Gareth Peters

University of California Santa Barbara

Janet and Ian Duncan Endowed Chair Professor of Actuarial Science; & Prof. of Statistics for Risk and Insurance

Santa Barbara, CA 93106

United States

University College London - Department of Statistical Science

Honorary Professor of Statistics

1-19 Torrington Place

London, WC1 7HB

United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance

Affiliated Academic Member

University of Oxford Eagle House

Walton Well Road

Oxford, OX2 6ED

United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre

Affiliated Academic Member

Houghton St

London

United Kingdom

University of New South Wales (UNSW) - Faculty of Science

Affiliated Professor

Australia

Macquarie University - Department of Actuarial Studies and Business Analytics

Honarary Professor

Australia

SCHOLARLY PAPERS

102

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114

CROSSREF CITATIONS

101

Scholarly Papers (102)

1.

Understanding Modern Banking Ledgers Through Blockchain Technologies: Future of Transaction Processing and Smart Contracts on the Internet of Money

Number of pages: 33 Posted: 24 Nov 2015
Gareth Peters and Efstathios Panayi
University of California Santa Barbara and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 5,243 (1,839)
Citation 59

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Blockchain, distributed ledger, databases, smart contracts, digital assets, data integrity, provisioning, government cash management, clearing, settlement

2.

Trends in Cryptocurrencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Journal of Financial Perspectives, Vol. 3, No. 3, 2015
Number of pages: 46 Posted: 08 Dec 2017
Gareth Peters, Efstathios Panayi and Ariane Chapelle
University of California Santa Barbara, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Computer Science
Downloads 3,137 (4,553)

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3.

Trends in Crypto-Currencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Number of pages: 25 Posted: 19 Aug 2015
Gareth Peters, Efstathios Panayi and Ariane Chapelle
University of California Santa Barbara, University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Computer Science
Downloads 2,866 (5,308)
Citation 55

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Crypto-currency, virtual currency, regulation, monetary theory

4.

Statistical Machine Learning and Data Analytic Methods for Risk and Insurance

Number of pages: 309 Posted: 11 Oct 2017 Last Revised: 11 Dec 2017
Gareth Peters
University of California Santa Barbara
Downloads 1,890 (10,455)
Citation 5

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Machine Learning, Risk, Insurance, Statistical Learning

5.
Downloads 889 ( 32,732)
Citation 4

Understanding Cyber-Risk and Cyber-Insurance

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 31 Posted: 20 Jun 2018
Gareth Peters, Pavel V. Shevchenko and Ruben Cohen
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and Independent
Downloads 588 (56,310)
Citation 5

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Fi nancial technology (FinTech), risk management, cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, information technology risk, business disruption

Understanding Cyber Risk and Cyber Insurance

Number of pages: 30 Posted: 07 Nov 2017 Last Revised: 05 Mar 2018
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 301 (124,094)
Citation 2

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cyber risk, cyber crime, operational risk, cyber insurance, cyber regulation, Information Technology risk, business disruption

6.

Overview of Emerging Blockchain Architectures and Platforms for Electronic Trading Exchanges

Number of pages: 20 Posted: 10 Nov 2016
Gareth Peters and Guy Vishnia
University of California Santa Barbara and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 774 (39,608)
Citation 2

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Blockchain; Blockchain transaction reporting; Trade reporting; Transparency

7.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 766 (40,251)
Citation 2

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8.

Blockchain Architectures for Electronic Exchange Reporting Requirements: EMIR, Dodd Frank, MiFID I/II, MiFIR, REMIT, Reg NMS and T2S.

Number of pages: 48 Posted: 31 Aug 2016 Last Revised: 07 Sep 2016
Gareth Peters and Guy Vishnia
University of California Santa Barbara and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 682 (46,993)
Citation 1

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Blockchain, Blockchain transaction reporting, Dodd-Frank, EMIR, Exchange Regulation, MiFID I, MiFID II and MiFIR, REMIT, Reg NMS, T2S and CSD, Trade reporting, Transparency

9.

Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective

Number of pages: 34 Posted: 06 Sep 2014
Gareth Peters, Ariane Chapelle and Efstathios Panayi
University of California Santa Barbara, University College London - Department of Computer Science and University College London - Financial Computing and Analytics Group, Department of Computer Science
Downloads 374 (98,224)
Citation 2

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Virtual Currency, Crypto Currency, Operational Risk, Regulation, Basel II

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 22 Feb 2018
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 251 (149,836)
Citation 1

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Cyber Risk, Cyber Crime, Operational Risk, Cyber Insurance, Kernel K-Means, Clustering, Cyber Empirical Studies

Statistical Machine Learning Analysis of Cyber Risk Data: Event Case Studies

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 28 Posted: 20 Jun 2018
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 92 (342,574)
Citation 10

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cyber risk, cyber crime, operational risk, cyber insurance, machine learning, k-means clustering method

11.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical Mathematics, ESC Rennes School of Business and University of California Santa Barbara
Downloads 313 (119,645)
Citation 4

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

12.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
The Institute of Statistical Mathematics, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 292 (128,794)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

13.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
The Institute of Statistical Mathematics, ESC Rennes School of Business, Independent, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 274 (137,691)
Citation 1

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Crude oil futures, Theory of storage, Theory of normal backwardation, Hedging pressure, Futures Term structure

14.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
The Institute of Statistical Mathematics, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 246 (153,399)
Citation 1

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

15.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
University of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 238 (158,337)
Citation 1

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Chain-Ladder Method, Claims Reserving Uncertainty, Claims Development Result, Mack's Formula, Merz-WüThrich's Formula, Conditional Mean Square Error of Prediction, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

16.

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Number of pages: 53 Posted: 03 May 2017
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
University of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 229 (164,303)
Citation 2

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Capital Allocation, Premium and Reserve Risk, Solvency Capital Requirement (SCR), Sequential Monte Carlo (SMC), Swiss Solvency Test (SST)

17.

Long Memory Models for Financial Time Series of Counts and Evidence of Systematic Market Participant Trading Behaviour Patterns in Futures on US Treasuries

Number of pages: 36 Posted: 04 May 2017
Hongxuan Yan, Jennifer Chan and Gareth Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and University of California Santa Barbara
Downloads 219 (171,450)
Citation 3

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Long memory Count Time Series, Bayesian Forecasting, Futures Contract, Open Interest, Traded Volume, Liquidity, Treasury Securities, GARMA, ARFIMA, Generalized Poisson Distribution

18.

Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Number of pages: 26 Posted: 22 Mar 2013 Last Revised: 23 Jan 2014
Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical Mathematics, ESC Rennes School of Business and University of California Santa Barbara
Downloads 209 (179,262)
Citation 2

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture copula models, Generalized Archimedean copula, Extreme value copula

19.

Market Resilience

Number of pages: 51 Posted: 11 May 2018
London School of Economics - Systemic Risk Centre, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 205 (182,442)
Citation 3

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Liquidity Measures, Resilience, Limit Order Book, Liquidity Provision, Optimal Trade Execution

20.

Simulation of the Annual Loss Distribution in Operational Risk Via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation.

Number of pages: 27 Posted: 05 Jun 2017
Gareth Peters, Adam M. Johansen and Arnaud Doucet
University of California Santa Barbara, University of Bristol - Department of Mathematics and University of Cambridge - Department of Engineering
Downloads 196 (190,129)
Citation 1

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Importance Sampling; Trans-dimensional Markov Chain Monte Carlo; Basel II Advanced Measurement Approach; Panjer Recursions; Volterra Integral Equations; Compound Processes; Loss Distributional Approach; Operational Risk; Value at Risk; Expected Shortfall

Should the Advanced Measurement Approach be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol 11, No. 3, pp. 1–49, 2016, DOI: 10.21314/JOP.2016.177
Number of pages: 38 Posted: 14 Jun 2016 Last Revised: 15 Sep 2016
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Downloads 195 (190,889)
Citation 8

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Operational Risk, Standarised Measurement Approach, Advanced Measurement Approach

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
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operational risk (OpRisk), standardized measurement approach (SMA), loss distribution approach (LDA), advanced measurement approach (AMA), Basel Committee for Banking Supervision (BCBS) regulations

22.

Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models

Insurance: Mathematics and Economics, Vol. 61, 2015
Number of pages: 32 Posted: 05 Oct 2014 Last Revised: 18 Feb 2015
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 171 (214,381)
Citation 2

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Risk Management, Capital Allocation, Sequential Monte Carlo (SMC), Copula Models

23.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 166 (219,792)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

24.

Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies

Bank of England Working Paper No. 655
Number of pages: 34 Posted: 10 Apr 2017
Bank of England, Department of Statistical Science, University College London and University of California Santa Barbara
Downloads 160 (226,685)
Citation 1

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Stress-testing, term structure, yield curve, liquidity risk, credit risk

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Number of pages: 44 Posted: 31 Jan 2017 Last Revised: 22 Oct 2019
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 105 (313,896)
Citation 5

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mortality modelling, cohort features, state-space models, Bayesian inference, Markov chain Monte Carlo

Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 44 Posted: 17 Apr 2018 Last Revised: 22 Oct 2019
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 55 (457,062)

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mortality modelling, cohort features, state-space model, Bayesian inference, Markov chain Monte Carlo

26.

Bayesian Inference, Monte Carlo Sampling and Operational Risk.

 Peters G.W. and Sisson S.A. (2006) “Bayesian Inference, Monte Carlo Sampling and Operational Risk". Journal of Operational Risk, 1(3).
Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters and Scott Sisson
University of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 159 (229,169)
Citation 8

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Approximate Bayesian Computation; Basel II Advanced Measurement Approach; Bayesian Inference; Compound Processes; Loss Distributional Approach; Markov Chain Monte Carlo; Operational Risk

27.

Loss Distribution Approach for Operational Risk Capital Modelling Under Basel II: Combining Different Data Sources for Risk Estimation

Number of pages: 44 Posted: 05 Jun 2017
Pavel V. Shevchenko and Gareth Peters
Macquarie University - Department of Actuarial Studies and Business Analytics and University of California Santa Barbara
Downloads 154 (234,102)
Citation 2

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operational risk; loss distribution approach; Basel II

28.

Stochastic Simulation Framework for the Limit Order Book Using Liquidity Motivated Agents

Number of pages: 45 Posted: 19 Jan 2015
Efstathios Panayi and Gareth Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and University of California Santa Barbara
Downloads 152 (236,682)
Citation 1

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Limit order book, agent-based model, copula dependence, exchange regulation

29.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 146 (244,652)

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dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

30.

Mortality Models Incorporating Long Memory Improves Life Table Estimation: A Comprehensive Analysis

Number of pages: 122 Posted: 31 Mar 2018
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 142 (250,182)
Citation 5

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Life Table, Life Expectancy, Lee Carter Model, Fractional Integrated Model, Bayesian Inference

31.

Heavy-Tailed Features and Dependence in Limit Order Book Volume Profiles in Futures Markets

Number of pages: 37 Posted: 22 May 2013 Last Revised: 05 May 2015
University of Technology Sydney (UTS) - UTS Business School, University of California Santa Barbara and University of New South Wales
Downloads 140 (252,983)
Citation 3

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Limit order book, Futures markets, High frequency volume profiles, Microstructure, Heavy tail

32.

Financial Big Data Solutions for State Space Panel Regression in Interest Rates Dynamics

Number of pages: 93 Posted: 22 Feb 2018 Last Revised: 17 Aug 2020
Dorota Toczydlowska and Gareth Peters
School of Mathematical and Physical Sciences, University of Technology Sydney and University of California Santa Barbara
Downloads 139 (254,463)
Citation 1

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Interest Rates, yield curves, financial big data, probabilistic PCA, Feater Extraction, State Space Models, dynamic models

33.

Covariance Forecasting Methods for Dynamic Asset Allocation

Number of pages: 16 Posted: 05 Jan 2021
affiliation not provided to SSRN, Mahidol University, University of California Santa Barbara and affiliation not provided to SSRN
Downloads 137 (257,365)

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covariance regression, early stopping, global minimum variance portfolio, vector heterogeneous autoregressive

34.

Tutorial on General Quantile Time Series Constructions

Number of pages: 33 Posted: 23 Oct 2017
Gareth Peters
University of California Santa Barbara
Downloads 133 (263,289)

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quantile time series, time series, non-parametric, parametric, regression, quantile function

35.

Topics in Sequential Monte Carlo Samplers

Number of pages: 186 Posted: 23 Mar 2021
Gareth Peters
University of California Santa Barbara
Downloads 127 (272,537)
Citation 1

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Sequential Monte Carlo Samplers

36.

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Number of pages: 19 Posted: 18 Jun 2014
The Institute of Statistical Mathematics, University of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 127 (272,537)

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula

37.

Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing

Number of pages: 31 Posted: 31 Jan 2019
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 126 (274,202)

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Life Table, Gengenbauer Polynomial, Lee Carter Model, Long Memory, Bayesian Inference, Annuity Pricing, Guaranteed Annuity Option

38.

