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 of California, Santa Barbara

  • University of California Santa Barbara

SCHOLARLY PAPERS

123

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160

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105

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“  Always happy to discuss collaborations and research projects, get in touch if you have an interesting project to discuss.  ”

  • University of California Santa Barbara

Scholarly Papers (123)

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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 6,221 (2,077)
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 4,134 (4,200)
Citation 1

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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 3,086 (6,850)
Citation 80

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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 2,084 (12,739)
Citation 5

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Machine Learning, Risk, Insurance, Statistical Learning

5.

Understanding Cyber-Risk and Cyber-Insurance

Downloads 1,407 (23,427)
Citation 6

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 1,008 (37,266)
Citation 8

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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
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 399 (123,887)
Citation 3

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

6.

Standardized Measurement Approach for Operational Risk: Pros and Cons

Number of pages: 18 Posted: 04 Jun 2016
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
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 963 (40,530)
Citation 2

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7.

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 847 (48,230)
Citation 2

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Blockchain; Blockchain transaction reporting; Trade reporting; Transparency

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 734 (58,518)
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.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 468 (102,832)
Citation 5

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

10.

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

Downloads 465 (104,482)
Citation 20

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

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 22 Feb 2018
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 352 (141,586)
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
Gareth Peters, Pavel V. Shevchenko, Ruben Cohen and Diane Maurice
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Independent and Central Bank of Tunisia
Downloads 113 (409,696)
Citation 18

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

11.

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 443 (110,610)
Citation 2

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

12.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 342 (148,542)
Citation 4

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

13.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 335 (150,364)
Citation 1

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

14.

Market Resilience

Number of pages: 51 Posted: 11 May 2018
Jon Danielsson, Efstathios Panayi, Gareth Peters and Jean-Pierre Zigrand
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 311 (163,828)
Citation 3

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

15.

Hybrid ARDL-MIDAS-Transformer Time-Series Regressions for Multi-Topic Crypto Market Sentiment Driven by Price and Technology Factors

Number of pages: 57 Posted: 21 Aug 2021 Last Revised: 03 Sep 2021
Ioannis Chalkiadakis, Gareth Peters, Matthew Ames and Matthew Ames
Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611, University of California Santa Barbara and The Institute of Statistical MathematicsResilientML
Downloads 306 (165,545)

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MIDAS; Transformer; multi-scale resolution data; sentiment modelling; natural language processing; Gegenbauer long memory

16.

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 287 (177,100)
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

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 281 (180,996)
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.

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 278 (182,953)
Citation 13

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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

19.

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
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 276 (186,318)
Citation 2

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

20.

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 271 (188,396)
Citation 2

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

21.

Covariance Forecasting Methods for Dynamic Asset Allocation

Number of pages: 16 Posted: 05 Jan 2021
Kongsak Tipakornrojanakit, Mantana Chudtong, Gareth Peters and Pairote SATIRACOO
affiliation not provided to SSRN, Mahidol University, University of California Santa Barbara and affiliation not provided to SSRN
Downloads 263 (195,676)

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

22.

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 263 (193,472)
Citation 2

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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

23.

Quantification of Cyber Risk – Risk Categories and Business Sectors

Number of pages: 23 Posted: 11 Jun 2021 Last Revised: 29 Jun 2021
Pavel V. Shevchenko, Jiwook Jang, Matteo Malavasi, Gareth Peters, Georgy Sofronov and Stefan Trück
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, Macquarie Business School, University of New South Wales (UNSW) - School of Actuarial Studies, University of California Santa Barbara, Macquarie University - Department of Mathematics and Statistics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 240 (214,196)
Citation 2

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24.

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

Downloads 235 (218,777)
Citation 8

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
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
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 235 (218,050)
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
Gareth Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
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

25.

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, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 231 (222,466)
Citation 2

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

26.

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 216 (234,033)
Citation 5

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

27.

Mechanisms to Incentivise Fossil Fuel Divestment and Implications on Portfolio Risk and Returns

Number of pages: 95 Posted: 17 Jun 2022 Last Revised: 14 Feb 2023
Pasin Marupanthorn, Christina Sklibosios Nikitopoulos, Eric Ofosu-Hene, Gareth Peters, Kylie-Anne Richards and Kylie-Anne Richards
Heriot-Watt University, University of Technology Sydney - Business School, De Montfort University, University of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 211 (242,312)

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Decarbonization, Fossil Fuel Divestment, Emission Reduction Investing, Portfolio Analysis, ETF

28.

