Research Focus Areas

Through its activities, collaboration and postgraduate research programmes, the Research Chair aims to make contributions in the following areas:

  • Assessment of the implications of banking and insurance capital adequacy regimes such as Basel 3 and Solvency 2;
  • Extreme risk modelling – Reinsurance, Insurance Risk, Operational Risk, Credit Risk, Market Risk applications, e.g.
    • Modelling of worst-case losses – applying earthquake modelling methods to financial problems
    • Investigating maximum probable loss in the event of natural catastrophes
    • Risk portfolio theory – investigating the dependencies between portfolio constituents in the context of large losses
    • Low-probability, high-impact events
  • Intelligent systems (multidisciplinary research with Electronic Engineering department)
    • Financial modelling with Artificial Neural Networks (ANN’s) and machine learning methods
    • Computationally intensive investigations, involving IBM Supercomputer
    • Fraud detection
    • Credit risk investigations
  • Modelling innovation (overlapping with the above), in respect of:
    • Economic Capital Modelling, using advanced statistical approaches, including:
    • Mathematical development and refinement of existing models
  • Regulatory and policy development
    • Optimisation of internal models
    • Harmonising of financial regulation in Africa, together with
    • Calibration of regulatory capital requirements
    • Investigating the implications of retirement reform in South Africa and Africa
  • Big ideas, including
    • “Black swans” (Taleb) vs “Dragon Kings” (Sornette)
    • Unconventional approaches towards financial modelling such as applying quantum statistical formalism to financial problems

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