Public Lecture in Financial Risk

Name:Public Lecture in Financial Risk
Calendar:1-day meetings & lectures
When:Mon, April 15, 2019, 12:00 pm - 2:30 pm

Public Lecture in Financial Risk

Date & time: 15 April 2019; 12–2:00pm (lunch 1–2:00pm is provided)
Venue: Macquarie University City Campus, Level 24, 123 Pitt Street, Sydney
Speaker: Prof. Gareth Peters (Chair Professor for Statistics in Risk and Insurance in Heriot-Watt University and Director of Scottish Financial Risk Academy)
Title: Data Analytics for Financial Stress Testing Applications


We develop a new multi-curve modelling framework for the term-structure of interest rates that can generate consistent cross-country stressed scenarios allowing for significant spillover effects between economies. Modern models of the term structure of interest rates typically fail to capture jointly time and cross-curve dependencies and are not used for stress-testing purposes. Our methodology is able to jointly model the temporal and cross-country dependence structure of interest rate curves and associated movements in the interest rates and cross-country spreads with movements in macroeconomic variables as well as market-wide and country-specific measures of liquidity and credit quality. We apply our methodology to generate contemporaneous stressed scenarios to a set of European yield curves. Motivated by the recent Eurozone debt crisis, we apply shocks to Italian and Spanish liquidity and credit variables and evaluate the impact of these shocks on several bond portfolio strategies. The empirical findings suggest that both country-specific liquidity and credit measures are important in explaining the dynamic behaviour of European sovereign interest rate curves and their dependence structure. Nevertheless, their importance varies across time, shock types and investment horizons.

Speaker Biography

Prof. Gareth W. Peters is the Chair Professor for Risk and Insurance in the Department of Actuarial Mathematics and Statistics in Heriot-Watt University in Edinburgh. Previously he held tenured positions in the Department of Statistical Sciences, University College London, UK and the Department of Mathematics and Statistics in University of New South Wales, Sydney, Australia. Prof. Peters is the Director of the Scottish Financial Risk Association. Prof. Peters is also an elected member of the Young Academy of Scotland in the Royal Society of Edinburgh (YAS-RSE) and an elected Fellow of the Institute of Operational Risk (FIOR). He was also the Nachdiploma Lecturer in Machine Learning for Risk and Insurance at ETH Zurich in the Risk Laboratory. He has made in excess of 150 international invited presentations, speaker engagements including numerous key note presentations. He has delivered numerous professional training courses to c-suite executive level industry professionals as well as numerous central banks. He has published in excess of 150 peer reviewed articles on risk and insurance modelling, 2 research text books on Operational Risk and Insurance as well as being the editor and contributor to 3 edited text books on spatial statistics and Monte Carlo methods.



It is a free event but registration is required for catering purposes, please register here:

Location:Macquarie University City Campus, 123 Pitt Street, Sydney Map
Created:08 Apr 2019 07:16 am UTC
Modified:08 Apr 2019 07:23 am UTC
Updated: 08 Apr 2019