After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consistency in credit risk measurement and capital...

This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...

Baseline assumptions play a crucial role in conducting consistent quantitative policy assessments for dynamic Computable General Equilibrium (CGE) models. Two essential factors that influence the determination of the baselines are the data sources of projections and the applied calibration...

Binomial logit models are commonly used in the analysis of the situation of respondents on the labour market. Consequently, in most cases researchers consider two states: of being unemployed and employed or economically inactive and active. This paper focuses on the situation of young people...

This work presents a Bayesian approach for inferring the capacity factor of an offshore wind farm. The application of the proposed methodology is illustrated through a case study of a wind power offshore project located on the northern coast of the Rio de Janeiro State.

A major competitive advantage of production and service systems is establishing a proper maintenance policy. Therefore, maintenance managers should make maintenance decisions that best fit their systems. Multi-criterion decision-making methods can take into account a number of aspects associated...

In travel surveys most respondents apply rounding of departure andarrival times to multiples of 5, 15 and 30minutes: in the annual Dutch travel survey about 85-95 percent of allreported times are 'round' ones. We estimaterounding models for departure and arrival times. The model allows oneto...

In this work we consider modeling the past volatilities through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model using the Bayesian approach. Asymmetries in the shocks are accommodated by smooth transition models for the variance. We discuss problems related to the...

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...