In this thesis, we study the representation of dynamic risk measures based on backward stochastic differential equations (BSDEs) and ergodic-BSDEs, and capital allocation. We consider the equations driven by the Brownian motion and the compensated Poisson process. We obtain four results. Firstly, we consider the representation of dynamic risk measures defined under BSDE, with generators that have quadratic-exponential growth in the control variables. Under this setting, the dynamic capital allocation of the risk measure is obtained via the differentiability of BSDEs with jumps. In this case, we introduce the Malliavin directional derivative that generalises the classical Gˆateaux-derivative. Using the capital allocation results and the full allocation property of the Aumann-Shapley, we obtain the representation of the dynamic convex and coherent risk measures. The results are illustrated for the dynamic entropic risk and static coherent risk measures. Secondly, we consider the representation of dynamic convex risk measure based on the ergodic-BSDEs in the diffusion framework. The maturityindependent risk measure is defined as the first component to the solution of a BSDE whose generator depends on the second component of the solution to the ergodic-BSDE. Using the differentiability results of BSDEs, we determine the capital allocation. Furthermore, we give an example in the form of the forward entropic risk measure and the capital allocation. Thirdly, we investigate the representation of capital allocation for dynamic risk measures based on BSVIEs from Kromer and Overbeck 2017 and extend it to risk measures based on BSVIEs with jumps. The extension of dynamic risk measure based on BSVIEs with jumps is studied by Agram 2019. In our case, we study capital allocation for dynamic risk measures based on BSVIEs with jumps. In particular, we determine the capital allocation of the dynamic risk measures based on BSVIEs with jumps. Finally, we study the representation for a forward entropic risk measure using ergodic BSDEs under the jump-diffusion framework. In this case, we notice that when the ergodic BSDE includes jump term the forward entropic risk measure does not satisfy the translation property. / Thesis (PhD (Mathematical Sciences))--University of Pretoria, 2021. / The University of Pretoria, Department of Mathematics and Applied Mathematics. / The University Capacity Development Programme National Collaborative Project (UCDP) South Africa. / Mathematics and Applied Mathematics / PhD (Mathematical Sciences) / Unrestricted

SAPPI Limited ("SAPPI") is a company that was established in South Africa in the 1930's and has grown into a global player in the paper and pulp industry, as well as the chemical cellulose industry. Historical financing decisions made in the growth phases of the company's life cycle left it with the need to refinance debt obligations payable in the early 2010's. In order to meet these obligations, four callable bonds with high coupon rates denominated in Euro and US Dollar were issued in 2011 and 2012 below investment grade. This study examines the cost at which these high yield bonds were issued by SAPPI and discusses the potential reasoning behind the decisions made by SAPPI in the process to obtain further financing. Financing solutions within the South African market are discussed with the conclusion that the South African listed high yield corporate bond market was not adequate for SAPPI, given its credit rating being below investment grade and the value of funding required. In addition, SAPPI's exposure to foreign currencies through global operations made the Euro and US Dollar denominated bond issues favourable to the business. To illustrate the cost of the bonds issued in both Euro and US Dollar, the second part of this study consists of an analysis of the option‐adjusted spreads at which these bonds were issued. Our analysis involved taking into account the probability of the call provisions being exercised by SAPPI at the date of issue through a detailed application of the option‐adjusted spread methodology and the use of a recombining binomial lattice. Through a quantitative example of the process followed and a discussion of the spreads determined, we indicate the true cost at which finance was obtained by SAPPI for each bond issued. A brief discussion on the hedging decisions taken by SAPPI management on the issuance of the debt has also been included. Furthermore, the retrospective performance of the foreign exchange hedging decisions made have been assessed through movements in global financial markets from the time hedging decisions were enacted up until 30 September 2015.

This thesis deals with a financial restructuring of the construction company. On the concrete company it is shown how the financial restructuring can help to improve the financial health of this company and so its competitiveness, which is, considering the current situation on the construction market, absolutely crucial. Using the methods of financial analysis the current state of financial health and financial management is evaluated. Based on these results some corrective actions within the financial restructuring are proposed. The efficiency of these actions is in the end verified again using the financial analysis.

The capital structure debate has been live for decades, with the key point of contention for many researchers being whether capital structure positively or negatively impacts firm value. Much of the literature on this question takes its departure from the seminal writings of Modigliani and Miller (1958) and their Theorem of Irrelevance. Many researchers have subsequently argued their case for and against the optimal value capital structure. The purpose of this research is to evaluate whether in a South African context an increase in financial leverage positively or negatively impacts firm value. Furthermore, given the high level and volatility of the current local interest rate market, this report also considers how the volatility of the local interest rate impacts on capital structure. This research was conducted using secondary data sourced from the McGregor BFA database for the period 1998-2007. The sample included 113 Johannesburg Stock Exchange (JSE) listed firms, which were stratified by industry in order to distinguish between different industries dynamics in this regard. Regression analysis was carried out for both tests It was found that an increase in financial leverage is negatively correlated with firm value. The study on the impact of interest rates on capital structure proved to be inconclusive. / Dissertation (MBA)--University of Pretoria, 2008. / Gordon Institute of Business Science (GIBS) / unrestricted

Resource scarcity and resource abundance along with a mindset of scarcity or abundance was researched within an innovative environment. The methodology involved the use of four different scenarios within an experimental context. This enabled the researcher to present different environments to the respondents. The researched results analysed the effects that resources as well as mindset types had on innovation. It was found that decreasing amounts of financial resources and collaborations with suppliers and customers increased the confidence of innovation being successful. The research results also indicate that abundant mindsets did not necessarily increase the rate of innovation. Although the abundant mindset definitely played a role in affecting the amount of resources being used in the different environments, set out by the scenarios. / Dissertation (MBA)--University of Pretoria, 2009. / Gordon Institute of Business Science (GIBS) / unrestricted

