|PS21001_Operational Risk capital and pricing
|Project Goal: Create an effective capital and pricing model/ methodology that will enable an optimised risk/ reward profile.
|PS21002_LDP definition as well as performance measures
|Project goal: To clearly define what a low default portfolio (LDP) in a credit risk environment is, as well as give guidance on how the traditional measures (performance, discrimination, etc.) should be amended/interpreted differently for LDPs. Additionally, what other measures should be used to substitute these measures.
|PS21003_LGD discount rate
|Project Goal: The goal of this project is to derive an industry standard LGD discount rate.
|PS21004_Model risk in ML& AI
|Project Goal: The goal of this project is to quantify and manage the ‘model risk’ associated with the use of Machine Learning (ML) and Artificial Intelligence (AI) techniques.
|Project Goal: The goal of this project is to develop a standardized way of measuring impairment for IFRS9 for credit risk.
|PS21006_Climate Risk Modelling
|Project Goal: To develop a research-based approach for quantifying the impact of climate change on expected credit losses
|PS21007_Monitoring for Bias
|Project Goal: To define methodologies for ongoing monitoring of model inputs, outputs and decision outcomes for emerging bias.
|PS21008_The Emerging Fourth Sector
|Project Goal: To propose a fourth sector-based model for future crisis management, with a focus on the role of financial services organisations.
|PS21009_Renewable Energy Finance
|Project Goal: To explore ways in which the financial services sector can contribute to resolution of South Africa’s energy crisis