A Feature-Ranking Framework for IoT Device Classification

Number of pages: 8 Posted: 03 Dec 2018
Singapore University of Technology and Design (SUTD), Singapore Telecommunications Limited (Singtel), Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara and National University of Singapore (NUS)
Downloads 112 (298,345)

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Classification, Feature Selection, Cyber Risk, Internet of Things (IoT)

39.

Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread

Number of pages: 30 Posted: 01 May 2017
Imperial College London - Department of Mathematics, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 111 (300,187)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

40.

Machine Learning Mitigants for Speech Based Cyber Risk

Number of pages: 36 Posted: 31 Jul 2020
Marta Campi, Gareth Peters and Nourddine Azzaoui
UCL, University of California Santa Barbara and Mathematics Department, Université Blaise Pascal
Downloads 110 (302,122)

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Speech Bio-metric Cyber Security, Automatic Speaker Verification, Support Vector Machines, Non-Stationary Feature Extraction, Empirical Mode Decomposition, Cyber Risk Mitigation

41.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
School of Mathematical and Physical Sciences, University of Technology Sydney, University of California Santa Barbara, Commonwealth Bank of Australia and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 109 (304,045)
Citation 1

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Stochastic Mortality Models, Demographic, Factor Model, Feature Extraction, Robust Estimation

42.

AuditChain: A Trading Audit Platform Over Blockchain

Number of pages: 31 Posted: 07 Jun 2019
Guy Vishnia and Gareth Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and University of California Santa Barbara
Downloads 108 (305,973)

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Regulation; Blockchain; Auditing; Distributed Ledger; Auctions; Periodic Auction; Dark Pools; Liquidity; Electronic Trading

43.

Foundations & Quantitative Aspects of Operational Risk Modelling

Number of pages: 317 Posted: 18 May 2021 Last Revised: 27 May 2021
Gareth Peters
University of California Santa Barbara
Downloads 106 (309,980)

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Operational Risk, Quantitative Risk, Risk Management, Loss Models

44.

Global Perspectives on Operational Risk Management and Practice. A Survey by Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Number of pages: 49 Posted: 09 Mar 2018 Last Revised: 29 Apr 2018
University of California Santa Barbara, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
Downloads 105 (311,931)

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45.

A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting

Number of pages: 44 Posted: 31 May 2016
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 103 (316,036)
Citation 6

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mortality modelling, state-space model, stochastic volatility, heteroscedasticity, particle Markov chain Monte Carlo

Understanding Operational Risk Capital Approximations: First and Second Orders

Peters G.W, Targino R., Shevchenko P.V., "Understanding Operational Risk Capital Approximations: First and Second Orders". The Journal of Governance and Regulation, 2(3), (2013).
Number of pages: 34 Posted: 05 Sep 2014
University of California Santa Barbara, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 67 (413,409)

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Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
University of California Santa Barbara, University College London - Department of Statistical Science and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 35 (549,683)
Citation 5

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Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying

47.

Spatial Field Reconstruction of Non-Gaussian Random Fields: The Tukey G-and-H Random Process

Number of pages: 37 Posted: 27 Apr 2018
Sai Ganesh Nagarajan, Gareth Peters and Ido Nevat
Singapore University of Technology and Design (SUTD), University of California Santa Barbara and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 100 (322,298)
Citation 1

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Tukey Process, Co-Skewness, Co-Kurtosis, Non-Gaussian Spatial Process, Spatial Field Reconstruction

48.

A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing

Number of pages: 7 Posted: 07 Dec 2015
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 96 (330,778)
Citation 8

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Mortality modeling, longevity risk, Bayesian inference, Gibbs sampling, state-space models, life annuities

49.

Efficient Sequential Monte-Carlo Samplers for Bayesian Inference

Number of pages: 33 Posted: 06 Jun 2017
Institut Mines-Télécom Business School, Institut Mines-Télécom Business School, University of California Santa Barbara and Institut Mines-Télécom Business School
Downloads 94 (335,291)

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Bayesian inference, Sequential Monte Carlo sampler, complex models

50.

Multivariate Long Memory Cohort Mortality Models

Number of pages: 25 Posted: 23 Apr 2018
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 92 (339,864)
Citation 2

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mortality modelling, life expectancy, multivariate, cohort, long memory, count time series, pension

51.

Statistical Modelling for Precision Agriculture: A Case Study in Optimal Environmental Schedules for Agaricus Bisporus Production via Variable Domain Functional Regression

Number of pages: 26 Posted: 08 Aug 2017
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara and Kyiakides Mushrooms Ltd.
Downloads 92 (339,864)

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Functional Regression, Variable Domain Functional Regression, Precision Agriculture, Yield Models

52.