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
Emmanouil Karimalis, Ioannis Kosmidis and Gareth Peters
Bank of England, Department of Statistical Science, University College London and University of California Santa Barbara
Downloads 210 (240,204)
Citation 1

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

29.

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 209 (241,267)
Citation 2

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operational risk; loss distribution approach; Basel II

30.

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

Downloads 203 (251,332)
Citation 4

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

Number of pages: 44 Posted: 31 Jan 2017 Last Revised: 22 Oct 2019
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 134 (359,404)
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
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 69 (551,856)
Citation 1

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

31.

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 201 (250,115)
Citation 1

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

32.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015
Efstathios Panayi, Gareth Peters, Jon Danielsson and Jean-Pierre Zigrand
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 199 (252,452)
Citation 1

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

33.

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
Rodrigo Targino, Gareth Peters and Pavel V. Shevchenko
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 197 (254,687)
Citation 2

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

34.

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 189 (264,354)

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

35.

Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series

Number of pages: 61 Posted: 07 Sep 2021 Last Revised: 21 Jun 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 186 (269,505)
Citation 1

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Time Series Analysis, Empirical Mode Decomposition, Fourier Analysis, Wavelet Analysis, Independent Component Analysis, X11, Non-Stationary, Graduation, Signal Decomposition

36.

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
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics and RiskLab, ETH Zurich
Downloads 184 (274,590)

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

37.

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
Kylie-Anne Richards, Kylie-Anne Richards, Gareth Peters and William Dunsmuir
University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School, University of California Santa Barbara and University of New South Wales
Downloads 182 (277,288)
Citation 3

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

38.

Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 48 Posted: 25 Oct 2021 Last Revised: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 177 (280,055)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

39.

Foundations & Quantitative Aspects of Operational Risk Modelling

Number of pages: 317 Posted: 18 May 2021 Last Revised: 22 Mar 2023
Gareth Peters
University of California Santa Barbara
Downloads 175 (282,852)

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Operational Risk, Quantitative Risk, Risk Management, Loss Models

40.

Quantile Diffusions for Risk Analysis

Number of pages: 34 Posted: 13 Jan 2020 Last Revised: 13 Sep 2021
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 172 (291,485)

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Diffusions, order statistics and empirical distributions, quantile functions, stochastic differential equations, Tukey transforms, probability measure distortions, dynamic tilting, Wang transform, risk.

41.

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 169 (291,485)
Citation 1

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

42.

Tutorial on General Quantile Time Series Constructions

Number of pages: 33 Posted: 23 Oct 2017
Gareth Peters
University of California Santa Barbara
Downloads 165 (297,466)

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

43.

Understanding Operational Risk Capital Approximations: First and Second Orders

Downloads 163 (305,168)
Citation 5

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
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
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 85 (498,761)

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Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
University of California Santa Barbara, University College London - Department of Statistical Science and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 78 (514,072)
Citation 8

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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

44.

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

Number of pages: 30 Posted: 01 May 2017
Maciej Marówka, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 161 (303,569)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

45.

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

Number of pages: 19 Posted: 18 Jun 2014
Matthew Ames, Matthew Ames, Gareth Peters, Guillaume Bagnarosa and Ioannis Kosmidis
The Institute of Statistical MathematicsResilientML, University of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 155 (313,461)

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

46.

GLS Kernel Regression for Network-Structured Data

Number of pages: 33 Posted: 30 Aug 2021
Edward Antonian, Gareth Peters, Mike J. Chantler and Hongxuan Yan
Heriot-Watt University, University of California Santa Barbara, Heriot-Watt University - Department of Computer Science and Chinese Academy of Sciences (CAS)
Downloads 152 (318,738)
Citation 1

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Graph Signal Processing, Regression, Kernel

47.

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 145 (331,114)

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

48.

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
Gareth Peters, George Clark, John Thirlwell and Manoj Kulwal
University of California Santa Barbara, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
Downloads 144 (342,292)

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49.

A Feature-Ranking Framework for IoT Device Classification

Number of pages: 8 Posted: 03 Dec 2018
Bharat Atul Desai, Dinil Mon Divakaran, Ido Nevat, Gareth Peters and Mohan Gurusamy
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 143 (334,711)
Citation 2

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

50.

