Quantitative Risk Solutions Lab
Prof. Gareth W. Peters
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 term -
1. Advanced Time Series Modelling
2. Advanced Financial Mathematics
3. RKHS Theory and Feature Extraction Methods
News Items:
Upcoming Travels and Presentations:
Presentations at Financial Engineering and Banking Society (Portsmouth UK 2022)
Presentations at IFOA conference (London UK 2022)
Presenting at Commodity and Energy Markets Association (Chicago US 2022)
Visiting Professor at Institute of Statistical Mathematics ISM Tokyo Japan (summer of 2022).
Presenting 3-day workshop on Machine Learning for Risk and Insurance at the International Statistics Symposium at Universidad Nacional de Colombia (Bogota, Colombia 2022)
Recent Travels:
QRSLab
Specializing in Statistical Solutions in Risk and Insurance:
Theory, Methodology and Practice
RESEARCH
AREAS
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Statistical Risk Management
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Statistical Insurance
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Monte Carlo Methods and Sampling
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Agricultural Finance, Green Finance and Urban Finance
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Algorithmic Trading and High Frequency Finance
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Statistical Finance and Econometrics
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Bayesian Modelling and Methodology
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Regulations Research
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Blockchain and Virtual Currency
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Spatial and Temporal Modelling
Statistical Risk Management
Quantitative modelling:
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Operational Risk, Credit Risk, Market Risk
Statistical Insurance
Quantitative modelling for:
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Non-Life and General Insurance;
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Longevity and mortality modelling;
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Usage based Insurance
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Catastrophe Modelling and Catstrophe Bonds
Regulations Research
Expertise in financial regulation:
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Basel I, II, 2.5, III - Operational Risk, Credit Risk, Market Risk
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Stress Testing
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Solvency II and Swiss Solvency Test
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Exchange Regulations: MiFID, MiFID II, MiFIR, Dodd-Frank, REMIT, T2S, Reg NMS..
Statistical Finance and Econometrics
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Multifactor models for Commodities
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Dynamic Cointegration Modelling
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State Space Modelling
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Index Models
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Portfolio Allocation Methods
Algorithmic Trading and High Frequency Finance
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Lit and Dark Limit Order Book Stochastic Modelling
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Commodities, Currency, Equity, Bonds, Sports Markets.
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Carry Trades
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Crush Trades
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Convexity Trades
Agricultural Finance, Green Finance and Urban Finance
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Green Bonds
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Agricultural Modelling
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Farming and Crop Insurance
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Smart City and Urban Analytics Finance
Blockchain and Virtual Currency
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Blockchain applications
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Blockchain regulations
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Virtual Currency and Economics
Spatial and Temporal Modelling
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Spatial-Temporal Models
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Sensor Networks
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Signal Processing
Bayesian Modelling and Sampling Methodology
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Hierarchical Bayesian Models
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Prior Ellicitation Methods
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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 .
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.
CONTACT
Dr. Gareth W. Peters
QRSLab
OUR ADDRESS
Department of Statistics and Applied Probability,
University of California, Santa Barbara (UCSB)
California, USA
Email: garethpeters@ucsb.edu
Tel: email best
Tel: email best
Office Number:
??? tbd.
For any general inquiries, please fill in the following contact form:
