Industry problem statements 2017

PS 2017

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PS17001_Pricing-options-on-amortizing-swaps

Project goal: To find efficient approaches to price swaptions on amortizing swaps.
Problem statement Research proposal
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PS17002_Portfolio-diversification-using-an-unlisted-asset

Project goal: To determine the impact of adding an unlisted credit asset to a listed credit portfolio.
Problem statement Research proposal
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PS17003_Suitability-of-external-agency-ratings-for-rating-in-country-bank-borrowers

Project goal: Given the considerations employed by the rating agencies in producing their ratings (data, methodology, overlays, adjustments, floors, seniority, etc…), should the bank’s lending to the rated borrowers use the ratings and PDs published by the agencies, or should the agencies’ ratings/PDs be adjusted due to the fact that the bank faces different level of risk compared to the intended consumers of rating agencies’ ratings by virtue of the comparative domicile/seniority/contract/legal environment? If they should be adjusted, how could this be undertaken? The answer will likely differ on the type of the borrower (sovereign, bank, non-bank financial institution, large corporate), the industry of the borrower and local versus in-country business.
Problem statement Research proposal
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PS17004_Profitability-optimisation-based-on-group-cluster-characteristics

Project goal: Develop a pricing optimisation model based on product and behavioural characteristics for Business Banking.
Problem statement
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PS17005_Artificial-Intelligence-in-Risk-Management

Project goal: Developing models that use artificial intelligence / machine learning approaches towards risk research. This includes comparative analysis with more established / traditional methodologies.
Problem statement Research proposal