?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F746%2F&rft.title=African+Drought+Risk+Pay-Out+Benchmarking&rft.creator=Connaughton%2C+Colm&rft.creator=Herman%2C+John&rft.creator=Johansen%2C+Adam&rft.creator=Kawabata%2C+Emily&rft.creator=Kerr%2C+Robert&rft.creator=Pegg%2C+Michael&rft.creator=Reizenstein%2C+Jeremy&rft.creator=Sakrajda%2C+Piotr&rft.creator=Tawn%2C+Nick&rft.creator=Whincop%2C+Luke&rft.subject=Finance&rft.description=This+report+contains+exploratory+data+analysis+of+rainfall+and+Water+Resource+Sufficiency+Index+(WRSI)+data+provided+by+African+Risk+Ca-+pacity+(ARC).+The+purpose+is+to+assess+the+predictability+of+droughts+in+Africa.+We+assess+the+appropriateness+of+the+historical+WRSI+bench-+marks+set+by+ARC+members+compared+to+the+observed+WRSI+values+for+different+regions.+We+conclude+that+the+benchmarks+are+broadly+sensible.+We+then+compare+a+number+of+linear+time+series+models+based+on+their+ability+to+fit+and+forecast+the+WRSI+time+series.+We+conclude+that+sim-+pler+models+like+Simple+Moving+Average+and+Moving+Median+are+more+appropriate+than+more+sophisticated+models+containing+trends+and+sea-+sonality+like+Holt+Winter+and+TBATS.+We+also+investigate+the+use+of+the+SARIMA+and+TBATS+models+to+forecast+the+seasonal+patterns+observed+in+rainfall+data+and+conclude+that+both+models+can+generate+structured+forecasts+that+reflect+seasonal+variability.+The+statistical+evidence+how-+ever+favoured+TBATS+over+SARIMA.+Attempts+to+measure+the+influence+of+the+El+Nin+%CC%83o-Southern+Oscillation+on+rainfall+levels+are+inconclusive+for+the+areas+studied.+Finally+we+perform+a+simple+application+of+univariate+Extreme+Value+Theory+to+rainfall+data+and+conclude+that+further+inves-+tigation+is+necessary+to+understand+how+the+catastrophic+famine+that+affected+Ethiopia+in+the+early+1980%E2%80%99s+would+be+reflected+in+the+data+if+a+similar+event+were+to+reoccur+today.&rft.date=2017&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F746%2F1%2F2017-11-20_ESGI130_ARC_final.pdf&rft.identifier=++Connaughton%2C+Colm+and+Herman%2C+John+and+Johansen%2C+Adam+and+Kawabata%2C+Emily+and+Kerr%2C+Robert+and+Pegg%2C+Michael+and+Reizenstein%2C+Jeremy+and+Sakrajda%2C+Piotr+and+Tawn%2C+Nick+and+Whincop%2C+Luke++(2017)+African+Drought+Risk+Pay-Out+Benchmarking.++%5BStudy+Group+Report%5D+++++