- PS 2015
PS 2015
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PS15001_Combining-internal-loss-data-and-scenario-data-in-operational-risk-quantification
Project goal: To determine which technique performs best when combining internal loss data and scenario loss datafor purposes of estimating operational risk capital in a LDA model.
Problem statement Research proposal Article
Problem statement Research proposal Article
Size: 29.72 KB
Hits: 282
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15002_Macro-economic-stress-testing-abstract
Project goal: To determine if quantitative techniques can be used to perform Macro-Economic Stress testing inrespect of Operational Risk, for example whether there exists a causal link between macroeconomicfactors and operational losses that can be used to construct a model.
Problem statement Research proposal
Problem statement Research proposal
Size: 128.05 KB
Hits: 210
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15003_Meeting-the-Basel-III-minimum-capital-requirements
Project goal: To develop a model to assist banks to optimally meet the Basel III minimum capital and liquidityrequirements and highlighting possible constraints or areas of concern the banks may face.
Problem statement
Problem statement
Size: 81.31 KB
Hits: 190
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15004_Credit-curve-model
Project goal: To enable CIB Portfolio Management to accurately value, price and enhance strategic decision makingon loans by constructing accurate credit curves.
Problem statement
Problem statement
Size: 24.13 KB
Hits: 178
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15005_Alternatives-to-splice-distributions-in-operational-risk-quantification
Project goal: To determine which statistical distributions, if any, can be used as an alternative to splice distributionsfor modelling the severities in operational risk quantification.
Problem statement Research proposal
Problem statement Research proposal
Size: 89.72 KB
Hits: 228
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15006_Pricing-and-risk-management-aspects-of-participating-life-insurance-contracts
Project goal: To gain insight into the pricing and hedging of minimum rate of returnguarantees (MRRG) embedded in participating (or profit-sharing) life insurance policies.
Problem statement Research proposal 1Article 1 Research proposal 2
Problem statement Research proposal 1Article 1 Research proposal 2
Size: 50.94 KB
Hits: 219
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15007_A-simulation-comparison-of-quantile-approximation-techniques-for-compound-distributions-popular-in-Operational-Risk
Project goal: To compare different techniques for approximating the quantiles of compound distributions in terms oftheir practical usefulness.
Problem statement Research proposal Article
Problem statement Research proposal Article
Size: 142.56 KB
Hits: 200
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15009_The-use-of-PECDC-data-in-LGD-modelling-in-South-Africa
Project goal: To use the pooled credit data like the Global Credit Data (GCD) (formerly known as the Pan-EuropeanCredit Data Consortium (PECDC)) during the development of new models in corporate loss givendefault (LGD) modelling.
Problem statement
Problem statement
Size: 109.55 KB
Hits: 223
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15010_Research-in-predictive-modelling-Binning-variable-selection-and-income-modelling
Project goal: To propose new methodologies (and compare existing methodologies) in thepredictive modelling context.
Problem statement Research proposal
Problem statement Research proposal
Size: 108.27 KB
Hits: 219
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15011_Semi-supervised-segmentation-within-a-predictive-modelling-context-inretail-credit
Project goal: To propose a semi-supervised segmentation method and to do empiricalstudies on the performance of this method.
Problem statement Research proposal Article
Problem statement Research proposal Article
Size: 105.64 KB
Hits: 233
Date added: 03-11-2017
Date modified: 11-01-2018
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PS15013_Multi-period-credit-portfolio-optimisation
Project goal: To develop a multi-period optimisation model for a credit portfolio in Business Banking.
Problem statement Research proposal 1 Research proposal 2
Problem statement Research proposal 1 Research proposal 2
Size: 56.35 KB
Hits: 304
Date added: 03-11-2017
Date modified: 03-11-2017
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PS15014_Efficient-practical-methods-for-pricing-and-risk-managing-derivatives-in-dynamic-markets
Project goal: To answer the question, "what is an efficient, practical method for pricing and risk-managing derivatives – and portfolioscontaining derivatives – in dynamic markets?"
Problem statement Research proposal 1 Article 1 Research proposal 2 Article 2
Problem statement Research proposal 1 Article 1 Research proposal 2 Article 2
Size: 62.51 KB
Hits: 275
Date added: 03-11-2017
Date modified: 03-11-2017