Arguably, the credit risk models reported in the literature for the retail lending sector have so far been less developed than those for the corporate sector, mainly due to the lack of publicly available data. Having been given access to a dataset on defaulted mortgages kindly provided by a major UK bank, this work first investigates the Loss Given Default (LGD) of mortgage loans with the development of two separate component models, the Probability of Repossession (given default) Model and the Haircut (given repossession) Model. They are then combined into an expected loss percentage. Performance-wise, this two-stage LGD model is shown to do better than a single-stage LGD model (which directly models LGD from loan and collateral characteristics), as it achieves a better Rsquare value, and it more accurately matches the distribution of observed LGD. We next investigate the possibility of including macroeconomic variables into either or both component models to improve LGD prediction. Indicators relating to net lending, gross domestic product, national default rates and interest rates are considered and the interest rate is found to be most beneficial to both component models. Finally, we develop a competing risk survival analysis model to predict the time taken for a defaulted mortgage loan to reach some outcome (i.e. repossession or non-repossession). This allows for a more accurate prediction of (discounted) loss as these periods could vary from months to years depending on the health of the economy. Besides loan- or collateral-related characteristics, we incorporate a time-dependent macroeconomic variable based on the house price index (HPI) to investigate its impact on repossession risk. We find that observations of different loan-to-value ratios at default and different security type are affected differently by the economy. This model is then used for stress test purposes by applying a Monte Carlo simulation, and by varying the HPI forecast, to get different loss distributions for different economic outlooks.

The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss given default (LGD) and exposure at default (EAD). This thesis looks at some examples of modelling LGD and PD. One part of this thesis investigates modelling LGD for unsecured personal loans. LGD is estimated through estimating Recovery Rate (RR, RR=1-LGD). Firstly, the research examines whether it is better to estimate RR or Recovery Amounts. Linear regression and survival analysis models are built and compared when modelling RR and Recovery Amount, so as to predict LGD. Secondly, mixture distribution models are developed based on linear regression and survival analysis approaches. A comparison between single distribution models and mixture distribution models is made and their advantages and disadvantages are discussed. Thirdly, it is examined whether short-term recovery information is helpful in modelling final RR. It is found that early payment patterns and short-term RR after default are very significant variables in final RR prediction models. Thus, two-stage models are built. In the stage-one model short-term Recoveries are predicted, and then the predicted short-term Recoveries are used in the final RR prediction models. Fourthly, macroeconomic variables are added in both the short-term Recoveries models and final RR models, and the influences of macroeconomic environment on estimating RR are looked at. The other part of this thesis looks at PD modelling. One area where there is little literature of PD modelling is in invoice discounting, where a bank lends a company a proportion of the amount it has invoiced its customers in exchange for receiving the cash flow from these invoices. Default here means that the invoicing company defaults, at which point the bank cannot collect on the invoices. Like other small firms, the economic conditions affect the default risk of invoicing companies. The aim of this research is to develop estimates of default that incorporate the details of the firm, the current and past position concerning the invoices, and also economic variables.

