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q-fin.ST2020
The measure of model risk in credit capital requirements
Roberto Baviera
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter co…
q-fin.ST2020
Daily Middle-Term Probabilistic Forecasting of Power Consumption in North-East England
Roberto Baviera, Giuseppe Messuti
Probabilistic forecasting of power consumption in a middle-term horizon (months to a year) is a main challenge in the energy sector. It plays a key role in planning future generati…