drought index commonly used in hydrology, the Palmer Drought Severity Index (PDSI). The PDSI is based on a hydrological model …-death threshold. Overall, results show a robust link between drought and civil war in Sub-Saharan African states after independence. …

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …

competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to …