Industry problem statements 2015

PS 2015

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PS15001_Combining-internal-loss-data-and-scenario-data-in-operational-risk-quantification

Project goal: To determine which technique performs best when combining internal loss data and scenario loss data for purposes of estimating operational risk capital in a LDA model.
Problem statement Research proposal Article
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PS15002_Macro-economic-stress-testing-abstract

Project goal: To determine if quantitative techniques can be used to perform Macro-Economic Stress testing in respect of Operational Risk, for example whether there exists a causal link between macroeconomic factors and operational losses that can be used to construct a model.
Problem statement Research proposal
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PS15003_Meeting-the-Basel-III-minimum-capital-requirements

Project goal: To develop a model to assist banks to optimally meet the Basel III minimum capital and liquidity requirements and highlighting possible constraints or areas of concern the banks may face.
Problem statement
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PS15004_Credit-curve-model

Project goal: To enable CIB Portfolio Management to accurately value, price and enhance strategic decision making on loans by constructing accurate credit curves.
Problem statement
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PS15005_Alternatives-to-splice-distributions-in-operational-risk-quantification

Project goal: To determine which statistical distributions, if any, can be used as an alternative to splice distributions for modelling the severities in operational risk quantification.
Problem statement Research proposal
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PS15006_Pricing-and-risk-management-aspects-of-participating-life-insurance-contracts

Project goal: To gain insight into the pricing and hedging of minimum rate of return guarantees (MRRG) embedded in participating (or profit-sharing) life insurance policies.
Problem statement Research proposal 1 Article 1 Research proposal 2
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PS15007_A-simulation-comparison-of-quantile-approximation-techniques-for-compound-distributions-popular-in-Operational-Risk

Project goal: To compare different techniques for approximating the quantiles of compound distributions in terms of their practical usefulness.
Problem statement Research proposal Article
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PS15009_The-use-of-PECDC-data-in-LGD-modelling-in-South-Africa

Project goal: To use the pooled credit data like the Global Credit Data (GCD) (formerly known as the Pan-European Credit Data Consortium (PECDC)) during the development of new models in corporate loss given default (LGD) modelling.
Problem statement
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PS15010_Research-in-predictive-modelling-Binning-variable-selection-and-income-modelling

Project goal: To propose new methodologies (and compare existing methodologies) in the predictive modelling context.
Problem statement Research proposal
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PS15011_Semi-supervised-segmentation-within-a-predictive-modelling-context-inretail-credit

Project goal: To propose a semi-supervised segmentation method and to do empirical studies on the performance of this method.
Problem statement Research proposal Article
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PS15013_Multi-period-credit-portfolio-optimisation

Project goal: To develop a multi-period optimisation model for a credit portfolio in Business Banking.
Problem statement Research proposal 1 Research proposal 2
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PS15014_Efficient-practical-methods-for-pricing-and-risk-managing-derivatives-in-dynamic-markets

Project goal: To answer the question, "what is an efficient, practical method for pricing and risk-managing derivatives – and portfolios containing derivatives – in dynamic markets?"
Problem statement Research proposal 1 Article 1 Research proposal 2 Article 2