Validação da perda dado o descumprimento na abordagem IRB avançada
Bibliographic record
Abstract
O objetivo do presente trabalho é contribuir para a discussão acerca dos aspectos mais importantes do processo de validação da perda dado o descumprimento (LGD), com especial atenção para o caso brasileiro, conforme disciplina o Banco Central do Brasil por meio da Circular nº 3.648/2013. Os autores sugerem a aplicação de algumas medidas estatísticas não-lineares ao estudo da dependência entre a frequência de descumprimento e a perda dado o descumprimento, como as estatísticas de Kendall e Somers e receiver operating characteristic (ROC) não-binário. Por fim, é proposta uma metodologia de cálculo para a LGD de downturn que tem como fundamentos um ajuste de correlação derivado da perda esperada e a ordenação de quantis da distribuição prevista da LGD de acordo com o grau da dependência citada para diferentes carteiras de crédito.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.024 | 0.089 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.004 | 0.009 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.005 | 0.003 |
| Open science | 0.002 | 0.002 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.004 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".