O gerenciamento de riscos e a segurança são aspectos importantes a serem considerados na elaboração de projetos. No entanto, o primeiro é pouco utilizado pelas empresas em geral, apesar das ferramentas e técnicas existentes. No caso da segurança, existe uma lacuna referente ao modo que as empresas gerenciam a segurança de seus projetos. Assim, a presente dissertação teve como objetivo estudar a aplicabilidade e a importância do gerenciamento de riscos e da segurança para a condução de projetos bem-sucedidos. Foram utilizados como métodos de investigação entrevistas e questionários, os quais possibilitaram obter conhecimentos e opiniões, referentes ao assunto em estudo, de vinte e oito gestores de projetos de diferentes áreas. Os resultados obtidos evidenciaram que o gerenciamento de riscos nem sempre é aplicado nos projetos, apesar dos avanços ocorridos na área. Quanto à segurança, constatou-se que fatores como o tipo de projeto, porte e exigência do cliente determinam sua inserção no ambiente de gerenciamento de projetos. Além disso, observou-se que o gerenciamento de riscos associado à segurança são importantes para a realização de projetos bem-sucedidos, embora sua utilização não ocorra em todos os projetos. Ainda que os resultados tenham mostrado a necessidade de mais treinamentos e estudos adicionais para auxiliar no entendimento e aplicação do gerenciamento de riscos e da segurança, ficou constatado que os gestores possuem consciência da importância da aplicação destes durante o desenvolvimento de seus projetos. Isto representa um progresso na direção de uma mudança cultural nas organizações. / Risk management and safety are important aspects to be considered during projects development. However, the first is used too little by companies in general, despite of the tools and techniques already developed. In the case of safety, exists a gap about the way enterprises management it in their projects. Thus, the present essay had to objective study the applicability and importance of risk management and safety to projects success. Interviews and questionary were conducted, which allowed to obtain knowledge and opinions concerned to subject in study of twenty and eight project managers from different areas. The results evidenced that risk management is not always applied in the projects, although the advances occurred in the area. In relation to safety, it was verified that factors like project’s type, size and customer requirements determine the insertion of safety in the project management. In the same time, it was found out that risk management associated with safety are important to project success, even so it is not applied in all projects developed. Moreover, the results have indicated the need for more training and additional studies to help understanding the usage of risk management and safety tools and techniques, it was found out that managers are aware of importance to consider its use during the projects development. This denotes a progress in the direction of a cultural change in the organizations.

Information was gathered regarding all aquarium and already introduced alien snail species (Gastropods), which are being imported to Europe. For the integrity of the research non-native and aquarium clams (Bivalve) were also included. Profiles of species were created based on collected information and the data were subsequently used for creating questionnaires. Questionnaires of each species were processed by FI - ISK, version 1.19 screening tool. Score of invasiveness risk potential was evaluated for each species individually. Surveyed taxa were divided into three groups according to their scores: low risk, medium risk and high risk. Celetaia persculpta was evaluated as aquarium snail (Gastropods) with the lowest risk for native fauna of Czech Republic. According to the results, Pomacea maculata and Pomacea canaliculata are the aquarium snails (Gastropods) with the highest invasiveness risk potential. The riskiest introduced species is Potamopyrgus antipodarum. Scabies crispata and Hyriopsis bialata are clams (Bivalve) with the least risk for the native fauna of Czech Republic. Corbicula fluminea and Dreissena polymorpha were analyzed as clams (Bivalve) with the highest invasiveness risk potential. By comparing aquarium species with species that were already introduced into Czech nature, I conclude that the aquarium snails (clams) do not represent similar risk like the alien species that were introduced without the share of aquarists.

This purpose of the research is to investigate the relationship between the implementation of an Enterprise Risk Management (ERM) and corporate governance within the public sector. Furthermore, the study focused on the role of internal audit in ERM implementation as well as the relationship between ERM and risk communication. Questionnaires designed to collect data were e-mailed to risk managers; internal auditors and senior managers. The survey confirmed a positive association between the implementation of an ERM framework and corporate governance as well as risk communication. The majority of respondents further confirmed that corporate governance concerns were the main driving force behind the implementation followed by the impact of HIV/AIDS on their respective organisations. Of those surveyed 38% confirmed that their ERM process is embedded and they have also created the position of chief risk officer or similar. However, it is important to note that the role of internal audit in ERM implementation is not fully integrated.

The purpose of this thesis is to demonstrate the need for enhanced accounting methodology for financial instruments which are traded in the global financial markets. The thesis proposes an accounting framework within which the value-at-risk of financial instruments can be disclosed in the financial statements of enterprises. The thesis considers accounting developments in recent years and analyses the latest proposals suggested by international accounting bodies. It furthermore contemplates the requirements of the Bank for International Settlements in terms of capital adequacy and value-at-risk requirements. In order to provide a meaningful analysis of the subject matter of financial instruments, the various market risks pertaining to the accounting of financial instruments are discussed and considered in terms of their application to the underlying bu. siness of the enterprise. - Extensive analysis is done of valuation techniques and the mathematical concepts of value-atrisk. In this regard the pioneering works of professor Philippe Jorion of the University of California is used to illustrate the application of value-at-risk. The objective of this comprehensive analysis of value-at-risk is to suggest a meaningful method to account for risk exposures in financial instruments and ensure greater transparency in terms of disclosure. In this regard the thesis follows the guidelines proposed by the International Accounting Standards Committee in terms of recognition (definitions}, measurement (valuation}, presentation (classification} and disclosure (terms, conditions and accounting policies} of financial instruments. Consideration is also given to global accounting harmonisation and a number of accounting concerns which are presently unresolved. In this regard certain hedge issues as well as the differences between accrual accounting and fair value accounting are considered. Disclosure requirements are analysed in detail, especially in respect of value-at-risk accounting. Finally, the thesis illustrates the significant growth of products and instruments in the financial markets and the severe financial impact it has in terms of global capital and global financial losses. / Financial Accounting / DCom (Applied Accountancy)