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 139 (344,264)
Citation 1

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

51.

Topics in Sequential Monte Carlo Samplers

Number of pages: 186 Posted: 23 Mar 2021
Gareth Peters
University of California Santa Barbara
Downloads 138 (344,264)
Citation 11

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Sequential Monte Carlo Samplers

52.

The Role and Significance of Green Bonds in Funding Transition to a Low Carbon Economy: A Case Study Forecasting Portfolios of Green Bond Instrument Returns

Number of pages: 43 Posted: 23 Dec 2022
Gareth Peters, Rui Zhu, George Tzougas, Giovanni Rabitti and Ismaila Yusuf
University of California Santa Barbara, Bayes Business School, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Heriot-Watt University and Department of Accounting, Federal University, Dutsin-Ma
Downloads 137 (346,207)

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Green Bonds, Low Carbon Economy Transition, Seasona Autoregressive Integrated Moving Average Distributed Lag regressions (SARIMAX), Long Short Term Memory (LSTM)

53.

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
Dorota Toczydlowska, Gareth Peters, Simon Man Chung Fung and Pavel V. Shevchenko
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 136 (354,223)
Citation 1

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

54.

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
Efstathios Panayi, Gareth Peters and George Kyriakides
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara and Kyiakides Mushrooms Ltd.
Downloads 131 (358,291)

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

55.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth Peters, Mario V. Wuthrich and Pavel V. Shevchenko
University of California Santa Barbara, RiskLab, ETH Zurich and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 130 (360,417)
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

56.

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

Number of pages: 7 Posted: 07 Dec 2015
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 130 (364,555)
Citation 9

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

57.

DivFolio: A Shiny Application for Portfolio Divestment in Green Finance Wealth Management

Number of pages: 56 Posted: 15 Feb 2023
Pasin Marupanthorn, Gareth Peters, Eric Ofosu-Hene, Christina Sklibosios Nikitopoulos, Kylie-Anne Richards and Kylie-Anne Richards
Heriot-Watt University, University of California Santa Barbara, De Montfort University, University of Technology Sydney - Business School and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 128 (364,555)

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Shiny application, ESG investing , Fossil-fuel divestment, Portfolio management

58.

Dynamic Quantile Function Models

Number of pages: 37 Posted: 17 Jul 2017
Wilson Chen, Gareth Peters, Richard H. Gerlach and Scott Sisson
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 124 (377,903)

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

59.

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, The University of Manchester and University of California Santa Barbara
Downloads 123 (375,601)
Citation 1

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

60.

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

Number of pages: 44 Posted: 31 May 2016
Simon Man Chung Fung, Gareth Peters and Pavel V. Shevchenko
Commonwealth Bank of Australia, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 123 (375,601)
Citation 6

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

61.

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 122 (377,903)
Citation 2

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

62.

Machine Learning Mitigants for Speech Based Cyber Risk

Number of pages: 73 Posted: 31 Jul 2020 Last Revised: 25 Aug 2021
Marta Campi, Gareth Peters, Nourddine Azzaoui and Tomoko Matsui
Institut Pasteur - Hearing Institute, University of California Santa Barbara, Mathematics Department, Université Blaise Pascal and The Institute of Statistical Mathematics
Downloads 119 (384,852)

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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

63.

Efficient Sequential Monte-Carlo Samplers for Bayesian Inference

Number of pages: 33 Posted: 06 Jun 2017
Thi Nguyen, Francois Septier, Gareth Peters and Yves Delignon
Institut Mines-Télécom Business School, Institut Mines-Télécom Business School, University of California Santa Barbara and Institut Mines-Télécom Business School
Downloads 118 (387,223)

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Bayesian inference, Sequential Monte Carlo sampler, complex models

64.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Suikai Gao, Tomoko Matsui and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, ESC Rennes School of Business, The Institute of Statistical Mathematics and University of California Santa Barbara
Downloads 117 (389,562)

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

65.

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
Maciej Marówka, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 114 (399,513)
Citation 1

Abstract:

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Cointegration, Bayesian, Hamiltonian Monte Carlo

66.

Cyber Risk Frequency, Severity and Insurance Viability

Number of pages: 42 Posted: 05 Nov 2021
Matteo Malavasi, Gareth Peters, Pavel V. Shevchenko, Stefan Trück, Jiwook Jang and Georgy Sofronov
University of New South Wales (UNSW) - School of Actuarial Studies, University of California Santa Barbara, Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Macquarie University, Macquarie Business School and Macquarie University - Department of Mathematics and Statistics
Downloads 110 (415,504)

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cyber risk, GAMLSS, cyber risk insurance, ordinal regression

67.

