Systemic risk measures such as CoVaR, CoES, and MES are widely-used in finance,
macroeconomics and by regulatory bodies. Despite their importance, we show that they fail …

Abstract Changes in the North Atlantic Oscillation (NAO) heavily influence the weather
across the UK and the rest of Europe. Due to an incorrect representation of the polar jet …

To account for uncertainties, forecasts for future events are commonly expressed in terms of
probability distributions over the set of possible outcomes. To evaluate the quality of such …

Accurate forecasts of extreme wind speeds are of high importance for many applications.
Such forecasts are usually generated by ensembles of numerical weather prediction (NWP) …

Statistical analysis of extremes can be used to predict the probability of future extreme
events, such as large rainfalls or devastating windstorms. The quality of these forecasts can …

Motivated by the growing interest in sound forecast evaluation techniques with an emphasis
on distribution tails rather than average behaviour, we investigate a fundamental question …

This paper develops methods for the production and evaluation of censored density
forecasts. The focus is on censored density forecasts that quantify forecast risks in a middle …

In this paper we provide a general mathematical framework for distributional transforms,
which allows for many examples that are used extensively in the literature of finance …

To mitigate the impacts associated with adverse weather conditions, meteorological services
issue weather warnings to the general public. These warnings rely heavily on forecasts …

A number of skewness measures have been proposed and applied to theoretical
distributions. However, the corresponding empirical counterparts have been analyzed only …