Die verkeerdelike posisionering van risikobestuur binne organisasies kan die rapporteringskanaal van die risikobestuurder beinvloed. Daar is ook merkbare verskille ten opsigte van risikobeheer aktiwiteite (bv. Sekuriteit en Beroepsgesondheid en-Veiligheid, ens.) Die term "risikobestuurder" word dikwels gebruik vir verskeie posbenamings, byvoorbeeld geboue- of fasilitiete bestuurder, en skep nie alleen verwarring nie, maar bevorder ook nie eenheidsdenke binne die organisasie nie. Risikobestuur het topbestuurstatus binne die organisasie, maar het ook sekere unieke probleme - soos vertragings in besluitnemings- en kommunikasieprosesse. Die oplossing le in die opgradering van die risikobestuurder se posvlak tot die van topbestuurslid waar risikobestuursaangeleenthede op hoer vlak aangespreek kan word. / Police Practice / M.A. (Polisiekunde)

The current extremely volatile business world requires firms to deal with a wide range of risks that pose threats to their organisations. The poor practices of risk management, based on Traditional Risk Management (TRM), was cited time and time again in the aftermath of the recent Global Crisis. Enterprise Risk Management (ERM) has been advocated as a solution to the problems of TRM. The aim is to centralise the management of risk within the organisation and ensure that the board deals with the risk. Hence strategic, external, internal, operational, compliance and reputational risk are dealt with jointly. In doing so, it is expected that ERM will bring value creation to firms. One of the main limitations facing researchers is the lack of a good standardised measurement of ERM implementation; therefore, it has not been possible to establish whether ERM does actually bring benefit to firms. In addition, many companies have set up ERM initiatives, but they lack a clear understanding of the factors that will lead to successful ERM implementation. The remaining unanswered problematic situation has led to two unanswered questions that will determine whether the solution to ERM implementation is avoiding potential pitfalls and improving business sustainability. Firstly, does ERM implementation have an impact on firm performance? And secondly, which is the firm-specific characteristic that leads to better ERM implementation level? This thesis answers the aforementioned questions by proposing a reliable ERM measurement method, and then testing whether firms that adopt ERM actually improve financial performance and determine the influential factor of ERM implementation. The proposed method for measuring ERM implementation is based on the components developed from the current ERM frameworks, where contribution scoring can be standardised to measure ERM implementation level. To demonstrate its viability, data was collected from publicly listed firms in Thailand and was then compared to three alternative methodologies: cluster analysis (CA), principal component analysis (PCA) and partial least squares (PLS). The results show that the proposed method did well compared to the alternatives, both statistically and in prediction performance. The relationship between the proposed ERM measurement and firm performance is then considered by taking appropriate control variables into account, such as the firm’s size and characteristics, industry effects, sales growth and the external environment: technology, market uncertainty, as well as economic factors. By using data from the Thailand Stock Exchange, it was found that implementing ERM could improve firm performance in term of Tobin's Q, ROE and ROA. The results show that ERM and firm performance are related. For the influential factor of ERM implementation, the empirical results show that a firm’s size and economic factors have a statistically positive relationship with a high level of ERM implementation, while lower ERM scores show more revenue volatility than those who have well-implemented ERMs. Furthermore, technology and growth are positively related to each ERM in the scoring system considered.