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 110 (407,458)

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68.

Package CovRegpy: Regularised Covariance Regression and Forecasting in Python

Number of pages: 49 Posted: 04 Mar 2023 Last Revised: 24 Jun 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 108 (412,758)

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Portfolio Optimisation, Regularised Covariance Regression (RCR), Empirical Mode Decomposition (EMD), Singular Spectrum Analysis (SSA), Singular Spectrum Decomposition (SSD), X11, Implicit Factors, Risk Premia Parity, Risk Parity, Long\Short Equity

69.

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 108 (412,758)
Citation 1

Abstract:

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

70.

Ataxic Speech Disorders and Parkinson's Disease Diagnostics via Stochastic Embedding of Empirical Mode Decomposition

Number of pages: 42 Posted: 03 Aug 2022 Last Revised: 13 Jan 2023
Marta Campi, Gareth Peters and Dorota Toczydlowska
Institut Pasteur - Hearing Institute, University of California Santa Barbara and School of Mathematical and Physical Sciences, University of Technology Sydney
Downloads 106 (418,203)

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Empirical Mode Decomposition, Time-Frequency, Cross-Entropy, Gaussian Processes, Multi-Kernel Learning, Speech Recognition, Parkinson's Disease

71.

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 106 (418,203)

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

72.

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 103 (435,678)

Abstract:

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73.

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
Nourddine Azzaoui, Gareth Peters, Arnaud Guillin and Malcolm Egan
Mathematics Department, Université Blaise Pascal, University of California Santa Barbara, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 103 (426,832)
Citation 1

Abstract:

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74.

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, Antonio Dalessandro and Gareth Peters
University College LondonUBS AG and University of California Santa Barbara
Downloads 103 (426,832)
Citation 2

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Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators

75.

Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times

Number of pages: 26 Posted: 07 Oct 2014 Last Revised: 18 Feb 2015
Rodrigo Targino, Gareth Peters, Georgy Sofronov and Pavel V. Shevchenko
Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, University of California Santa Barbara, Macquarie University - Department of Mathematics and Statistics and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 101 (432,794)

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Multiple stopping rules, Operational risk, Insurance

76.

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 100 (435,678)
Citation 7

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

77.

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, Antonio Dalessandro and Gareth Peters
University College LondonUBS AG and University of California Santa Barbara
Downloads 95 (450,649)
Citation 1

Abstract:

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

78.

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, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 92 (460,173)

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

79.

Stochastic Measure Distortions Induced by Quantile Processes for Risk Quantification and Valuation

Number of pages: 32 Posted: 14 Dec 2021 Last Revised: 15 Dec 2021
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 91 (463,279)

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Quantile processes, stochastic ordering, distortion of probability measures, distortion-based pricing, stochastic valuation principle and premium calculation, dynamic risk-loading, Tukey gh-transform, Radon-Nikodym derivative, skewness, kurtosis, and further higher moments.

80.

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

Number of pages: 29 Posted: 19 Mar 2021
Qikun Xiang, Ariel Neufeld, Gareth Peters, Ido Nevat and Anwitaman Datta
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 90 (476,327)

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

81.

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 89 (469,711)

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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

82.

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 89 (469,711)
Citation 6

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

83.

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 86 (486,765)
Citation 8

Abstract:

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Monte Carlo, Sequential Monte Carlo

84.

Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity

Number of pages: 30 Posted: 14 Mar 2022 Last Revised: 29 Mar 2023
Gareth Peters, Matteo Malavasi, Georgy Sofronov, Pavel V. Shevchenko, Stefan Trück and Jiwook Jang
University of California Santa Barbara, University of New South Wales (UNSW) - School of Actuarial Studies, Macquarie University - Department of Mathematics and Statistics, Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 84 (497,357)

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Cyber risk, cyber insurance, model risk, risk sensitivity, robust estimation, robust dependence estimation

85.

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 82 (493,733)

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

86.

