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Prof. Pennanen and collaborators have developed mathematical models and computational techniques for financial risk management. The techniques allow for quantitative analysis and optimization of financial risk management actions in an uncertain investment environment. The techniques have been used by the State Pension Fund, Ministry of Social Affairs and Health, Bank of Finland and Pension Policy Institute. The techniques have significant impact on practitioners and professional services in increasing the awareness and understanding of long-term financial risks that are difficult to quantify with more traditional techniques. Beneficiaries of the developed risk management techniques include future pensioners and tax payers.
Research on International Financial Reporting Standard 8 `Operating segments' (IFRS8), undertaken by academics in the University of Dundee's School of Business, has been used to frame the international debate concerning listed company reporting of disaggregated (segmental) information about business unit and geographic activities. Three bodies involved in regulation and compliance, have drawn on the research to inform their positions and strategies in relation to the standard. Firstly, the IASB's review of IFRS8 was informed by the research. Secondly, the key findings were fed into the Financial Reporting Council's proposals to amend IFRS8. Thirdly, the research underpinned the Institute of Chartered Accountants of Scotland's (ICAS) response to the IASB's request for information on how the standard was being applied, what challenges were encountered and associated costs.
Alzheimer's disease is the most common form of dementia, with a cost to society estimated at €177 billion per annum across Europe, according to the European Collaboration on Dementia (EuroCoDe) project funded by Alzheimer Europe. Data-based modelling of network structures is a modern approach to study and understand many diseases including dementia. Research carried out at the Institute of Pure and Applied Mathematics (IPAM) at the University of Aberdeen has led to the development, implementation, and testing of novel mathematical algorithms to infer network structures by means of observations of their dynamics. The results of our research have been implemented as part of a software package now offered by the Netherlands-based company BrainMarker to researchers and practitioners across Europe in an online `pay-per-click' platform (section 5.c1 and 5.c4). As such our research generated impact on clinical practitioners in addition to commercial impact.
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.
This case study charts the influence of the Risk On / Risk Off (RORO) paradigm, developed in research at the University of Oxford in collaboration with investment bank HSBC. Since 2008, RORO has had a significant economic impact on HSBC as well as wider impact on the thinking and actions of investors and other global market participants. Having begun as a specialised research tool within HSBC's foreign exchange team, the RORO methodology was publicised in the advice that HSBC supply to a wide range of major fund managers, corporate institutions and central banks. The research has led directly to a change in the way that asset managers think about investment decisions, with consequent impact on the investment and risk management strategies they undertake. RORO is regularly featured in the financial press and is becoming increasingly mainstream, with coverage in national and international media aimed at retail investors.
Research by Reimer Kühn (RK) and collaborators has produced a framework to study and quantify the influence of interactions on risk in complex systems, including default risk in economy-wide networks of financial exposures. This work has had impact on practitioners and professional services dealing with financial risk, including research groups at central banks, who — partly in response to the recent financial crisis — have adopted such network oriented approaches to analyse and quantify systemic risk. The Financial Stability Division at the Bank of England has, for instance, developed refined versions of the network-oriented models proposed by Kühn and collaborators to specifically assess risk in the British banking system.
This study demonstrates how Bayes linear methodologies developed at Durham University have impacted on industrial practice. Two examples are given. The approach has been applied by London Underground Ltd. to the management of bridges, stations and other civil engineering assets, enabling a whole-life strategic approach to maintenance and renewal to reduce costs and increase safety. The approach has won a major award for innovation in engineering and technology. The methodology has also been applied by Unilever and Fera to improve methods of assessing product safety and in particular the risk of chemical ingredients in products causing allergic skin reactions.
Research in Sheffield since 1993 has focused on developing information-rich systems and services from a user-oriented perspective rather than a more technology-driven approach. This has ranged from the development of theoretical models that describe information behaviour and processes, to the design and evaluation of information-rich systems and services that are based on information behaviour models and that involve end users throughout the design process. The impact includes: (1) enhancements in the practices adopted in systems development within cultural heritage institutions (The National Archives, UK) and libraries (Online Computer Library Centre, US; M25 Consortium of Academic Libraries, UK), (2) improved support for further development and commercialisation of technologies by IT companies (Gnowsis, Austria; Intempra, Italy), and (3) downstream impacts in the form of knowledge transfer leading to new projects to further develop existing technologies and systems (led by Language Technology Centre, UK).
The Scottish Longitudinal Study (SLS) is a pioneering study, combining census, civil registration, health and education data (administrative data). It has established an approach that allows the legal and ethical use of personal, sensitive information by maintaining anonymity within the data system. This approach has become a model for the national data linkage systems that are now being established across the UK. The SLS has also enabled policy analysts to monitor key characteristics of the Scottish population in particular health inequalities (alerting policy makers to Scotland's poor position within Europe), migration (aiding economic planning) and changing tenure patterns (informing house building decisions). Finally, the study has become fully embedded in Scotland's National Statistical agency, allowing it to produce new informative statistical series.
Research by Oxford econometricians provided the basis for innovative new methods for predicting periods of potential financial stress and providing protection for investors against extreme events. During periods of financial stress, equity funds tend to sharply lose value while volatility tends to increase. Adding some long volatility exposure to a standard equity portfolio can significantly improve the tail behaviour of a portfolio. However, it is expensive to continually hold volatility contracts due to the volatility risk premium. Researchers at Man Group have applied the Oxford research to create new strategies to protect against tail risk and these are incorporated in their Tail Protect fund launched in October 2009.