PS 2021
| Title | Description | |
|---|---|---|
| PS21001_Operational Risk capital and pricing | Project Goal: Create an effective capital and pricing model/ methodology that will enable an optimised risk/ reward profile. Problem statement | |
| 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. Problem statement | |
| PS21003_LGD discount rate | Project Goal: The goal of this project is to derive an industry standard LGD discount rate. Problem statement | |
| 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. Problem statement | |
| PS21005_Standardized IFRS9 | Project Goal: The goal of this project is to develop a standardized way of measuring impairment for IFRS9 for credit risk. Problem statement | |
| PS21006_Climate Risk Modelling | Project Goal: To develop a research-based approach for quantifying the impact of climate change on expected credit losses Problem statement | |
| PS21007_Monitoring for Bias | Project Goal: To define methodologies for ongoing monitoring of model inputs, outputs and decision outcomes for emerging bias. Problem statement | |
| 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. Problem statement | |
| 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 Problem statement |