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In response to the deficiencies in bank risk management revealed following the 2008 financial crisis, one of the mandated requirements under the Basel III regulatory framework is for banks to backtest the internal models they use to price their assets and to calculate how much capital they require should a counterparty default. Qiwei Yao worked with the Quantitative Analyst — Exposure team at Barclays Bank, which is responsible for constructing the Barclays Counterpart Credit Risk (CCR) backtesting methodology. They made use of several statistical methods from Yao's research to construct the newly developed backtesting methodology which is now in operation at Barclays Bank. This puts the CCR assessment and management at Barclays in line with the Basel III regulatory capital framework.
A generalized additive model (GAM) explores the extent to which a single output variable of a complex system in a noisy environment can be described by a sum of smooth functions of several input variables.
Bath research has substantially improved the estimation and formulation of GAMs and hence
This improved statistical infrastructure has resulted in improved data analysis by practitioners in fields such as natural resource management, energy load prediction, environmental impact assessment, climate policy, epidemiology, finance and economics. In REF impact terms, such changes in practice by practitioners leads ultimately to direct economic and societal benefits, health benefits and policy changes. Below, these impacts are illustrated via two specific examples: (1) use of the methods by the energy company EDF for electricity load forecasting and (2) their use in environmental management. The statistical methods are implemented in R via the software package mgcv, largely written at Bath. As a `recommended' R package mgcv has also contributed to the global growth of R, which currently has an estimated 1.2M business users worldwide [A].
The WinBUGS software (and now OpenBUGS software), developed initially at Cambridge from 1989-1996 and then further at Imperial from 1996-2007, has made practical MCMC Bayesian methods readily available to applied statisticians and data analysts. The software has been instrumental in facilitating routine Bayesian analysis of a vast range of complex statistical problems covering a wide spectrum of application areas, and over 20 years after its inception, it remains the leading software tool for applied Bayesian analysis among both academic and non-academic communities internationally. WinBUGS had over 30,000 registered users as of 2009 (the software is now open-source and users are no longer required to register) and a Google search on the term `WinBUGS' returns over 205,000 hits (over 42,000 of which are since 2008) with applications as diverse as astrostatistics, solar radiation modelling, fish stock assessments, credit risk assessment, production of disease maps and atlases, drug development and healthcare provider profiling.
This impact case is based on economic impact through improved forecasting technology. It shows how research in pattern recognition by Professor Henry Wu at the School of Electrical Engineering and Computer Science led to significantly improved accuracy of daily national gas demand forecasting by National Grid plc. The underpinning research on predicting non-linear time series began around 2002 and the resulting new prediction methodology is applied on a daily basis by National Grid plc since December 2011. The main beneficiaries from the improved accuracy (by 0.5 to 1 million cubic meters per day) are UK gas shippers, who by conservative estimates save approximately £3.5M per year. Savings made by gas shippers benefit the whole economy since they reduce the energy bills of end users.
Research conducted in UCL's Department of Statistical Science has led to the development of a state-of-the-art software package for generating synthetic weather sequences, which has been widely adopted, both in the UK and abroad. The synthetic sequences are used by engineers and policymakers when assessing the effectiveness of potential mitigation and management strategies for weather-related hazards such as floods. In the UK, the software package is used for engineering design; for example, to inform the design of flood defences. In Australia it is being used to inform climate change adaptation strategies. Another significant impact is that UCL's analysis of rainfall trends in southwest Western Australia directly supported the decision of the state's Department of Water to approve the expansion of a seawater desalination plant at a cost of around AUS$450 million. The capacity of the plant was doubled to 100 billion litres per year in January 2013 and it now produces nearly one third of Perth's water supply.
Our research team has developed new approaches to classifying demand series as `intermittent' and `lumpy', and devised new variants of the standard Croston's method for intermittent demand forecasting, which improve forecast accuracy and stock performance. These approaches have impacted the forecasting software of Syncron and Manugistics, through the team's consultancy advice and knowledge transfer. Subsequently, this impact has extended to Syncron International and JDA Software, which took over Manugistics. These companies' forecasting software packages have a combined client base turnover of over £200 billion per annum, and their clients benefit from substantial inventory savings from the new approaches adopted.
With global demand for energy ever increasing, environmental impact has become a major priority for the oil industry. A collaboration between researchers at the University of Glasgow and Shell Global Solutions has developed GWSDAT (GroundWater Spatiotemporal Data Analysis Tool). This easy-to-use interactive software tool allows users to process and analyse groundwater pollution monitoring data efficiently, enabling Shell to respond quickly to detect and evaluate the effect of a leak or spill. Shell estimates that the savings gained by use of the monitoring tool exceed $10m over the last three years. GWSDAT is currently being used by around 200 consultants across many countries (including the UK, US, Australia and South Africa) with potentially significant impacts on the environment worldwide.
The petrochemical industry is eager to develop advanced fuels which improve fuel efficiency both for economic and environmental reasons. Statistics plays a crucial role in this costly process. Innovative Bayesian methodology developed by Gilmour was applied at Shell Global Solutions to data from fuel experiments to solve a recurring statistical problem. The usefulness of this approach to the wider petrochemical industry has been recognized by the industry-based Coordinating European Council (CEC) for the Development of Performance Tests for Fuels, Lubricants and other Fluids, who in their statistics manual have included Gilmour's method as an alternative to procedures in the ISO 5725 standard.
Forests are economically, recreationally and ecologically important, providing timber and wildlife habitat and acting as a carbon sink, among many ecosystem services. They are therefore extremely valuable to society, and it is crucial to ensure that they remain healthy. A statistical model has been developed in Bath to estimate spatio-temporal trends of forest health from monitoring data. This work has led directly to more efficient data collection, and to new and improved interventions to mitigate the impact of pollution and climate change (such as soil liming to control acidity and reforestation regimes). The methodology has been adopted for official reporting in the yearly 'Waldzustandsbericht (Report on Forest Condition)' [A-E] of the German state Baden-Wuerttemberg (BW), which is 39% forested, an area of 14,000km2 with an estimated stock value of 17 billion US$.
Epilepsy is one of the most common neurological diseases. It is characterised by apparently unpredictable seizures that severely affect the quality of patients' life. In this case study we demonstrate how our research has derived commercial impact within the medical technology industry, as well as impact on researchers and practitioners in neuroscience and medical science. Mathematical research carried out at the Institute of Pure and Applied Mathematics (IPAM) at the University of Aberdeen has led to a threefold impact. First, our research shaped the development, implementation and validation of a new software platform, called EPILAB, containing a vast number of sophisticated algorithms targeting seizure prediction together with novel statistical tools to evaluate prediction performance. Second, our research resulted in commercial impact through the development of a new automatic long term monitoring device, called LTM-EU, by one of our industrial collaborators, Micromed (Italy). Third, a direct consequence of our research is the compilation and commercial exploitation of the world's largest epilepsy database of its type, which enables novel studies into seizure prediction in epilepsy.