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'
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.