Explicit Solutions to Correlation Matrix Completion Problems, with an Application to Risk Management and Insurance

Number of pages: 18 Posted: 16 Oct 2017
Dan Georgescu, Nicholas Higham and Gareth Peters
Bank of England - Prudential Regulation Authority, University of Manchester and University of California Santa Barbara
Downloads 90 (344,604)
Citation 1

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Matrix Completion, Correlation Matrix, Positive Definite Matrix, Maximal Determinant, Chordal Graph, Covariance Selection, Insurance, Risk Management

53.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
University of Sydney Business School, University of California Santa Barbara, University of Sydney and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 88 (349,535)
Citation 3

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symbolic data, time series, MCMC, quantile function, g-and-h, Value-at-Risk

54.

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G.W. Methodology and Computing in Applied Probability (2017). doi:10.1007/s11009-017-9545-8
Number of pages: 35 Posted: 26 Feb 2015 Last Revised: 04 Sep 2019
Antonio Dalessandro and Gareth Peters
University College London and University of California Santa Barbara
Downloads 86 (354,367)
Citation 2

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Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators

55.

Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-Moments

Number of pages: 41 Posted: 29 Feb 2016
Gareth Peters, Wilson Chen and Richard H. Gerlach
University of California Santa Barbara, University of Sydney Business School and University of Sydney
Downloads 85 (356,954)
Citation 6

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Non-life Insurance, Claims Modelling, Quantile Models, g-and-h, g-and-k, g-and-j, loss modelling

56.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
University of California Santa Barbara, RiskLab, ETH Zurich and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 84 (359,565)
Citation 1

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claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

57.

Estimation of Cointegrated Spaces: A Numerical Case Study on Efficiency, Accuracy and Influence of the Model Noise

Number of pages: 28 Posted: 16 Feb 2017
Imperial College London - Department of Mathematics, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 83 (362,155)
Citation 1

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Cointegration, Bayesian, Hamiltonian Monte Carlo

58.

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas: Part A

Number of pages: 34 Posted: 22 Jul 2016 Last Revised: 05 Jul 2020
Antonio Dalessandro and Gareth Peters
University College London and University of California Santa Barbara
Downloads 80 (370,042)
Citation 1

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Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor algebra

59.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbara, Macquarie University - Department of Statistics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 80 (370,042)

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Multiple stopping rules, Operational risk, Insurance

60.

Spatial Stackelberg Incentive Mechanism for Privacy-Aware Mobile Crowd Sensing

Journal of Machine Learning Research 1 (2000) 1-48
Number of pages: 31 Posted: 09 May 2018
Jing Yang Koh, Gareth Peters, Ido Nevat and Derek Leong
National University of Singapore (NUS) - Department of Information Systems and Analytics, University of California Santa Barbara, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and Agency for Science, Technology and Research (A*STAR) - Institute for Infocomm Research
Downloads 78 (375,512)

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61.

Spectral Characterization of the Non-Independent Increment Family of Alpha-Stable Processes that Generalize Gaussian Process Models.

Number of pages: 37 Posted: 04 Jan 2017
Mathematics Department, Université Blaise Pascal, University of California Santa Barbara, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 77 (378,290)
Citation 1

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62.

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Quantile Regression

Number of pages: 33 Posted: 12 Feb 2014
Alice Dong, Jennifer Chan and Gareth Peters
The University of Sydney - School of Mathematics and Statistics, The University of Sydney - School of Mathematics and Statistics and University of California Santa Barbara
Downloads 74 (386,839)
Citation 1

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Asymmetric Laplace distribution, Bayesian inference, Markov chain Monte Carlo methods, Quantile regression, loss reserve, risk margin, central estimate

63.

Quantile Diffusions

Number of pages: 29 Posted: 13 Jan 2020 Last Revised: 28 Mar 2021
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 71 (395,757)

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Diffusion processes, order statistics and empirical distributions, quantile functions, stochastic differential equations, Tukey transforms, probability distributions, measure distortions.

64.

Evidence for Persistence and Long Memory Features in Mortality Data

Number of pages: 18 Posted: 30 Jan 2019
Hongxuan Yan, Gareth Peters and Jennifer Chan
The University of Sydney - School of Mathematics and Statistics, University of California Santa Barbara and The University of Sydney - School of Mathematics and Statistics
Downloads 70 (398,800)

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65.

Impact of Insurance for Operational Risk: Is It Worthwhile to Insure or Be Insured for Severe Losses?