Assessing Portfolio Diversification via Two-Sample Graph Kernel Inference. A Case Study on the Influence of ESG Screening

Number of pages: 46 Posted: 08 Feb 2023
Ragnar Gudmundarson and Gareth Peters
Heriot-Watt University and University of California Santa Barbara
Downloads 80 (501,026)

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graph hypothesis testing, financial risk, Environmental, Social, and Governance (ESG), graph kernel, kernel maximum mean discrepancy (MMD)

87.

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 74 (523,905)

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

88.

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

Number of pages: 25 Posted: 02 Aug 2017
Maciej Marówka, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 74 (523,905)

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

89.

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

Number of pages: 34 Posted: 14 Apr 2021
Ioannis Chalkiadakis, Hongxuan Yan, Gareth Peters and Pavel V. Shevchenko
Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611, 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 73 (527,928)
Citation 1

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

90.

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 67 (566,371)

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Limit Order Book, Liquidity, High Frequency Finance

91.

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 66 (557,349)
Citation 6

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

92.

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
Gareth Peters, Pavel V. Shevchenko, Mark Young and Wendy Yip
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 65 (561,881)

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

93.

Analysis of Option-Like Fund Performance Fees in Asset Management via Monte Carlo Actuarial Distortion Pricing

Number of pages: 41 Posted: 25 Oct 2021
Mantana Chudtong, Gareth Peters and Andrea De Gaetano
Mahidol University, University of California Santa Barbara and National Research Council of Italy
Downloads 63 (570,840)

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Performance-fee pricing; Mutual fund; Distortion Pricing; Monte Carlo, Retirement Savings Costs

94.

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

Number of pages: 18 Posted: 16 Jan 2019
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 62 (575,291)

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

95.

Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

Number of pages: 51 Posted: 21 May 2023 Last Revised: 30 Aug 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 58 (594,299)

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Risk parity, Risk premia parity, long/short equity, active fund management, portfolio optimisation, empirical mode decomposition, EMD, singular spectrum analysis, SSA, singular spectrum decomposition, SSD, regularised covariance regression, RCR, expectation maximization

96.

Spatio-Temporal Generalised Hyperbolic Models with Application to Heatwave Prediction

Number of pages: 22 Posted: 08 Feb 2023
Daisuke Murakami, Gareth Peters, Francois Septier and Tomoko Matsui
University of Tsukuba - Graduate School of Systems and Information Engineering, University of California Santa Barbara, Institut Mines-Télécom Business School and The Institute of Statistical Mathematics
Downloads 56 (604,341)

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Spatio-temporal model, generalised hyperbolic distribution, heatwave, temperature extremes, mixture Kalman filter, Importance Sampling

97.

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 55 (609,383)
Citation 3

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

98.

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 50 (636,020)
Citation 3

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

99.

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 49 (641,586)
Citation 1

Abstract:

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

100.

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 46 (658,731)
Citation 1

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Climate Change, Energy Consumption, Climate Model, Uncertainty Quantification

101.

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 The Institute of Statistical Mathematics
Downloads 45 (664,592)

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102.

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
Gareth Peters, Balakrishnan Kannan, Ben Lasscock, Chris Mellen and Simon Godsill
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 44 (670,437)
Citation 8

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Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation

103.

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
Yoshiki Yamagata, Daisuke Murakami, Gareth Peters and Tomoko Matsui
University of Tsukuba, University of Tsukuba - Graduate School of Systems and Information Engineering, University of California Santa Barbara and The Institute of Statistical Mathematics
Downloads 43 (676,612)
Citation 1

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heat wave, twitter

104.

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

Number of pages: 34 Posted: 13 May 2019
Simon Clinet, William Dunsmuir, Gareth Peters, Kylie-Anne Richards and Kylie-Anne Richards
Kepler Cheuvreux, University of New South Wales, University of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 42 (682,873)
Citation 1

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

105.

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

Number of pages: 42 Posted: 12 Jan 2017
Nourddine Azzaoui, Gareth Peters, Arnaud Guillin and Malcolm Egan
Mathematics Department, Université Blaise Pascal, University of California Santa Barbara, Mathematics Department, Université Blaise Pascal and Université Blaise Pascal (Clermont-Ferrand II)
Downloads 42 (682,873)

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106.

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

Number of pages: 24 Posted: 05 Jun 2017
Gareth Peters, Balakrishnan Kannan, Ben Lasscock and Chris Mellen
University of California Santa Barbara, Cochin University of Science and Technology (CUSAT), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 40 (695,646)
Citation 2

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

107.

