Quantitative Risk Solutions Lab

Title:  Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition, Dani Gamerman and Hedibert F. Lopes, Chapman & Hall/CRC, Review for Statistics in Medicine - (2008)

Text Review.

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Title:  Uncertain Judgements Eliciting Experts Probabilities , OHagan, A. et al., Wiley Statistics in Practice, Review for Journal Royal Statistics Society A, Review (pdf). (October 2007 - Vol. 170 Issue 4 Page 861-1198)

Text Review.​

Title:  Central Limit Theorems for SMC algorithms - CUED Cambridge Seminar Series Part 1 

Presentation Notes.

Title:  Central Limit Theorems for SMC algorithms - CUED Cambridge Seminar Series Part 2 

Presentation Notes.

Industry Reports:

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• Statistical report for the ABC, Peters G. W., (2009)

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• Research Proposal Grinham Managed Funds: Dynamic CoIntegration models, Peters G. W., (2009)

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• What to expect from graduate school, Peters G. W., ISBA Bulletin, 16(2), (2009). http://www.bayesian.org/bulletin/0906.pdf

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• Research Proposal Grinham Managed Funds: VAR models and CoIntegration Analysis , Peters G. W., (2008)

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• Case Study - Quantifying Operational Risk, (part of larger report - Low Probability Large Consequence Events ACERA project no. 06/02) Franklin J., Sisson S., Teruads V. and Peters G., Australian Centre of Excellence for Risk Analysis (draft word), (2007)

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• Operational Risk Combining and Aggregation Methodology Devlopment - Commonwealth Bank of Australia Internal Report (2007)

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• Operational Risk Captital Allocation and Capital Sensitivity Methodology and Analysis - Commonwealth Bank of Australia Internal Report (2006)

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• Operational Risk Quantitative Risk Assessment Survey Design and Methodology Analysis - Commonwealth Bank of Australia Internal Report (2005/6)

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• Operational Risk OpRA System Sensitivity Analysis Report (Convolution, Distribution Choice, Number of Exposures) - Commonwealth Bank of Australia Internal Report (2006)

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• Operational Risk OpRA System Accuracy Testing - Commonwealth Bank of Australia Internal Report and Analysis (2006)

Industry Reports