38 citations · 106 across the 20 of their papers we have counts for
4 papers · 1 filter
Synthetic forwards and cost of funding in the equity derivative market
Michele Azzone, Roberto Baviera
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual…
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…
Neural Network Middle-Term Probabilistic Forecasting of Daily Power Consumption
Michele Azzone, Roberto Baviera
Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered. We propose…
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…