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