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Prof. Dr. Gareth W. Peters 
(FIOR, SIRM, FRSS, FIMA, YAS-RSE, CStat-RSS, CMath-FIMA, Elected Member ISI)
 
Janet & Ian Duncan Endowed Chair of Actuarial Science,
Chair Prof. of Statistics for Risk and Insurance,

Department of Statistics & Applied Probability
University of California Santa Barbara (UCSB) 
 






Currently:

Santa Barbara, California:

Lecturing: three courses this year 2022-2023 
1. Time series: Part A and Part B Advanced Time Series Modelling
2. Advanced Financial Mathematics

News Items:

Organising: Duncan Chair Research Day 2022

Co-Organising: Centre for Financial Mathematics and Actuarial Research Workshop 2022. 

Upcoming Travels and Presentations:



 

QRSLab        

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Specializing in Statistical Solutions in Risk and Insurance:

Theory, Methodology and Practice

 

RESEARCH

AREAS​

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  • 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

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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..

practice_areas
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

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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.

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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.

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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.  

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Big data analytics in risk and insurance is an emerging field that is covered in many reserach themes in this laboratory

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The QRSLab is a collective of many different research skills and expertise in multidisciplinary working group.

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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 .

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The axioms of Frederico Ardila (Todo Cuentan) nicely capture some axiomatic principles which we subscribe to in QRSLab.

 

Axiom 1. Mathematical potential is distributed equally among different groups, irrespective of geographic, demographic, and economic boundaries.

Axiom 2. Everyone can have joyful, meaningful, and empowering mathematical experiences.

Axiom 3. Mathematics is a powerful, malleable tool that can be shaped and used differently by various communities to serve their needs.

Axiom 4. Every student deserves to be treated with dignity and respect.

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our_vision
contact

CONTACT
Dr. Gareth W. Peters
QRSLab

OUR ADDRESS

Department of Statistics and Applied Probability, ​

University of California, Santa Barbara (UCSB)

California, USA

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Email: garethpeters@ucsb.edu
Tel:  email best

Tel:  email best

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Office Number:

??? tbd.

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For any general inquiries, please fill in the following contact form:

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