Number of pages: 64 Posted: 05 Jun 2017
Gareth Peters, Aaron Byrnes and Pavel V. Shevchenko
University of California Santa Barbara, University of New South Wales (UNSW) and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 67 (408,279)
Citation 4

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Operational Risk, Loss Distributional Approach, Insurance Mitigation, Capital Reduction, α-Stable, Basel II, Solvency II

66.

Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Periods

Number of pages: 39 Posted: 06 Mar 2019 Last Revised: 16 Oct 2020
Yupeng Jiang, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 62 (424,795)

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Ornstein-Uhlenbeck Process, First-Passage-Time, Multiple Barrier-Crossings and Joint Survival Function, Time-Dependent Barriers, Markov Process, Infinite Series Approximation and Tail Convergence, Quadrature and Monte Carlo Schemes, Numerical Efficiency

67.

On Sequential Monte Carlo, Partial Rejection Control and Approximate Bayesian Computation

Probability Surveys, ISSN: 1549-5787 (2008)
Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters, Y. Fan and Scott Sisson
University of California Santa Barbara, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 60 (431,789)

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Asymptotic analysis, Convergence, Interacting particle systems, Sequential Monte Carlo samplers

68.

An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'

Number of pages: 13 Posted: 04 Aug 2015
Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical Mathematics, ESC Rennes School of Business and University of California Santa Barbara
Downloads 59 (435,375)

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

69.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
The Institute of Statistical Mathematics, ESC Rennes School of Business, ESC Rennes School of Business, Independent and University of California Santa Barbara
Downloads 58 (438,902)

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

70.

Sequential Monte Carlo Samplers CUED Technical Report

Number of pages: 24 Posted: 11 May 2021
Pierre Del Moral, Arnaud Doucet and Gareth Peters
Centre de Recherche Inria Bordeaux, University of Cambridge - Department of Engineering and University of California Santa Barbara
Downloads 56 (446,252)
Citation 2

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Monte Carlo, Sequential Monte Carlo

71.

Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series

Number of pages: 25 Posted: 02 Aug 2017
Imperial College London - Department of Mathematics, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 52 (461,121)

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Time Series, Cointegration, Bayesian, Markov Chain Monte Carlo, Hamiltonian Monte Carlo, Geodesic Monte Carlo, Manifold Learning

72.

Infection Rate Models for COVID-19: Model Risk and Public Health News Sentiment Exposure Adjustments.

Number of pages: 34 Posted: 14 Apr 2021
Heriot-Watt University - Department of Computer Science, The University of Sydney - School of Mathematics and Statistics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 48 (477,110)

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COVID-19, GLARMA, growth models, model risk, natural language processing, sentiment analysis

73.

Quantification of Cyber Risk – Risk Categories and Business Sectors

Number of pages: 23 Posted: 11 Jun 2021 Last Revised: 29 Jun 2021
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, Macquarie Business School, Macquarie University - Department of Applied Finance and Actuarial Studies, University of California Santa Barbara, Macquarie University - Department of Statistics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 47 (481,351)

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74.

Statistical Causality for Multivariate Non-Linear Time Series via Gaussian Processes

Number of pages: 36 Posted: 18 Jun 2020
Anna Zaremba and Gareth Peters
affiliation not provided to SSRN and University of California Santa Barbara
Downloads 47 (481,351)

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statistical causality, Granger causality, Generalised Likelihood Ratio Test, nested models, ARD kernel

75.

Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data

Number of pages: 37 Posted: 05 Jun 2017
Efstathios Panayi, Gareth Peters and Ioannis Kosmidis
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara and Department of Statistical Science, University College London
Downloads 46 (485,578)

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Limit Order Book, Liquidity, High Frequency Finance

76.

An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance

Number of pages: 42 Posted: 05 Jun 2017
Pierre Del Moral, Gareth Peters and Christelle Verge
INRIA Bordeaux-Sud Ouest, University of California Santa Barbara and Independent
Downloads 46 (485,578)
Citation 6

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insurance, particle filtering, sequential monte carlo, accept-reject, Feynmann-Kac Interacting Particles

77.

A Bonus-Malus Framework for Cyber Risk Insurance and Optimal Cybersecurity Provisioning

Number of pages: 29 Posted: 19 Mar 2021
Nanyang Technological University (NTU), Nanyang Technological University (NTU), University of California Santa Barbara, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and affiliation not provided to SSRN
Downloads 42 (503,221)

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Cyber risk insurance, Cybersecurity, Bonus-Malus, Stochastic optimal control, Dynamic programming

78.

