The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright. Among the principal causes was an explosive increase - by a factor of ten in some cases - in credit defaults precipitated by lax lending standards which prevailed for several years. The crisis caused several major institutions to fail (and be subsequently acquired under duress): many of these were subject to takeovers by their relevant sovereigns, including - amongst others - Lehman Brothers, Merrill Lynch, Fannie Mae, Freddie Mac and American International Group and AIG. The financial crisis is believed to be directly responsible for the bleak forecasts (2009 and beyond) faced by the global economy. The measure of global volatility, the VIX, trebled in the third quarter of 2008, interest rate spreads between government fixed income securities and interbank rates widened to unprecedented levels, global inflation threatened an already fragile, volatile marketplace, corporate and retail loan default rates rose and downgrades of large financial institutions (such as US Monoline bond insurers)and manycorporates were experienced by major rating agencies during the first quarter of 2009. The aim of this thesis was to discuss and critically evaluate how the financial crisis has impacted banking risks and also the effect it had on international banks. This has been accomplished through the modification of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world contexts - to ascertain their reliability and robustness concomitant with the adaptation of these methodologies in the light of the new empirical evidence. Important other secondary objectives were the development of novel approaches w0here the research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated bysimulated data to replicate specific characteristics during the crisis, while the other portfolios comprised entirelyof empirical data. The first objective, of the thesis, was to determine the effect of stressed economic conditions on b.erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of laxregulatorycontrols. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. As more jobs get made redundant it is believed that employees revert to internal fraud as their sources of income have dried up drasticallyand stealing from the institution seems to b.tional losses have been affected has been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of the main findings were that operational losses have shown little change in frequency, but shown a significant increase in severity, meaning that their financial impact has been more severe during the crisis. It is safe to saythat the financial crisis most definitelyin.creased operational risk in banks much more severe losses. The second objective was to focus on the effect of the stressed economic conditions on the applicability and effectiveness of the credit risk measurement methodologies and the minimum capital requirements, pre.scribed to banks in Basel II. The robustness of the Basel II accord in protecting banks during volatile eco.nomic periods has been challenged in the ongoing financial crisis. Advanced approaches to measuring and managing credit risk in particular have drawn criticism for being too complexand irrelevant. Despite accusa.tions that the accord was largelyresponsible for the crisis, this studyexplored which of Basel II's credit risk approaches were more successful in measuring the bank?s credit risk and calculating the required minimum capital charge for the bank. It was found that, in general, compliance with Basel II actuallyprotected banks during the crisis with the simpler approaches enjoying greater success than more advanced ones, in protect.ing banks against credit risk. The third objective was to appraise the effect of stressed economic conditions on the systemic risk within the South African Banking sector. The financial crisis resulted in increases in credit-, market-and opera.tional risk, but it mayalso have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this studyillustrated that the finan.cial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it was established that the financial crisis has indeed increased sys.temic risk in South Africa. The impact was, however, less severe than that experienced in other large interna.tional banks. The fourth and final objective of this studywas to focus on liquiditycreation in South African banks under stressed economic conditions. The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidityand had to receive government support or face default. This studyillustrated the impact of the financial crisis on liquiditycreation within South African banks using a model previouslyapplied to US banks. Four measures of liquiditycreation are discussed and applied to data spanning 2004 ? 2009. Although created liquiditydecreased steeplyfrom 2007, liquidity levels in 2009re.main about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity, and a possible reason for this is that these banks have verylarge retail divisions, which have assisted them in creating much more liquiditythan the smaller banks which have much smaller retail divisions. In conclusion, and as illustrated through the findings of this study, the financial crisis did impact the major banking risks on various levels and it is therefore safe to saythat the financial crisis has reformed the interna.tional risk management environment and will also do so in the years to come. / Thesis (Ph.D. (Economics))--North-West University, Potchefstroom Campus, 2011.

The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright. Among the principal causes was an explosive increase - by a factor of ten in some cases - in credit defaults precipitated by lax lending standards which prevailed for several years. The crisis caused several major institutions to fail (and be subsequently acquired under duress): many of these were subject to takeovers by their relevant sovereigns, including - amongst others - Lehman Brothers, Merrill Lynch, Fannie Mae, Freddie Mac and American International Group and AIG. The financial crisis is believed to be directly responsible for the bleak forecasts (2009 and beyond) faced by the global economy. The measure of global volatility, the VIX, trebled in the third quarter of 2008, interest rate spreads between government fixed income securities and interbank rates widened to unprecedented levels, global inflation threatened an already fragile, volatile marketplace, corporate and retail loan default rates rose and downgrades of large financial institutions (such as US Monoline bond insurers)and manycorporates were experienced by major rating agencies during the first quarter of 2009. The aim of this thesis was to discuss and critically evaluate how the financial crisis has impacted banking risks and also the effect it had on international banks. This has been accomplished through the modification of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world contexts - to ascertain their reliability and robustness concomitant with the adaptation of these methodologies in the light of the new empirical evidence. Important other secondary objectives were the development of novel approaches w0here the research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated bysimulated data to replicate specific characteristics during the crisis, while the other portfolios comprised entirelyof empirical data. The first objective, of the thesis, was to determine the effect of stressed economic conditions on b.erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of laxregulatorycontrols. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. As more jobs get made redundant it is believed that employees revert to internal fraud as their sources of income have dried up drasticallyand stealing from the institution seems to b.tional losses have been affected has been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of the main findings were that operational losses have shown little change in frequency, but shown a significant increase in severity, meaning that their financial impact has been more severe during the crisis. It is safe to saythat the financial crisis most definitelyin.creased operational risk in banks much more severe losses. The second objective was to focus on the effect of the stressed economic conditions on the applicability and effectiveness of the credit risk measurement methodologies and the minimum capital requirements, pre.scribed to banks in Basel II. The robustness of the Basel II accord in protecting banks during volatile eco.nomic periods has been challenged in the ongoing financial crisis. Advanced approaches to measuring and managing credit risk in particular have drawn criticism for being too complexand irrelevant. Despite accusa.tions that the accord was largelyresponsible for the crisis, this studyexplored which of Basel II's credit risk approaches were more successful in measuring the bank?s credit risk and calculating the required minimum capital charge for the bank. It was found that, in general, compliance with Basel II actuallyprotected banks during the crisis with the simpler approaches enjoying greater success than more advanced ones, in protect.ing banks against credit risk. The third objective was to appraise the effect of stressed economic conditions on the systemic risk within the South African Banking sector. The financial crisis resulted in increases in credit-, market-and opera.tional risk, but it mayalso have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this studyillustrated that the finan.cial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it was established that the financial crisis has indeed increased sys.temic risk in South Africa. The impact was, however, less severe than that experienced in other large interna.tional banks. The fourth and final objective of this studywas to focus on liquiditycreation in South African banks under stressed economic conditions. The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidityand had to receive government support or face default. This studyillustrated the impact of the financial crisis on liquiditycreation within South African banks using a model previouslyapplied to US banks. Four measures of liquiditycreation are discussed and applied to data spanning 2004 ? 2009. Although created liquiditydecreased steeplyfrom 2007, liquidity levels in 2009re.main about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity, and a possible reason for this is that these banks have verylarge retail divisions, which have assisted them in creating much more liquiditythan the smaller banks which have much smaller retail divisions. In conclusion, and as illustrated through the findings of this study, the financial crisis did impact the major banking risks on various levels and it is therefore safe to saythat the financial crisis has reformed the interna.tional risk management environment and will also do so in the years to come. / Thesis (Ph.D. (Economics))--North-West University, Potchefstroom Campus, 2011.

Made available in DSpace on 2016-12-12T20:32:04Z (GMT). No. of bitstreams: 1 Juliane.pdf: 1570515 bytes, checksum: 8289f9a8261ab8c08f0cf3c43a07a865 (MD5) Previous issue date: 2007-06-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Such as the beings livings creature, all the companies are displayed the risks during its existence. Between these they appear the internal, called risks of bad management or fraud. With the objective of diminish these operational risks internal controls are established that are used in such a way for the organization of the procedures as for the protection of its asset. The internal controls have been improved and regulated not only had its functionality, but in result of scandals of institutions long ago considered above of any suspicion. The known regulation more is the Law Sarbanes Oxley (SOX), of the North American, requisite congress for the companies who operate in the subsidiary stock market of New York and its, that she has been adopted as international standard. This law, among others, regulates the performance of the external auditors, it creates behavior rules and it establishes penalties for the controllers of the companies and demands the internal evaluation of the processes and controls. Given to this legal requirement, methodologies as COSO (Committee of Sponsoring Organizations of the Tread way Commission), that consists in a roll of recommendations, had passed to be adopted with more frequency with the objective to take care of the legislation and to minimize the operational risks. COSO points the necessity of if limit the organizational processes, identifying to all the tasks, each one with its responsible ones, and evaluating the internal controls to know if the same ones are adjusted the company. However, it does not establish a functional model of application. In this work, if she considers a model for the implementation of COSO in an organization. The considered model was applied partially in five companies and, after complete in one sixth Brazilian company, all users of ERP (Enterprise Resources Planning) EMS, of the DATASUL. As result, the company, beyond possessing its main limits processes, it optimized its man power and it minimized some operational risks / Este estudo teve como objetivo principal identificar a competência essencial para obter vantagem competitiva de uma empresa de revestimentos cerâmicos no que tange à sua atuação em um ambiente de alta competitividade baseada em diferenciação e sofisticação, identificado como sendo o mercado belga. Foram levantados os fatores que geraram vantagem competitiva a partir da perspectiva dos participantes da cadeia de distribuição de seus produtos no mercado em questão. Esses fatores foram analisados com vistas a identificar os recursos e habilidades que os originaram para verificar se a composição entre eles leva a uma competência essencial e qual será ela. O design foi destacado como uma das possíveis habilidades geradoras de vantagem competitiva por ser apropriado como tal pelos principais competidores do mercado estudado. A utilização do conceito de competência essencial é resultante da visão de estratégia como um aprendizado coletivo que gera combinações únicas entre recursos e habilidades permitindo performances superiores. Foram levantados os principais referenciais teóricos que compõe o desenvolvimento da escola das competências dinâmicas, desde os primórdios da visão baseada em recursos até a aplicação do conceito de competência essencial. Foram também explorados os conceitos que conferem ao design as características diferenciadoras que podem transformá-lo em uma competência essencial. Esse estudo é resultado de uma pesquisa qualitativa e descritiva obtida através de um estudo de caso. Os dados foram levantados a partir da observação indireta e de entrevistas. A análise dos dados foi indutiva. A investigação levou à identificação de três competências, sendo que a "cultura de design" apresentou-se como a competência essencial da empresa estudada no mercado belga a partir da perspectiva dos participantes chave da cadeia de distribuição

The utilisation of an operational risk management (ORM) model is one of the compulsory activities during mergers and acquisitions in the financial sector. However, the implementation of such a model is often not as effective as intended. A cause of this might be situated in human behaviour and the influence of cultural differences, especially during cross-border business. This study determined how Tanzanians perceive risk, and identified the psychosocial components that affected the implementation of an ORM model in a target organisation in Tanzania. This resulted in the development of a conceptual framework, which integrated these psychosocial components into a theoretical psychosocial model of OR management. This qualitative study was situated within the hermeneutic phenomenology research paradigm. During the research, 35 semi-structured in-depth interviews were conducted, providing rich data. Participants were selected by means of criterion sampling. Most of the interviews sessions were conducted with one participant present. However, some of the interview sessions involved two or three participants resulting in a total of 46 participants being interviewed. Data were analysed using the hermeneutic circle, and incorporated content analysis. The findings of the study are of value to both the fields of psychology (social and organisational psychology) and OR management. Engaging in cross-border business is in itself a ‘risky’ business. Identifying the psychosocial components and incorporating them into ORM models, enables organisations to implement their ORM models more effectively (Renn, 2008). The theoretical model developed as a result of this research enables industrial and organisational psychologists and OR managers to manage growth initiatives, such as cross-border mergers and acquisitions in the financial industry, more accurately. Industrial and organisational psychologists and risk managers will consequently understand better how psychosocial components shape people and this will enable them to adapt their management approach accordingly. / Department of Industrial and Organisational Psychology / Ph. D. (Industrial and Organisational Psychology)

The thesis focuses on the operational risk, its identification, measurement and regulatory requirements associated with it. It defines what is the role of internal audit, departments that perform its function and relationship to the organizational structure of the company. Similarly, it is depict the relationship between internal and external audit. These facts are set in the context of operational risk. In the form of comparison are confronted four major banking institutions operating on the Czech market. The aim is to find out how banks manage operational risk, what tools are used for the quantification and how the whole process involve internal audit services and, finally, how they deal with regulatory requirements on capital.

El presente trabajo de investigación tiene por objetivo principal proponer una metodología de gestión del riesgo operacional para el negocio B2B de una empresa de telecomunicaciones. Si bien el trabajo de investigación se enfoca en la necesidad de esta metodología para el negocio B2B, la idea es que la metodología sea escalable y replicable para cada negocio, unidad y, de manera agregada, toda la organización, constituyéndose en una metodología homogénea que permita la apropiada gestión del riesgo operacional. Como parte de la metodología hemos desarrollado los componentes a nivel estratégico, funcional y operativo, así como las matrices que permitirán una autoevaluación del riesgo operacional con el fin de identificar y priorizar los riesgos operacionales, tomando la decisión de ratificarlos, modificarlos, anularlos o transferirlos. Las matrices que han sido propuestas como parte de esta metodología de gestión del riesgo operacional se han clasificado en seis niveles: (i) autoevaluación de los riesgos operacionales, que consta de 3 matrices y un mapa de riesgos; (ii) evaluación de riesgos operacionales ante cambios significativos o relevantes, que consta de una matriz; (iii) la gestión de la continuidad del negocio (evaluación del nivel de criticidad de procesos), que consta de dos matrices; (iv) la evaluación de procesos de contratación significativa y proveedores críticos, que consta de dos matrices; (v) los indicadores de riesgo operacional, que indica el proceso de definición de los indicadores de riesgo operacional; y, (vi) la gestión de eventos de pérdida. / The main objective of this research is to propose an operational risk management methodology for the B2B business of a telecommunications company. Although the research focuses on the need for this methodology for the B2B business, the idea is that the methodology is scalable and replicable for each business, unit and, in an aggregate way, the entire organization, constituting a homogeneous methodology that allow the appropriate management of operational risk. As part of the methodology, we have developed the components at a strategic, functional and operational level, as well as all evaluation matrixes that will allow a self-assessment of operational risk in order to identify and prioritize operational risks, making the decision to ratify, modify, cancel or transfer them. All evaluation matrixes that have been proposed as part of this operational risk management methodology have been classified into six levels: (i) self-assessment of operational risks, consisting of three matrixes and a risk map; (ii) evaluation of operational risks in the event of significant or relevant changes, which consists of one matrix; (iii) business continuity management (evaluation of the level of criticality of processes), which consists of two matrixes; (iv) the evaluation of significant contracting processes and critical suppliers, which consists of two matrixes; (v) operational risk indicators, which indicates the process for defining operational risk indicators; and, (vi) loss event management. / Trabajo de investigación