High demand of Liquefied Natural Gas (LNG) in recent time requires LNG carriers in more frequent operations in order to meet customers' needs. To ensure that the LNG carriers are always reliable in service, it has become necessary to adopt various advanced modelling techniques such as Genetic Algorithm (GA), fuzzy logic and Evidential Reasoning (ER) for risk/safety assessment and maintenance modelling of LNG carrier operations. These advanced computational techniques can help to overcome challenges posed by uncertainties associated with the LNG carrier operations. Their usefulness is demonstrated using case studies in this research. Firstly, two major hazards of LNG carrier operations such as "failure of LNG containment system" and "LNG spill from transfer arm" are identified and estimated as high risk ones using a risk matrix technique and expert judgement. The causes (failure modeslbasic events) of these high risk hazards are analysed using a Fault Tree Analysis (FTA). The failure logics of their failure modes are established and Boolean algebra is applied to facilitate the evaluation of the failure probabilities and frequencies. Secondly, a GA model is developed to improve the safety levels of the LNG containment system and transfer arm, to minimise their maintenance costs and to realise optimal resource management. The GA is used to optimise a risk model that is developed with exponential distribution and parameters such as failure frequencies, unit costs of maintenance and new maintenance costs of the LNG containment system and transfer arm. Thirdly, the uncertainties of some parameters in the GA model such as unit costs of maintenance are subdued using the strength of Fuzzy Rule Base (FRB) in combination with GA. 125 fuzzy rules of LNG carrier system maintenance cost are developed, which makes it possible to facilitate the evaluation of maintenance cost in any specific LNG risk-based operation. The outcomes of unit costs of maintenance are used in the GA based risk model to update the optimal management of maintenance cost. Finally, the uncertainties of failure modes of the LNG containment system and transfer arm are investigated and treated based on the Formal Safety Assessment (FSA) principle using a Fuzzy ER (FER) approach. The fuzzy logic is used to estimate the safety/risk levels of those failure modes while the ER is used to synthesise them to facilitate the estimation of safety/risk levels of the top events. Risk Control Options (RCOs) are developed to manage high level risks. The costs for each of the RCOs are estimated and synthesised using ER, which facilitated the investigation of the best RCOs in risk-based decision making. There is no doubt that the methodologies proposed possess significant potential for use in improving safety and maintenance of LNG carrier operations based on the verifications of their corresponding test cases. Accordingly, the developed models can be integrated to formulate a platform to facilitate risk assessment and maintenance management of LNG carrier systems in situations where traditional techniques cannot be applied with confidence.

A chemical supply chain (CSC) presents a network that integrates suppliers, manufacturers, distributors, retailers and customers into one system. The hazards arising from the internal system and the surrounding environment may cause disturbances to material, information and financial flows. Therefore, supply chain members have to implement a variety of methods to prepare for, respond to and recover from potential damages caused by different kinds of hazards. A large number of studies have been devoted to extending the current knowledge and enhancing the implementation of chemical supply chain risk management (CSCRM), to improve both safety and reliability of the CSCRM systems. However, the majority of existing risk management methods fail to address the complex interactions and dynamic feedback effects in the systems, which could significantly affect the risk management outcomes. In order to bridge the gaps, a new CSCRM method based on System Dynamics (SD) is proposed to accommodate the need to describe the connections between risks and their associated changes of system behaviour. The novelty of this method lies not only on providing a valid description of a real system, but also on addressing the interactions of the hazardous events and managerial activities in the systems. In doing so, the risk effects are quantified and assessed in different supply chain levels. Based upon the flexibility of SD modelling processes, the model developer can modify the developed model throughout the model life cycle. Instead of directly assessing different risks and providing arbitrary decisions, the obtained numerical results can offer supportive information for assessing potential risk reduction measures and continuously improving the CSC system performance. To demonstrate the applicability of the newly proposed method, a reputed specialty chemical transportation service provider in China is used and analysed through modelling and simulating the chemical supply chain transportation (CSCT) operations in various scenarios. It offers policy makers and operators insights into the risk-affected CSC operations and CSCRM decision-making processes, thus helping them develop rational risk reduction decisions in a dynamic environment.