Financial Risk, Insurance, Econometrics and Stochastic Finance
This theme has a research program that encompasses a range of theoretical, methodological and applied problems encountered in financial risk, insurance, economics and finance. Each topic is covered from a statistical and stochastic process perspective. Examples of active areas include topics ranging from Solvency II, Basel III, non-life insurance, re-insurance, catastrophe bonds and insurance linked securities, Operational Risk, commodity modelling, econometrics, limit order book modelling, high frequency trading and execution algorithms and currency carry.
Gareth Peters (Theme Lead)
||Filtering methods, high frequency trading and algorithmic trading; insurance modelling (life and non-life); risk management (operational risk, market risk, credit risk); time series and state space models in econometrics|
Inference for diffusions; volatility modelling
Bankruptcy prediction of small and medium enterprises
Stochastic analysis; stochastic functional differential equations and applications
Other members: Sofia Olhede.
Some of our current PhD students are also working on topics related to this theme.
Recent Research Activities
- Josef Dick, Frances Y. Kuo, Gareth W. Peters, and Ian H. Sloan (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer-Verlag, 2014.
- Targino R., Peters G.W. , Sofronov G. and Shevchenko P. "Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times" [arXiv: 1312.0424].
- Peters G.W., Targino R. and Shevchenko P. "Understanding Operational Risk Capital Approximations: First and Second Orders." [arXiv: 1303.2910]. [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
- Shevchenko P. and Peters G.W. "Loss Distributional Approach of Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation." [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
- Panayi E.,Peters G.W., Danielsson J. and Zigrand J.P. "Structural Models for Intra-day Liquidity and Resilience in Limit Order Book." [arXiv: ].
- Matthew Ames, Guillaume Bagnarosa and Peters G.W. "Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades." [arXiv: 1303.4314 ].
- Richards K.A.,Peters G.W. and Dunsmuir W. "Heavy-Tailed Features and Empirical Analysis of the Limite Order Book Volume Profiles in Futures Markets." [arXiv:1210.7215 ].
- Del Moral P., Peters G.W., and Verge Ch. "An introduction to particle integration methods: with applications to risk and insurance." [arXiv: 1210.3851 ]
- Peters G.W., Dong, A. and Kohn, R. "A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving" [arXiv:1210.3849 ].
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