Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / The study is an assessment of the current treatment of business risk, as a significant risk type for financial institutions. It includes an industry analysis of the five major banks in South Africa, as well as international banks, and how these banks currently manage business risk in the Pillar 2 supervisory process. It assesses economic capital frameworks and the importance of business risk in the risk assessment and measurement process in the global and local industry. Various methodologies have been researched to assess which statistical methods are best suited in the measurement of this risk type as well as the quantification of the capital levels required. This study has compared the available statistical methodologies currently used in the industry and concludes which is best given the issues pertaining to the modelling of business risk quantification. A statistical model has been developed to quantify business risk for a specific bank using bank specific data, using a methodology which is relatively generic and could be applied widely across all financial institutions. The model serves to illustrate the principles surrounding the quantification of business risk economic capital. / GR2018

A concessão de créditos garantidos pelo próprio ativo financiado responde por substancial fatia da atividade creditícia e permite o acesso a financiamentos de devedores mais arriscados com taxas de juros reduzidas. O financiamento de aeronaves é um nicho especialmente dependente desse tipo de estrutura e a investigação de um indicador que consolide os parâmetros quantitativos relevantes para sua análise amplia a robustez e organiza a subjetividade dos processos de tomada de decisão. Esse trabalho ilustra o desenvolvimento do indicador time to loss como um desdobramento prático dos fundamentos implícitos na formulação de perda esperada do Comitê de Basileia. São evidenciadas as três curvas que caracterizam a estimação do tempo para a perda: a exposição devida ao inadimplir, o valor residual da aeronave e os custos e encargos no período de recuperação do crédito. Calculado o indicador para o caso base de estudo, o trabalho explora ainda alternativas para a construção de escalas de referência que qualifiquem sua interpretação. Testes e estudos continuados são propostos como referência para futuras pesquisas e desenvolvimento do tema. / The concession of credit secured by the financed asset itself accounts for a substantial share of lending activity and allows access to finance for riskier borrowers with lower interest rates. The aircraft financing is a typical niche dependent on this type of structure and the investigation of an index that consolidates relevant quantitative parameters for its analysis extends the robustness and organizes the subjectivity of the decision-making process. This work illustrates the development of the indicator time to loss as a practical deployment of the implicit foundations in the expected loss formulation of the Basel Committee. Three curves are evidenced featuring the estimation of the time to loss: exposure due to defaults, the residual value of the aircraft and the cost and burden on the credit recovery period. After calculating the time to loss indicator for the base case study, the work also explores ways to build a reference scale which qualify its interpretation. Tests and continued studies are proposed as reference theme for future research and development. / Dissertação (mestrado) - Programa de Pós-Graduação e Pesquisa em Administração e Economia, Faculdades Ibmec, Rio de Janeiro, 2015. / Bibliografia: p. 76-77