Option Pricing with Polynomial Chaos Expansion Stochastic Bridge Interpolators and Signed Path Dependence

Number of pages: 45 Posted: 28 May 2020
Fabio Dias and Gareth Peters
University College London - Department of Statistical Science and University of California Santa Barbara
Downloads 42 (503,221)

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option pricing, time series momentum, mixture models, polynomial chaos expansion, signed path dependence

79.

A Copula Based Bayesian Approach for Paid–Incurred Claims Models for Non-Life Insurance Reserving

Number of pages: 40 Posted: 05 Jun 2017
Gareth Peters, Alice Dong and Robert Kohn
University of California Santa Barbara, The University of Sydney - School of Mathematics and Statistics and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 40 (512,543)
Citation 2

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Chain Ladder Models, Claims Reserving, Data Augmentation, Adaptive Markov Chain Monte Carlo

80.

Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 36 (531,868)

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Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II

81.

Likelihood-Free Bayesian Inference for α-Stable Models

Number of pages: 33 Posted: 10 Jun 2017
Gareth Peters, Scott Sisson and Y. Fan
University of California Santa Barbara, University of New South Wales (UNSW) - School of Mathematics and Statistics and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 35 (536,998)
Citation 3

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α-stable distributions; Approximate Bayesian computation; Bayesian inference; Likelihood-free inference; Multivariate models

82.

Bayesian Cointegrated Vector Autoregression Models Incorporating α-Stable Noise for Inter-Day Price Movements Via Approximate Bayesian Computation

Number of pages: 39 Posted: 05 Jun 2017
University of California Santa Barbara, Cochin University of Science and Technology (CUSAT), affiliation not provided to SSRN, affiliation not provided to SSRN and University of Cambridge - Department of Engineering
Downloads 35 (536,998)
Citation 8

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Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation

83.

A Spatiotemporal Analysis of Participatory Sensing Data 'Tweets' and Extreme Climate Events Toward Real-Time Urban Risk Management

This manuscript was presented in the 14th International Conference on Computers in Urban Planning and Urban Management (CUPUM 2015).
Number of pages: 34 Posted: 05 Jun 2017
University of Tsukuba, University of Tsukuba - Graduate School of Systems and Information Engineering, University of California Santa Barbara and Independent
Downloads 34 (542,249)
Citation 1

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heat wave, twitter

84.

Langevin and Hamiltonian Based Sequential MCMC for Efficient Bayesian Filtering in High-Dimensional Spaces

IEEE Journal of Selected Topics in Signal Processing, Special issue on Stochastic Simulation and Optimisation in Signal Processing (2015)
Number of pages: 32 Posted: 06 Jun 2017
Francois Septier and Gareth Peters
Institut Mines-Télécom Business School and University of California Santa Barbara
Downloads 32 (552,853)
Citation 1

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Bayesian inference, filtering, Sequential Monte Carlo, Markov Chain Monte Carlo, state-space model, high-dimensional

85.

Supplement to: 'Spectral Characterization of the Family α-Stable Processes that Generalize Gaussian Process Models.'

Number of pages: 42 Posted: 12 Jan 2017
Mathematics Department, Université Blaise Pascal, University of California Santa Barbara, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 31 (558,311)

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86.

Model Selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Model

Number of pages: 24 Posted: 05 Jun 2017
University of California Santa Barbara, Cochin University of Science and Technology (CUSAT), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 30 (563,973)
Citation 2

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Cointegrated Vector Auto Regression, Adaptive Markov chain Monte Carlo, Bayesian Inference, Bayes Factors, Savage-Dickey

87.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 18 Posted: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes School of Business, Independent, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 28 (575,758)

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

88.

Spatiotemporal Analysis of Urban Heatwaves Using Tukey G-and-H Random Field Models

Number of pages: 41 Posted: 08 May 2020
Daisuke Murakami, Gareth Peters and Tomoko Matsui
University of Tsukuba - Graduate School of Systems and Information Engineering, University of California Santa Barbara and Independent
Downloads 20 (628,574)

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89.

Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Number of pages: 34 Posted: 13 May 2019
Keio University - Faculty of Economics, University of New South Wales, University of California Santa Barbara and University of Technology Sydney (UTS) - UTS Business School
Downloads 19 (635,551)
Citation 1

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Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power

90.

