PS 2016
| Title | Description | |
|---|---|---|
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| PS16017_What-additional-return-premium-should-private-equity-earn-over-listed-equity | ||
| 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 | |
| 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 | |
| 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 |