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The largest investment banks in London each have thousands of servers largely devoted to Monte Carlo simulations, and to quantify their risks and satisfy regulatory demands they need to be able to calculate huge numbers of sensitivities (defined below) known collectively as "Greeks". An adjoint technique developed by Professor Mike Giles in 2006 greatly reduced the computational complexity of these calculations. The technique is used extensively by Credit Suisse and other major banks, reducing their computing costs and energy consumption. It has also led to the Numerical Algorithms Group developing new software to support the banks in exploiting this new adjoint approach to computing sensitivities.
In 2010, the new Conservative government established the Office for Budgetary Responsibility (OBR) to provide independent and authoritative analysis of the UK's public finances. The economic case for an independent body to monitor fiscal policy was based on research by Professor Simon Wren-Lewis and his co-authors into fiscal policy rules and optimal debt policy. This research has provided important inputs to policymakers' thinking about fiscal councils, both in the UK and overseas. Work by Professor Wren-Lewis has strongly influenced and shaped the design and subsequent development of the UK's Office for Budgetary Responsibility.
The demise of Lehman Brothers in 2008 marked the start of the current financial crisis and illustrated some of the adverse consequences of linkages between banks. The prospect of systemic crises has concerned bank regulators and monetary policy authorities for many years. Research by Professor Altunbaş at Bangor Business School, in close collaboration with the European Central Bank (ECB), has had substantial impact over 2008-2013 by influencing priorities in the international policy debate on how bank innovation can influence the conduct of monetary policy. It shows that the effectiveness of traditional monetary policy transmission mechanisms (such as the bank lending channel) is reduced by securitization activity and this also exacerbates the risk-taking channel of monetary policy. Evidence of the impact and overall scope of Professor Altunbaş' research is reflected in reference to his research at the highest monetary policy levels in Europe as well as widespread recognition in official central bank and international organization publications.
Small area estimation (SAE) describes the use of Bayesian modelling of survey and administrative data in order to provide estimates of survey responses at a much finer level than is possible from the survey alone. Over the recent past, academic publications have mostly targeted the development of the methodology for SAE using small-scale examples. Only predictions on the basis of realistically sized samples have the potential to impact on governance and our contribution is to fill a niche by delivering such SAEs on a national scale through the use of a scaling method. The impact case study concerns the use of these small area predictions to develop disease-level predictions for some 8,000 GPs in England and so to produce a funding formula for use in primary care that has informed the allocation of billions of pounds of NHS money. The value of the model has been recognised in NHS guidelines. The methodology has begun to have impact in other areas, including the BIS `Skills for Life' survey.
Since its launch in 2009, the mobile phone package price comparison tool Billmonitor has identified £35 million worth of savings available to the 110,000 users whose bills have been analysed. It was the first price comparison tool to be accredited by Ofcom and it has been widely praised in the media. Exploiting techniques that they had developed for applications in finance and genetics, University of Oxford researchers Chris Holmes and Nicolai Meinshausen developed the statistical algorithms underpinning the package, which uses simulation-based inference and careful statistical modelling to analyse users' phone bill data. It searches over 2.4 million available packages to identify the best mobile phone deal for each user's particular pattern of usage. Widely quoted in the press, reports in 2011 and 2012 from the Billmonitor team estimated that approximately three quarters of mobile phone customers are on the wrong tariff, with an overspend of around 40%.
Research conducted by Professor Wrigley of the University of Southampton has had a major impact on retail sector practices and government retail policy. Retail is a key sector of the economy. Gross value added (GVA) by the sector has risen by over 50% in real terms over the past 15 years. Wrigley's research established the key role of food retail in disadvantaged communities as a tool for both urban regeneration and a response to the `obesity epidemic'. Its impact has reset the parameters of policy debate on retail competition and contributed to both the evidence base and policy formulation on the future of the high street in the face of case of economic crisis and changing retail practices. These impacts have had national and global reach on UK and US government policies and have been significant in the launch of a large-scale experiment to eradicate `food deserts' (areas lacking healthy foods) in Philadelphia. The impacts have also been instrumental in convincing the retail industry of the value of academic research.
Wavelets and multiscale methods were introduced and rapidly became popular in scientific academic communities, particularly mathematical sciences, from the mid-1980s. Wavelets are important because they permit more realistic modelling of many real-world phenomena compared to previous techniques, as well as being fast and efficient. Bristol's research into wavelets started in 1993, has flourished and continues today. Multiscale methods are increasingly employed outside academia. Examples are given here of post-2008 impact in central banking, marketing, finance, R&D in manufacturing industry and commercial software, all originating from research at Bristol. Much of the impact has been generated from the original research via software. This software includes freeware, distributed via international online repositories, and major commercial software, such as Matlab (a preeminent numerical computing environment and programming language with over one million users worldwide).
Essex research, conducted between 1994 and 2010, has provided a new way for the UK Government to measure income poverty, leading to a measure of persistent poverty being included in the Child Poverty Act 2010. The research has enriched policymakers' understanding of changes in inequality and provided a framework for the analysis of poverty dynamics. It has also changed the way in which the Joseph Rowntree Foundation approaches its research and policy work on poverty. A sub-strand of work, on how incomes change after couples separate, has informed policy development work by the charity Gingerbread.
This case study concerns the work of Professor David Spiegelhalter as Winton Professor for the Public Understanding of Risk at the University of Cambridge. Based on his research on risk communication, he has made numerous contributions to public service, influencing the way health screening information is given to the public, and public policy on breast implants and plain packaging of cigarettes. In addition, through lectures, Twitter, radio and TV appearances he has become a popular commentator on risk issues and reached a substantial segment of the UK public. He has had a continuing impact on the way that statistics, risk and uncertainty are discussed in the UK today.
The risk of a systemic crisis and the inability of depositors to monitor how banks are governed are long-standing public policy concerns. Since joining Bangor University in 2008 Professor Klaus Schaeck and collaborators from central banks and international financial organisations have worked to inform the global policy debate on these issues. Specifically, how varying competitive conditions, corporate governance structures and regulatory innovations incentivise the development of safer and sounder banking systems. Notable impacts of Schaeck's research since 2008 include: the use by central banks of his new methodology to gauge banking sector competition; priority change in the policy debate over the structure of bank boards and, in particular, the influence of female executives; and finally heightened policy awareness of the unintended consequences of regulations imposed on troubled or bailed-out banks.