Industry problem statements 2016

PS 2016

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PS16001_Solution-for-financially-stressed-borrowers-in-South-Africa

Project goal: To provide a view of solutions which exist in the South African Retail lending landscape, define relevant metrics by which effectiveness of these can be measured (from a Bank perspective) and to provide some form of benchmarking between these solutions.
Problem statement
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PS16002_Network-structure-and-shock-propagation-in-financial-networks

Project goal: To build a model to investigate how shocks propagate through different financial networks based on liquidity risk and contagion.
Problem statement Research proposal
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PS16003_Modelling-the-effect-of-banking-regulations-on-the-SA-economy-using-a-CGE-model

Project goal: To extend the standard computable general equilibrium model to include the financial sector in order to assess the effect of banking regulation on the South African economy.
Problem statement Research proposal
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PS16004_Systemic-banking-crisis-early-warning-systems-using-dynamic-Bayesian-networks

Project goal: The development and application of dynamic Bayesian networks as early warning systems for systemic banking crises.
Problem statement Research proposal Article
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PS16005_Parameter-dependence-in-collective-risk-models

Project goal: To develop the necessary theory and investigate the uses of collective risk models with dependence structures based on the dependence of the parameters of the underlying distributions and compare this approach to commonly used approaches.
Problem Statement Research proposal
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PS16006_Sovereign-credit-ratings-Modelling-credit-ratings-and-sovereign-default-rates

Project goal: Analysing the determinants used by the credit rating agencies to determine sovereign credit ratings and to develop a methodology to be used in determining a country’s sovereign rating - taking into account a combination of quantitative and qualitative determinants.
Problem statement Research proposal
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PS16007_Measures-of-loan-delinquency-and-loan-portfolio-optimisation

Project goal: Investigate the optimisation of loan portfolios over different loan delinquency measures and a corresponding range of default definitions.
Problem statement Research proposal
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PS16008_Fraud-detection-using-Generalised-Markov-Random-fields

Project goal: To develop a behavioural model that accurately identifies fraudulent nodes in a weighted and directed financial network, in the presence of noisy observations.
Problem statement Research proposal
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PS16009_Emerging-best-practice-in-Model-Risk-Management

Project goal: To investigate emerging best practice in model risk management, including methodologies to quantify model risk.
Problem statement Research proposal 1 Article 1 Research proposal 2
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PS16010_Modelling-and-pricing-risks-associated-with-civil-commotion-social-unrest-and-strike-action

Project goal: To derive a framework that can be used to estimate the risk associated with civil commotion, social unrest and strike action, and to study the natural progression of these types of risks.
Problem statement Research proposal
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PS16011_Margin-of-conservatism-for-retail-credit-risk

Project goal: To investigate how the margin of conservatism should be determined for retail credit risk models
Problem statement Research proposal
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PS16014_Investigate-the-effect-of-the-PD-and-LGD-correlation

Project goal: To quantify the effect of the PD and LGD correlation on economic capital and expected loss.
Problem statement Research proposal 1 Article 1A Article 1B
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PS16015_Determining-an-appropriate-discount-rate-in-LGD-modelling

Project goal: To determine an appropriate discount rate at which cash flows are discounted in the quantification of the loss given default (LGD).
Problem statement Research proposal
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PS16018_Incorporating-private-equity-into-traditional-investment-strategies

Project goal: to dissect the private equity investment market in South Africa and unpack the historical and structural reasons behind our relatively low level of private equity investment.
Problem Statement
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PS16019_Application-of-the-actuarial-control-cycle-to-the-role-of-a-private-equity-GP-or-infrastructure-investor

Project goal: To explicitly document, via use of the actuarial control cycle, the investment process and philosophy to be followed by an investor (general partner) in private equity or infrastructure.
Problem Statement
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PS16020_Stochastic-process-for-simulation-of-managed-currencies

Project goal: To propose stochastic process that can be used in Monte Carlo simulation of managed currencies.
Problem statement Research proposal