Prof. Dr. Gareth W. Peters (FIOR, YAS-RSE, CStat-RSS)
QRSLab
Chair Prof. for Statistics in Risk and Insurance,
Director of the Scottish Financial Risk Academy (SFRA),
Department of Actuarial Mathematics and Statistics
Heriot-Watt University, Edinburgh, UK.
( Research Profile URL )
Currently:
Edinburgh HW:
Lecturing: developed and delivering new MSc Actuarial Course
Machine Learning for Risk and Insurance
(Actuarial Masters Year Long Course)
News Items:
Presenting 3-day workshop on Machine Learning for the IABE Institute of Actuaries Belgium (Dec)
Presenting an invited talk at ICMA mathematics conference in Mahidol University Thailand (Dec)
Recent Travels:
None in 2020
Specializing in Statistical Solutions in Risk and Insurance:
Theory, Methodology and Practice
RESEARCH
AREAS
-
Statistical Risk Management
-
Statistical Insurance
-
Monte Carlo Methods and Sampling
-
Agricultural Finance, Green Finance and Urban Finance
-
Algorithmic Trading and High Frequency Finance
-
Statistical Finance and Econometrics
-
Bayesian Modelling and Methodology
-
Regulations Research
-
Blockchain and Virtual Currency
-
Spatial and Temporal Modelling
Statistical Risk Management
Quantitative modelling:
-
Operational Risk, Credit Risk, Market Risk
Statistical Insurance
Quantitative modelling for:
-
Non-Life and General Insurance;
-
Longevity and mortality modelling;
-
Usage based Insurance
-
Catastrophe Modelling and Catstrophe Bonds
Regulations Research
Expertise in financial regulation:
-
Basel I, II, 2.5, III - Operational Risk, Credit Risk, Market Risk
-
Stress Testing
-
Solvency II and Swiss Solvency Test
-
Exchange Regulations: MiFID, MiFID II, MiFIR, Dodd-Frank, REMIT, T2S, Reg NMS..
Statistical Finance and Econometrics
-
Multifactor models for Commodities
-
Dynamic Cointegration Modelling
-
State Space Modelling
-
Index Models
-
Portfolio Allocation Methods
Algorithmic Trading and High Frequency Finance
-
Lit and Dark Limit Order Book Stochastic Modelling
-
Commodities, Currency, Equity, Bonds, Sports Markets.
-
Carry Trades
-
Crush Trades
-
Convexity Trades
Agricultural Finance, Green Finance and Urban Finance
-
Green Bonds
-
Agricultural Modelling
-
Farming and Crop Insurance
-
Smart City and Urban Analytics Finance
Blockchain and Virtual Currency
-
Blockchain applications
-
Blockchain regulations
-
Virtual Currency and Economics
Spatial and Temporal Modelling
-
Spatial-Temporal Models
-
Sensor Networks
-
Signal Processing
Bayesian Modelling and Sampling Methodology
-
Hierarchical Bayesian Models
-
Prior Ellicitation Methods
-
Monte Carlo Methods:
Sequential Monte Carlo
Markov Chain Monte Carlo
Indirect Inference
Approximate Bayesian Computation
OUR VISION
The agenda of this laboratory is to produce innovative and cutting edge statistical solutions to modelling in applied Financial risk and Insurance.
We focus on innovative and emerging areas of high impact to research, regulators, industry and practitioners that require research level academic developments both of a fundamental nature and a practical quantitative nature.
This laboratory is specifically interested in modelling applied numerical and methodological financial risk problems of signficance in the financial industry and regulators - as such it aims to develop strategic partnership of a research nature with industry.
Big data analytics in risk and insurance is an emerging field that is covered in many reserach themes in this laboratory
The QRSLab is a collective of many different research skills and expertise in multidisciplinary working group.
IF YOU ARE INTERESTED IN COLLABORATION OPPORTUNITIES WITH THE QRSLab ON RESEARCH PROJECTS or honours, MSc., Ph.D. or Post doctoral opportunities - see contact information .