This study analyses the possible effects of constructive lease capitalisation on all companies in four sectors of the Johannesburg Stock Exchange (JSE) namely Industrial Transportation, Food and Drug Retailers, General Retailers and Travel and Leisure, in light of the impending adoption of IFRS 16.1 The capitalisation is performed using a model developed by Imhoff Jr., Lipe, & David, (1997) & Imhoff Jr., Lipe, & Wright, (1991) as well as further refinements in Dillon, (2014) & Fulbier, Silva, & Pferdehirt, (2006). The analysis looks at the effects of constructive capitalisation on key leverage and profitability ratios, and line items in the financial statements. The study also assesses the impact on disclosed loan covenants and whether constructive capitalisation will result in the breach of any covenants. The results show that the adoption of IFRS 16 has an impact on key ratios and line items specifically leverage ratios and earnings before interest, tax, depreciation and amortisation (EBITDA) margin. The sector most impacted is the Food and Drug Retailers. No loan covenants were breached as a result of constructive capitalisation, however the impact on the covenants was both positive and negative.

The overall objective of the study is to provide commentary on the extent to which the public sector audit process contributes to the strength of democracy in South Africa by enhancing accountability. By studying audit outcomes, the concerns of the Auditor-General of South Africa (AGSA) around lack of accountability due to auditee non-responsiveness was confirmed. The amendments to the Public Audit Act which give the AGSA the power to sanction individuals is therefore considered necessary as a mechanism to change the culture of non-responsiveness amongst auditees and to therefore ensure accountability going forward. A comparative evaluation was conducted for the Ugandan public service where the Ugandan Auditor General has similar powers. This case study points to the necessity of supreme audit institutions in developing countries having enhanced powers to ensure accountability and thus enhance the quality of democracy, although there may be a trade off with the other dimensions of democracy, bringing in to question the overall quality of democracy. The study also outlines areas for future considerations which may impact on the strength of public financial accountability.

There is increasing evidence that anthropogenic carbon dioxide emissions are the major cause for global warming. A changing external environment and societal pressure is driving companies to respond to climate change and to limit further contribution where possible. Despite carbon emissions still being largely unregulated and carbon disclosure not being mandatory, many companies in South Africa have voluntarily decided to reduce emissions and make disclosures to the Carbon Disclosure Project (CDP). Institutional, socio-political and economic voluntary disclosure theories all indicate that there is a pressure for companies to monitor their climate mitigation, evaluate the costs of disclosing and manage stakeholders’ pressures by producing voluntary climate change disclosure. The CDP scores the disclosure made by each company as a measure of the company’s progress towards environmental stewardship. The highest CDP score indicates that a company has leadership in its efforts to environmental stewardship and so addressed stakeholders’ concerns. This study aims to determine which factors, either company specific or individual company responses within the CDP questionnaire, influence a high CDP climate change score for South African companies. The top 100 South African companies were selected using a full Johannesburg Stock Exchange (JSE) listing as at 31 March 2017 and the climate change programme score and individual company responses to the climate change questionnaire were obtained from the CDP for the five-year period from 2013 to 2017. A random effect model was used to examine the determinants of voluntary disclosure of carbon information. The results indicate that while CDP scores have improved post the signing of the Paris Agreement in December 2015, providing incentives for managing climate change has also led to improvements in the CDP score which results in improved climate change disclosure. Furthermore, the longer the company assesses climate change risks and opportunities into the future, the better its CDP score. This research contributes a more thorough understanding of disclosure theories, as established from these results. In terms of institutional theories, institutional investors should call for incentives to motivate for climate change management because companies might then be more likely to receive a better CDP score. In terms of socio-political theories, this study’s findings indicate that managers should be made aware that the further into the future they consider climate change risk management the better because this practice will result in the company obtaining an improved CDP score, while simultaneously managing stakeholders’ perceptions of the company. Additionally, this study contributes by making recommendations for companies and policy makers.

In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, in partial fulfilment of the requirements for the degree of Masters of Commerce (Accountancy / Previous research findings suggest that companies within developed markets which report on environmental, social and governance (ESG) issues attract a long term oriented institutional investor base. Against this background, the purpose of this study was to assess whether this relationship holds true within an emerging market context. Using cross-sectional time series data for 114 Johannesburg Stock Exchange (JSE) listed companies over the period 2012 to 2016, this study investigated whether the integration of ESG factors in investor decision making has resulted in investments being held into the long term by institutional investors and whether this relationship varies between different sectors of the JSE. The results were based on a regression analysis which was performed employing data from the Thomson Reuters ASSET4 platform as a proxy for ESG reporting scores against institutional investor shareholdings. The results did not indicate a statistically meaningful relationship between ESG reporting and the long term oriented institutional investor base even at the industry level. The results did not appear to be consistent with similar studies in developed markets, partly as a consequence of the JSE comprising greater quasi institutional investors as compared to dedicated investors. The results suggest that institutional investor’s commitment to the United Nations Principles for Responsible Investment (UN PRI) and Code for Responsible Investing in South Africa (CRISA) is yet to translate into investments in JSE companies being held long term. These findings motivate for further academic analysis of ESG-long term investor relationship, to policy setters the results call for greater consideration to be given to policy changes or industry guidance in order to ensure that the objectives as set out by the UN PRI and CRISA are achieved. / NG (2020)