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

Number of pages: 183 Posted: 06 Apr 2021 Last Revised: 24 Nov 2021
Ioannis Chalkiadakis, Anna Zaremba, Gareth Peters and Mike J. Chantler
Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 37 (715,570)

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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

108.

Iterative Methods for Signal Reconstruction on Product Graphs with Arbitrary Missing Data

Number of pages: 45 Posted: 21 Nov 2022 Last Revised: 12 Jul 2023
Edward Antonian, Gareth Peters and Mike J. Chantler
Heriot-Watt University, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 32 (751,275)

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Graph, Network, Regression, Reconstruction, Cartesian Product Graph

109.

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

110.

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

Number of pages: 39 Posted: 12 Nov 2020
Dorota Toczydlowska, Gareth Peters and Pavel V. Shevchenko
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 29 (774,216)

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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

111.

Supplement to: Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 13 Posted: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 27 (789,885)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

112.

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 26 (797,940)

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Sequential Monte Carlo Samplers, Approximate Bayesian Computation

113.

Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics

Number of pages: 20 Posted: 23 Jun 2023
Peilun He, Nino Kordzakhia, Gareth Peters and Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 24 (814,678)

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Polynomial Diffusion, Future Dynamics, Multi-Factor Models

114.

PDSim: A Shiny App for Polynomial Diffusion Model Simulation and Estimation

Number of pages: 6 Posted: 06 Jul 2023
Peilun He, Nino Kordzakhia, Gareth Peters and Pavel V. Shevchenko
Macquarie University - Department of Actuarial Studies and Business Analytics, Macquarie University, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
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polynomial diffusion model, state-space model, Kalman Filter, shiny applcation

115.

Vocal and Text Emotion Formant Analysis with Graph Lasso and Empirical Mode Decomposition in Political Speech

Posted: 13 Feb 2023
Marta Campi, Ioannis Chalkiadakis and Gareth Peters
Institut Pasteur - Hearing Institute, Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611 and University of California Santa Barbara

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EMD, Graph Lasso, Sentiment Analysis, Text Features

116.

On-chain Analytics for Sentiment-driven Statistical Causality in Cryptocurrencies

Posted: 11 Feb 2021 Last Revised: 22 Nov 2021
Ioannis Chalkiadakis, Anna Zaremba, Gareth Peters and Mike J. Chantler
Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611, affiliation not provided to SSRN, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science

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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

117.

A Stochastic Gaussian Process-driven model for Text Data

Posted: 11 Feb 2021 Last Revised: 16 Aug 2023
Ioannis Chalkiadakis and Gareth Peters
Institut des Systèmes Complexes de Paris Île-de-France / CNRS - UAR 3611 and University of California Santa Barbara

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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

118.

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
Gareth Peters, George Clark, John Thirlwell and Manoj Kulwal
University of California Santa Barbara, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
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operational risk, risk management, machine learning, clustering, artificial intelligence, regulatory technology

119.

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, Antonio Dalessandro and Gareth Peters
University College LondonUBS AG 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

120.

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

121.

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

122.

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
Gareth Peters, Mark Briers, Pavel V. Shevchenko and Arnaud Doucet
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

123.

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

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
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

Other Papers (2)

Total Downloads: 20
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1.

Supplementary Material for Ataxic Speech Disorders and Parkinson's Disease Diagnostics via Stochastic Embedding of Empirical Mode Decomposition

Number of pages: 10 Posted: 16 Aug 2022 Last Revised: 17 Jan 2023
Marta Campi, Gareth Peters and Dorota Toczydlowska
Institut Pasteur - Hearing Institute, University of California Santa Barbara and School of Mathematical and Physical Sciences, University of Technology Sydney
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2.

Consistently Combining Multi-Factor Stochastic Oil Commodity Models with Observed Exogenous Explanatory Regression Factors: Perspectives from Speculators and Hedgers

Posted: 20 Sep 2016
Matthew Ames, Matthew Ames, Gareth Peters, Guillaume Bagnarosa, Pavel V. Shevchenko and Tomoko Matsui
The Institute of Statistical MathematicsResilientML, University of California Santa Barbara, ESC Rennes School of Business, Macquarie University - Department of Actuarial Studies and Business Analytics and The Institute of Statistical Mathematics

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Crude Oil, Short-Term and Long-Term Factors, Macroeconomical Factors, Risk Premium, Term Structure