For risk management, implementing risk measures and backtesting them are essential tasks. Since the expected shortfall (ES) possesses coherence and tail sensitivity, the Basel Committee has raised the option to replace the classical risk measure value-at-risk (VaR) with ES. However, the...

Poverty prediction models are used by economists to address missing data issues in a variety of contexts such as poverty profiling, targeting with proxy-means tests, cross-survey imputations such as poverty mapping, or vulnerability analyses. Based on the models used by this literature, this...

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...