QRSLab Researchers
Dr. Gareth W. Peters (FIOR, YAS-RSE)
PhD. Statistics, MSc. (Research Cambridge),
BSc. (hons 1st), BEng (hons 1st) Uni. Melb.
Current Research Affiliations
-
Elected Fellow of the Young Academy of Scotland - Royal Society of Edinburgh (YAS-RSE).
-
Elected Fellow of the Institute of Operational Risk Professionals.
-
Visiting Fellow and Theme Leader for Insurance in Alan Turing Institute.
-
Honorary Prof. of Statistics at University College London, 2018+
-
Core Member of Edinburgh University Centre for Statistics.
-
Affiliated Prof. of Statistics in University of New South Wales Australia 2015+
-
Affiliate Member of Systemic Risk Center, London School of Economics 2014+
-
Affiliate Member of Oxford Mann Institute, Oxford University (OMI) 2013+
-
Honorary Prof. of Statistics in University of Sydney Australia 2018+
-
Honorary Prof. of Statistics in Maquarie University, Australia 2018+
-
Visiting Prof. in Institute of Statistical Mathematics, Tokyo, Japan 2009-2018+
Previous Research Affiliations
-
Adjunct Scientist: Mathematics, Informatics and Statistics, Commonwealth Scientific and Industrial Research Organisation (CSIRO) - Australia. 2009 - 2016.
-
Principle Investigator in CSML , University College London (UCL) 2011-2017
-
Academic Member: UK PhD Center in Financial Computing (UCL); 2012-2017
-
Affiliated Prof. School of Earth and Space Sciences, Peking University PKU, Beijing, China 2015+
Membership of Societies
-
Fellow of the Institute of Operational Risk Practitioners, London, UK.
-
International Society of Bayesian Analysis (ISBA)
-
Royal Statistical Society RSS, UK
-
YAS Royal Society of Edinburgh, UK
Postdoctoral Researchers
Working on Functional Data Analysis for Insurance.
Dr. Dorota Toczydłowska
Based at University of Technology Sydney (UTS) - joint with Prof. Matthew Wand and Prof. Louise Ryan
Advanced Machine Learning research in crypto-currencies
Anna Zaremba (Ph.D. Submitted - to be defended after COVID-19)
Crypto-ML Research Member
Ph.D. Researchers
PhD. Topic: Machine Learning Methods for Credit Portfolio Analytics
Supervisors: Prof. Gareth W. Peters and Prof. Mike Chantler
Edward Antonian (2019+)
Heriot-Watt Edinburgh and Royal Bank of Scotland
PhD. Topic: Machine Learning Methods for Credit Portfolio Analytics
Supervisors: Prof. Gareth W. Peters and Prof. Mike Chantler
Cole Van Jaarsveldt (2019+)
Heriot-Watt Edinburgh and Royal Bank of Scotland
PhD. Topic: Data Combining Methods
Supervisors: Prof. Gareth W. Peters and Prof. Mike Chantler
Pasin Marupanthorn (2019+)
Heriot-Watt Edinburgh
PhD. Topic: Hidden Markov Models and Finance
Supervisors: Dr. Guido Germano, Dr. Gareth W. Peters and Dr. Kostas Manolarkis
Andreas Koukorinis (2013+)
Set up Hedge Fund STRATAGEM London
PhD. Topic: Non-Stationary Basis Decompositions and Stable Processes
Supervisors: Dr. Gareth W. Peters and Dr. Nourddine Azzaoui
Marta Campi (2016+)
PhD. Topic: Machine Learning Methods for Momentum Strategies
Supervisors: Dr. Gareth W. Peters and Dr. Franz Kiraly
Fabio Dias (2016+)
Barclays Bank London
CONTACT
Dr. Gareth W. Peters
QRSLab
OUR ADDRESS
Department of Actuarial Mathematics and Statistics,
Heriot-Watt University
Edinburgh, Scotland, UK
Email:
Email:
Tel: +44-07710-598847
Tel: email best
Office Number:
CM G.03 Edinburgh Campus, Riccarton, Heriot-Watt (Gate 1)
For any general inquiries, please fill in the following contact form:
