Credit risk mitigation that can be applied by commercial banks in assessing the lending decision /credit risk when advances and equity investments are considered for BEE classified companies. / A research report presented to the Graduate School of Business Leadership, University of South Africa / The previous political dispensation limited black people’s participation in the South African economy. Poor credit records, lack of training, resulting in skills and capacity gaps further limited entry into the lending market. These aspects are considered the main limitations in obtaining finance for the Small, Medium and Micro Enterprises (SMMEs). This research report focuses on how credit risk can be mitigated by commercial banks in lending to Black Economic Empowerment (BEE) companies in the medium to large market. Exploratory research was conducted using various methods to achieve methodological triangulation. These methods consisted of a literature review, interviewing experts in the field and case studies. A qualitative research approach was followed. It was found that the lack of own contribution and security were still prevalent in the medium to large market, but the quality of management (little training and skills) was deemed not to be a limitation as suitable credit risk mitigants were identified. No credit risk mitigants were identified to mitigate poor credit records. It is postulated that by adopting and applying the identified credit risk mitigants, commercial banks can increase their success rate in lending to BEE companies. It will further assist in the transformation of black people and compliance with the Financial Services Charter. It is recommended that a similar study be conducted in the agriculture, hunting, forestry and fishing industry. The reasons why BEE companies applications are declined could also be investigated. Further studies could also explore other external factors such as economical, legal and social that could have an influence on the funding of BEE companies.

The objective of the study is to establish a perspective of risk management by doing an assessment of current risk management practices, especially in the aftermath of the 2008/2009 global financial crisis. Risk management, as a component of corporate governance, was analysed by addressing the following: - The nature of value-creating assets in business; - The primary challenges for risk management over the next three years; - The changing approaches towards risk management; - The role of legislation and external stakeholders; - The role of risk management in strategic planning; - The cost of risk management; and - The benefits of improved risk management capabilities. A survey was conducted in the form of a questionnaire in order to obtain primary information from business owners on the current role of risk management in their organisations as well as their view on the role of risk management going forward. Businesses operating in the Port Elizabeth and surrounding area with an existing relationship with Absa Business Banking Services participated in the study. Quantitative techniques were used to analyse the data that were obtained from the sample group. The study revealed that the role of risk management in enterprises is evolving into an integrated, enterprise wide risk management function that can be utilised as a source of competitive advantage, from both a funding perspective for Banks and a business perspective for business owners. Capitalising on risk management as a competitive advantage will ultimately lead to long term sustainability and profitability of South African business enterprises and the South African Banking system.

This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. For the asset returns a modified version of a discretized Merton jump diffusion model was used. The risk assessment used Extreme Value Theory to calculate Value at Risk and Expected Shortfall of the simulated portfolio. However, the resulting return distribution, and the risk assessment thereof, was not entirely satisfactory due to unreasonably large values ascertained. / Denna uppsats ger ett exempel på hur riskbedömning av finanisella portföljer med internationella tillgångar av olika tillgångsslag genom Monte Carlo simulering och extremvärdesteori. Simuleringen använder univariat modelling, modeller för tillgångarnas avkastningar som stokastiska processer, såväl som vine-copulas för att skapa ett beroende mellan tillgångarna. Tillgångarnas avkastningar modellerades med en modifierad version av en diskretiserad Merton-jump-diffusion model. Riskbedömningen använde extremvärdesteori för att beräkna Value-at-Risk och Expected-Shortfall. Dock blev den resulterande avkastningsfördelningen och riskbedömningen därav inte helt tillfredsällande på grund av att orimligt stora värden erhölls.

Operational risk has become an increasingly important topic within financial institutions of late, resulting in an increased spend by financial service organisations on operational risk management solutions. While this move is positive, evidence has shown that information technology implementations have tended to have low rates of success. Research highlighted that a series of defined critical success factors could reduce the risk of implementation failure. Investigations into the literature revealed that no critical success factors had been defined for the implementation of an operational risk management system. Through a literature study, a list of 29 critical success factors was identified. To confirm these factors, a questionnaire was developed. The questionnaire was distributed to an identified target audience within the South African financial services community. Reponses to the questionnaire revealed that 27 of the 29 critical success factors were deemed important and critical to the implementation of an operational risk management system. / Business Management / M. Com. (Business Management)

M. Tech. Business Administration / The objectives of this study is to measure the risk propensity of entrepreneurs from four nationalities in the Gauteng region, namely Chinese, Zimbabweans, Pakistanis and South Africans. The study tries to find out if entrepreneurship and risk taking is determined by culture. It also looks at how the businesses of these people are performing.

Thesis (MSc)--Stellenbosch University, 2015 / ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide more flexibility and also capture more of the ’real world’ dynamics of the model. Hence the use of Lévy processes for financial modelling is a motivating factor behind this research presentation. As a starting point a framework for the LIBOR market model with dynamics driven by a Lévy process instead of the classical Brownian motion setup is presented. When modelling LIBOR rates the use of a more realistic driving process is important since these rates are the most realistic interest rates used in the market of financial trading on a daily basis. Since the financial crisis there has been an increasing demand and need for efficient modelling and management of risk within the market. This has further led to the motivation of the use of Lévy based models for the modelling of credit risky financial instruments. The motivation stems from the basic properties of stationary and independent increments of Lévy processes. With these properties, the model is able to better account for any unexpected behaviour within the market, usually referred to as "jumps". Taking both of these factors into account, there is much motivation for the construction of a model driven by Lévy processes which is able to model credit risk and credit risky instruments. The model for LIBOR rates driven by these processes was first introduced by Eberlein and Özkan (2005) and is known as the Lévy-LIBOR model. In order to account for the credit risk in the market, the Lévy-LIBOR model with default risk was constructed. This was initially done by Kluge (2005) and then formally introduced in the paper by Eberlein et al. (2006). This thesis aims to present the theoretical construction of the model as done in the above mentioned references. The construction includes the consideration of recovery rates associated to the default event as well as a pricing formula for some popular credit derivatives. / AFRIKAANSE OPSOMMING : In onlangse jare, is die gebruik van Lévy-prosesse as ’n modellerings instrument baie meer gunstig gevind as die gebruik van die klassieke Brownse bewegingsproses opstel. Die rede hiervoor is dat hierdie prosesse meer buigsaamheid verskaf en die dinamiek van die model wat die praktyk beskryf, beter hierin vervat word. Dus is die gebruik van Lévy-prosesse vir finansiële modellering ’n motiverende faktor vir hierdie navorsingsaanbieding. As beginput word ’n raamwerk vir die LIBOR mark model met dinamika, gedryf deur ’n Lévy-proses in plaas van die klassieke Brownse bewegings opstel, aangebied. Wanneer LIBOR-koerse gemodelleer word is die gebruik van ’n meer realistiese proses belangriker aangesien hierdie koerse die mees realistiese koerse is wat in die finansiële mark op ’n daaglikse basis gebruik word. Sedert die finansiële krisis was daar ’n toenemende aanvraag en behoefte aan doeltreffende modellering en die bestaan van risiko binne die mark. Dit het verder gelei tot die motivering van Lévy-gebaseerde modelle vir die modellering van finansiële instrumente wat in die besonder aan kridietrisiko onderhewig is. Die motivering spruit uit die basiese eienskappe van stasionêre en onafhanklike inkremente van Lévy-prosesse. Met hierdie eienskappe is die model in staat om enige onverwagte gedrag (bekend as spronge) vas te vang. Deur hierdie faktore in ag te neem, is daar genoeg motivering vir die bou van ’n model gedryf deur Lévy-prosesse wat in staat is om kredietrisiko en instrumente onderhewig hieraan te modelleer. Die model vir LIBOR-koerse gedryf deur hierdie prosesse was oorspronklik bekendgestel deur Eberlein and Özkan (2005) en staan beken as die Lévy-LIBOR model. Om die kredietrisiko in die mark te akkommodeer word die Lévy-LIBOR model met "default risk" gekonstrueer. Dit was aanvanklik deur Kluge (2005) gedoen en formeel in die artikel bekendgestel deur Eberlein et al. (2006). Die doel van hierdie tesis is om die teoretiese konstruksie van die model aan te bied soos gedoen in die bogenoemde verwysings. Die konstruksie sluit ondermeer in die terugkrygingskoers wat met die wanbetaling geassosieer word, sowel as ’n prysingsformule vir ’n paar bekende krediet afgeleide instrumente.

M.Phil. (Economics) / There has been increasing focus on banking system stability worldwide, particularly due to the recent financial crisis experienced and the resultant adverse economic effects. In the case of a developing country like South Africa (SA), the stability of the banking system is even more important as it is crucial for the achievement of the country’s development goals. Credit extension is also a core component for facilitating economic and social development in the country. The downside risk attached to credit extension is that once it reaches a point of being excessive it can have a destabilising effect on the banking system and the economy. SA has experienced a rapid increase in credit extension since 2001, which prompted the implementation of the National Credit Act (NCA), with the intention of regulating the credit industry and improving the practices therein. More recently, further concerns have been raised by regulatory authorities around the possibility of an asset bubble in the SA economy as a result of the level of unsecured credit extended in the country. The objective of this study therefore is to investigate the impact of the NCA on risk, both credit and systemic, in the banking system. This is important, as investigating and understanding the impact of credit controls, like the NCA, on risk in the banking system is critical to supporting the SA development agenda. The findings of this study show that the NCA has been successful in reducing credit risk in the banking system, even though this was by default and not through the stated intention of the Act. This was achieved through the introduction of the affordability requirement into the credit assessment process. This study highlights however, that there are still areas of improvement which can be made to the NCA to increase its effectiveness in preventing excessive credit extension.

For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2016. / FAU Electronic Theses and Dissertations Collection

Few sectors of the economy are as influential to the environment and are as susceptible to the influence of environmental changes as agriculture. This dissertation contains three chapters that examine agriculture as the primary interface at which human and nature interact. Primarily, I explore how policy support for financial risk management tools can have substantial impact on agricultural production choices via moral hazard and selection problems. While mitigating agricultural production risk, these supports also impact the environment via induced change in production choices. This dissertation contributes to U.S. agriculture policy and pollution management literature and insurance literature on moral hazard and selection problems. By examining the case of Federal Crop Insurance Program in the United States, this dissertation explores input choice changes caused by changes in government support for crop insurance. I proposed theoretical mechanism through which increasing use of financial risk management strategy can influence input decisions with risk implications, and tested these theories empirically with county-level panel data. Empirical tests showed that there were substantial decreases in irrigation investment and fertilizer application due to crop insurance offering. Policy implications on water scarcity and non-point source pollution management and on federal support to crop insurance market are discussed.

University of Macau / Institute of Chinese Medical Sciences