Open AccessUsing ensemble forecasts to predict the size of forecast changes, with application to weather swap value at risk
Author(s) -
Jewson Stephen,
Ziehmann Christine
Publication year - 2003
Publication title -
atmospheric science letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.951
H-Index - 45
ISSN - 1530-261X
DOI - 10.1016/s1530-261x(03)00003-3
Subject(s) - swap (finance) , environmental science , ensemble forecasting , standard deviation , meteorology , climatology , ensemble average , econometrics , statistics , geography , mathematics , economics , geology , finance
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.