PS 2017
| Title | Description | |
|---|---|---|
| PS17001_Pricing-options-on-amortizing-swaps | Project goal: To find efficient approaches to price swaptions on amortizing swaps. Problem statement Research proposal | |
| 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 | |
| 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 ratedborrowers use the ratings and PDs published by the agencies, or should the agencies’ ratings/PDs beadjusted due to the fact that the bank faces different level of risk compared to the intended consumersof rating agencies’ ratings by virtue of the comparative domicile/seniority/contract/legal environment? Ifthey should be adjusted, how could this be undertaken? The answer will likely differ on the type of theborrower (sovereign, bank, non-bank financial institution, large corporate), the industry of the borrowerand local versus in-country business. Problem statement Research proposal | |
| PS17004_Profitability-optimisation-based-on-group-cluster-characteristics | Project goal: Develop a pricing optimisation model based on product and behavioural characteristics for BusinessBanking. Problem statement | |
| PS17005_Artificial-Intelligence-in-Risk-Management | Project goal: Developing models that use artificial intelligence / machine learning approaches towards riskresearch. This includes comparative analysis with more established / traditional methodologies. Problem statement Research proposal |