The aims and objectives of the Statistics in Finance Research Group are:
- To apply statistical methods to problems in the financial industry
- To develop new statistical methodology arising from the novel challenges presented by these applications
It is very apparent that the level of sophistication of the methods and tools used by banks and financial institutions to control their operations is increasing rapidly, and we aim to continue to be in the vanguard of this development. Our research involves all aspects of mathematics and statistics relating to the finance industry, including fraud detection, portfolio modelling, volatility, systemic risk and risk management.
We have numerous links with organisations within the retail banking sector, and are always involved in discussions with banks and other financial bodies about possible collaborations or research sponsorships. Previous projects have been sponsored by Fair Isaac, Link Financial, and other bodies.
Further info
- Specific areas of research interest within the Statistics in Finance research group
- Impact / Industrial Collaborations / Consultancy
- Limit order books and market microstructure (Pakkanen, Veraart)
- Energy markets (Veraart)
- Volatility modelling and forecasting (Pakkanen, Veraart)
- Systemic risk (Gandy)
- Evaluating scorecards (Hand, Adams)
- Fraud detection (Adams)
- Applications of machine learning in credit risk modelling
- Model risk in retail finance (Adams, with Yazhe Li)
- Credit loss estimation and Loss-given-default
The Statistics in Finance Research Group are active collaborators with the finance industry and have been involved in many successful consultancy projects with several financial institutions over the past thirty years. We usually work through Imperial Consultants (ICON). Some types of consultancy projects we have undertaken are:
- Credit risk model development
- Model validation and evaluation
- Data network analysis
- Fraud detection models
Researchers involved
Professor Niall Adams
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Professor Niall Adams
Professor of Statistics
Professor Philip Ernst
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Professor Philip Ernst
Chair in Statistics and Royal Society Wolfson Fellow
Professor Axel Gandy
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Professor Axel Gandy
Chair in Statistics
Professor David Hand OBE FBA
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Professor David Hand OBE FBA
Senior Research Investigator
Professor Alessandra Luati
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Professor Alessandra Luati
Provost's Visiting Professor of Statistics
Dr Mikko S Pakkanen
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Dr Mikko S Pakkanen
Reader in Data Science and Quantitative Finance
Dr Riccardo Passeggeri
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Dr Riccardo Passeggeri
Lecturer in Statistics
Professor Almut Veraart
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Professor Almut Veraart
Professor of Statistics
Contact Us
Statistics section administrator:
Trish Watson
Huxley Building, Room 627
E-mail Trish
Address:
Department of Mathematics
180 Queen's Gate
South Kensington Campus
Imperial College London
London SW7 2AZ
United Kingdom
