According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes 'business environment...

In this paper, we study the problem of misrepresentation under heavy-tailed regression models with the presence of both misrepresented and correctly-measured risk factors. Misrepresentation is a type of fraud when a policy applicant gives a false statement on a risk factor that determines the...

In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...

In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...

A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination weights. A dimension reduction step is introduced using a sequential...

A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive density of logreturns. Our proposed approach...

Longitudinal network data are increasingly available, allowing researchers to model how networks evolve over time and to make inference on their dependence structure. In this paper, a dynamic latent space approach is used to model directed networks of monthly interbank exposures. In this model,...

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...

Despite improvements in global child health within the last three decades, under-5 mortality remains significantly high in Sub-Saharan and Asia. Both regions did not achieve the MDG target of reducing under-5 mortality by two thirds by 2015. The underlying causes of under-5 mortality differ...