✦ LIBER ✦
Using ensemble forecasts to predict the size of forecast changes, with application to weather swap value at risk
✍ Scribed by Stephen Jewson; Christine Ziehmann
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 125 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1530-261X
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✦ Synopsis
Abstract
We show that the standard deviation of the distribution from which changes in the ensemble mean are drawn can be predicted using the ensemble spread. Such a forecast has direct application for companies that trade weather swaps and need to evaluate their risk. Copyright © 2003 Royal Meteorological Society. Published by Elsevier Ltd. All rights reserved.