This study investigates E-banking Operational Risk Assessment (ORA) to enable the development of a new ORA framework and methodology. The general view is that E-banking systems have modified some of the traditional banking risks, particularly Operational Risk (OR) as suggested by the Basel Committee on Banking Supervision in 2003. In addition, recent E-banking financial losses together with risk management principles and standards raise the need for an effective ORA methodology and framework in the context of E-banking. Moreover, evaluation tools and / or methods for ORA are highly subjective, are still in their infant stages, and have not yet reached a consensus. Therefore, it is essential to develop valid and reliable methods for effective ORA and evaluations. The main contribution of this thesis is to apply Fuzzy Inference System (FIS) and Tree Augmented Naïve Bayes (TAN) classifier as standard tools for identifying OR, and measuring OR exposure level. In addition, a new ORA methodology is proposed which consists of four major steps: a risk model, assessment approach, analysis approach and a risk assessment process. Further, a new ORA framework and measurement metrics are proposed with six factors: frequency of triggering event, effectiveness of avoidance barriers, frequency of undesirable operational state, effectiveness of recovery barriers before the risk outcome, approximate cost for Undesirable Operational State (UOS) occurrence, and severity of the risk outcome. The study results were reported based on surveys conducted with Nigerian senior banking officers and banking customers. The study revealed that the framework and assessment tools gave good predictions for risk learning and inference in such systems. Thus, results obtained can be considered promising and useful for both E-banking system adopters and future researchers in this area.

Выпускная квалификационная работа (магистерская диссертация) посвящена исследованию анализа влияния операционного риска на финансовые результаты коммерческого банка. Предметом исследования выступают экономические отношения, складывающиеся в коммерческом банке в процессе управления операционным риском. Основной целью магистерской диссертации является исследование теоретических научно-методических положений, на основании которых развивается система управления операционным риском в коммерческом банке ПАО «Сбербанк», разработка методических рекомендаций по модернизации выявленных проблем с применением практических знаний и навыков. В заключении обозначены рекомендации по совершенствованию политики управления операционного риска для объекта исследования. / The final qualifying work (master's thesis) is devoted to the study of the analysis of the impact of operational risk on the financial results of a commercial bank. The subject of this research is the economic relations that develop in a commercial bank in the process of managing operational risk. The main goal of the master's thesis is to study theoretical scientific and methodological provisions, on the basis of which the operational risk management system is developed in the commercial bank of Sberbank, the development of guidelines for the modernization of identified problems with the application of practical knowledge and skills. In the conclusion, recommendations are outlined for improving the operational risk management policy for the research object.

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.

隨著銀行經營環境丕變，引發作業風險的可能性大幅提高。有鑑於此，巴塞爾銀行監理委員會於2003年公佈的作業風險與監督十項準則，且在2004年6月公布新巴塞爾資本協定，除信用與市場風險外，將作業風險納入資本計提範疇。同時，委員會也對作業風險給予明確定義，亦針對整體作業風險管理流程及作業風險資本計提方式有所規範。 隨著作業風險管理漸漸受到重視，作業風險由最初的傳統階段以內部控制及事後稽核進行風險管理，開始發展進入認知階段作業，此時金融機構開始意識到作業風險管理重要性，接下來進入監控階段，除了開始設定足以反映各項作業風險的風險指標來進行風險的追蹤，也開始進行風險的自我評估，且由於質化的風險指標無法滿足作業風險管理的要求，量化風險指標漸漸為各金融機構發展的管理技術；最後當其成熟後，作業風險管理就可納入整體的風險管理體系。 隨著金融機構的策略、組織、作業與系統及衡量四個構面，作業風險管理組織的架構也依金融機構需求不斷演變。本研究藉由研究作業風險管理架構的發展及作業風險管理的四項核心流程，探討在操作實務中可能面臨的挑戰，摘要結論及建議如下: 1.作業風險管理成功的關鍵在於公司董事會、管理階層及所有員工均需體認「改變是必要的」，且須獲得董事會及高階管理階層的承諾與支持 2.作業風險管理單位除了在組織架構上需符合「獨立」的精神外，需積極參與風險控管方案有效性評估及作業風險管理工具/政策的執行 3.為彌補內部稽核先天的不足，作業風險管理單位應針對關鍵性的控制活動，發展以風險為導向的查核工具，以肩負起預防問題、發現問題及評估內部控制有效性的角色，同時內部稽核應轉變為以風險為導向的查核制度，將查核重心放在銀行經營風險最大部分，方可協助銀行運用稽核創造更高的價值。 4.作業風險辨識及評估的結果應與現行的自行查核制度進行連結，同時自行查核題庫也必須適時調整以符合現況。