In this article, we examine the daily water demand forecasting performance of double seasonal univariate time series models (Holt-Winters, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. A within-week seasonal cycle and a within-year seasonal cycle are accommodated in...

With the advent of the new Basel Capital Accord, banking organizations are invited to estimate credit risk capital requirements using an internal ratings based approach. In order to be compliant with this approach, institutions must estimate the expected loss-given-default, the fraction of the...

In many domains, the combined opinion of a committee of experts provides better decisions than the judgment of a single expert. This paper shows how to implement a successful ensemble strategy for predicting recovery rates on defaulted debts. Using data from Moody's Ultimate Recovery Database,...

This study evaluates the performance of feed-forward neural networks to model and forecast recovery rates of defaulted bank loans. In order to guarantee that the predictions are mapped into the unit interval, the neural networks are implemented with a logistic activation function in the output...