• PS 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, definerelevant metrics by which effectiveness of these can be measured (from a Bank perspective) andto provide some form of benchmarking between these solutions.
Problem statement
Size: 442.27 KB
Hits: 235
Date added: 03-11-2017
Date modified: 03-11-2017
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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 onliquidity risk and contagion.
Problem statement Research proposal
Size: 127.78 KB
Hits: 234
Date added: 03-11-2017
Date modified: 03-11-2017
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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 inorder to assess the effect of banking regulation on the South African economy.
Problem statement Research proposal
Size: 124.13 KB
Hits: 382
Date added: 03-11-2017
Date modified: 03-11-2017
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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 forsystemic banking crises.
Problem statement Research proposal Article
Size: 122.35 KB
Hits: 195
Date added: 03-11-2017
Date modified: 11-01-2018
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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 dependencestructures based on the dependence of the parameters of the underlying distributions and comparethis approach to commonly used approaches.
Problem Statement Research proposal
Size: 123.20 KB
Hits: 194
Date added: 03-11-2017
Date modified: 03-11-2017
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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 ratingsand to develop a methodology to be used in determining a country’s sovereign rating - taking intoaccount a combination of quantitative and qualitative determinants.
Problem statement Research proposal
Size: 122.28 KB
Hits: 214
Date added: 03-11-2017
Date modified: 03-11-2017
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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 acorresponding range of default definitions.
Problem statement Research proposal
Size: 431.87 KB
Hits: 247
Date added: 03-11-2017
Date modified: 03-11-2017
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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 anddirected financial network, in the presence of noisy observations.
Problem statement Research proposal
Size: 23.31 KB
Hits: 230
Date added: 03-11-2017
Date modified: 03-11-2017
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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 quantifymodel risk.
Problem statement Research proposal 1 Article 1Research proposal 2
Size: 127.88 KB
Hits: 260
Date added: 03-11-2017
Date modified: 03-11-2017
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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, socialunrest and strike action, and to study the natural progression of these types of risks.
Problem statement Research proposal
Size: 21.52 KB
Hits: 222
Date added: 03-11-2017
Date modified: 03-11-2017
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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
Size: 243.79 KB
Hits: 262
Date added: 03-11-2017
Date modified: 03-11-2017
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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 andexpected loss.
Problem statement Research proposal 1Article 1A Article 1B
Size: 159.95 KB
Hits: 235
Date added: 03-11-2017
Date modified: 03-11-2017
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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 discountedin the quantification of the loss given default (LGD).
Problem statement Research proposal
Size: 390.10 KB
Hits: 263
Date added: 03-11-2017
Date modified: 03-11-2017
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PS16017_What-additional-return-premium-should-private-equity-earn-over-listed-equity

Size: 245.54 KB
Hits: 243
Date added: 03-11-2017
Date modified: 03-11-2017
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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 unpackthe historical and structural reasons behind our relatively low level of private equity investment.
Problem Statement
Size: 242.99 KB
Hits: 386
Date added: 03-11-2017
Date modified: 03-11-2017
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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 philosophyto be followed by an investor (general partner) in private equity or infrastructure.
Problem Statement
Size: 244.66 KB
Hits: 284
Date added: 03-11-2017
Date modified: 03-11-2017
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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
Size: 120.31 KB
Hits: 238
Date added: 03-11-2017
Date modified: 03-11-2017
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