compare the clinical characteristics and overall survival (OS) of patients with PSC and those with other non-small-cell lung cancer (oNSCLC), so as to analyze the factors affecting the OS of patients with PSC and construct a nomogram prediction model.MethodsData of patients with PSC and those with oNSCLC diagnosed between 2004 and 2015 from the Surveillance, Epidemiology, and End Results database were collected. The age-adjusted incidence of PSC was calculated. The characteristics of patients with PSC and those with oNSCLC were compared, then the patients were matched 1:2 for further survival analysis. Patients with PSC were randomly divided into training set and testing set with a ratio of 7:3. The Cox proportional hazards model was used to identify the covariates associated with the OS. Significant covariates were used to construct the nomogram, and the C-index was calculated to measure the discrimination ability. The accuracy of the nomogram was compared with the tumor–node–metastasis (TNM) clinical stage, and the corresponding area under the curve was achieved.ResultsA total of 1049 patients with PSC were enrolled, the incidence of PSC was slowly decreased from 0.120/100,000 in 2004 to 0.092/100,000 in 2015. Before PSM, 793 PSC patients and 191356 oNSCLC patients were identified, the proportion of male, younger patients (<65 years), grade IV, TNM clinical stage IV was higher in the PSC. The patients with PSC had significantly poorer OS compared with those with oNSCLC. After PSM, PSC still had an extremely inferior prognosis. Age, sex, TNM clinical stage, chemotherapy, radiotherapy, and surgery were independent factors for OS. Next, a nomogram was established based on these factors, and the C-indexs were 0.775 and 0.790 for the training and testing set, respectively. Moreover, the nomogram model indicated a more comprehensive and accurate prediction than the TNM clinical stage.ConclusionsThe incidence of PSC was slowly decreased. PSC had a significantly poor prognosis compared with oNSCLC. The nomogram constructed in this study accurately predicted the prognosis of PSC, performed better than the TNM clinical stage.

scholarly journals Maternal hepatitis B or C carrier status and long-term risk for offspring neurological morbidity: a population-based cohort study

2021 ◽  
pp. 1-5
Author(s):  
Israel Yoles ◽  
Eyal Sheiner ◽  
Naim Abu-Freha ◽  
Tamar Wainstock
Keyword(s):  
Proportional Hazards ◽  
Proportional Hazards Model ◽  
Survival Curve ◽  
Population Based ◽  
Cox Proportional Hazards ◽  
Cox Proportional Hazards Model ◽  
Carrier Status ◽  
Hazards Model ◽  
Kaplan Meier

Abstract Hepatitis B and hepatitis C (HBV/HCV) are important global public health concerns. We aimed to evaluate the association between maternal HBV/HCV carrier status and long-term offspring neurological hospitalisations. A population-based cohort analysis compared the risk for long-term childhood neurological hospitalisations in offspring born to HBV/HCV carrier vs. non-carrier mothers in a large tertiary medical centre between 1991 and 2014. Childhood neurological diseases, such as cerebral palsy, movement disorders or developmental disorders, were pre-defined based on ICD-9 codes as recorded in hospital medical files. Offspring with congenital malformations and multiple gestations were excluded from the study. A Kaplan–Meier survival curve was constructed to compare cumulative neurological hospitalisations over time, and a Cox proportional hazards model was used to control for confounders. During the study period (1991–2014), 243,682 newborns met the inclusion criteria, and 777 (0.3%) newborns were born to HBV/HCV mothers. The median follow-up was 10.51 years (0–18 years). The offspring from HBV/HCV mothers had higher incidence of neurological hospitalisations (4.5 vs. 3.1%, hazard ratio (HR) = 1.91, 95% CI 1.37–2.67). Similarly, the cumulative incidence of neurological hospitalisations was higher in children born to HBV/HCV carrier mothers (Kaplan–Meier survival curve log-rank test p < 0.001). The increased risk remained significant in a Cox proportional hazards model, which adjusted for gestational age, mode of delivery and pregnancy complications (adjusted HR = 1.40, 1.01–1.95, p = 0.049). We conclude that maternal HBV or HCV carrier status is an independent risk factor for the long-term neurological hospitalisation of offspring regardless of gestational age and other adverse perinatal outcomes.

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