Quantifying the Uncertain Effects of Climate Change on Building Energy Consumption Across the United States

Number of pages: 31 Posted: 26 Aug 2020
Jimeno Fonseca, Ido Nevat and Gareth Peters
ETH, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of California Santa Barbara
Downloads 17 (649,652)

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Climate Change, Energy Consumption, Climate Model, Uncertainty Quantification

91.

Advances in Approximate Bayesian Computation and Trans-Dimensional Sampling Methodology

Number of pages: 499 Posted: 23 Mar 2021
Gareth Peters
University of California Santa Barbara
Downloads 16 (656,813)

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Sequential Monte Carlo Samplers, Approximate Bayesian Computation

92.

Parsimonious Feature Extraction Methods: Extending Robust Probabilistic Projections with Generalized Skew-t

Number of pages: 39 Posted: 12 Nov 2020
School of Mathematical and Physical Sciences, University of Technology Sydney, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 16 (656,813)

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Probabilistic PCA; Feature Extraction; EM Algorithm; Robust Orthogonal Projections; Asymmetric T-Copulas; Skew T-Copula; Grouped T-Copula; Missing Data; Tail Dependence; Dependence Modelling; Cryptocurrencies

93.

Bayesian Spatial Field Reconstruction with Unknown Distortions in Sensor Networks

Number of pages: 44 Posted: 25 Aug 2020
Qikun Xiang, Ido Nevat and Gareth Peters
Nanyang Technological University (NTU), Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of California Santa Barbara
Downloads 11 (694,554)

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Sensor Networks, Gaussian Process, Spatial Linear Unbiased Estimator (SBLUE), Empirical Bayes, Cross Entropy method (CEM), Iterated Conditional Modes (ICM)

94.

On-chain analytics for sentiment-driven statistical causality in cryptocurrencies: Supplementary appendix

Number of pages: 183 Posted: 06 Apr 2021 Last Revised: 21 Jul 2021
Heriot-Watt University - Department of Computer Science, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 2 (766,489)

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Multiple-Output Gaussian Process, Granger causality, sentiment index, sentiment analysis, text mining, multimodal systems, heterogeneous data, cryptocurrencies, cryptocoin markets, natural language processing

95.

On-chain analytics for sentiment-driven statistical causality in cryptocurrencies

Number of pages: 36 Posted: 11 Feb 2021 Last Revised: 21 Jul 2021
Heriot-Watt University - Department of Computer Science, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 2 (766,489)

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Multiple-Output Gaussian Process, Granger causality, sentiment index, sentiment analysis, text mining, multimodal systems, heterogeneous data, cryptocurrencies, cryptocoin markets, natural language processing

96.

A Statistical Analysis of Text: Embeddings, Properties and Time-Series Modeling

Posted: 11 Feb 2021
Heriot-Watt University - Department of Computer Science, University of California Santa Barbara, Heriot-Watt University - Department of Computer Science and Heriot-Watt University - Department of Computer Science

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natural language, text processing, long memory, persistence, multifractal time-series, Brownian bridge, Multiple-Output Gaussian Processes, item-response models, contingency tables

97.

Global Perspectives on Operational Risk Management and Practice: A Survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Journal of Operational Risk, Vol. 13, No. 4, 2018
Number of pages: 42 Posted: 10 Dec 2018
University of California Santa Barbara, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
Downloads 0 (794,889)
Citation 1
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operational risk, risk management, machine learning, clustering, artificial intelligence, regulatory technology

98.

Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

Dalessandro, A., Peters, G.W. Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas. Methodol Comput Appl Probab (2019). https://doi.org/10.1007/s11009-019-09752-2
Posted: 03 Oct 2016 Last Revised: 16 Jul 2020
Antonio Dalessandro and Gareth Peters
University College London and University of California Santa Barbara

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Concordance Measures, Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor Algebra

99.

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, Hoboken, Wiley (2015), 627 pages. ISBN: 978-1-118-90953-9
Posted: 29 Jul 2015
Gareth Peters and Pavel V. Shevchenko
University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics

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operational risk, insurance, heavy tailed risk modelling

100.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Hoboken, Wiley (2015), 899 pages.
Posted: 29 Jul 2015
Marcelo Cruz, Gareth Peters and Pavel V. Shevchenko
New York University (NYU) - Leonard N. Stern School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics

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operational risk, insurance, risk modelling

101.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
University of California Santa Barbara, QinetiQ Ltd, Macquarie University - Department of Actuarial Studies and Business Analytics and University of Cambridge - Department of Engineering

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Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization

102.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich

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Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo