Defaulted retail mortgage loans as a percentage of retail mortgage loans and advances averaged 9 percent over 2010 as reported in the SARB Bank Supervision Annual report. Banks are in the business of risk taking and as a result need to constantly evaluate and review credit risk management to attain sustained profitability. In credit risk modelling, default risk is associated with client-specific factors particularly the client’s credit rating. However, Brent, Kelly, Lindsey-Taliefero, and Price (2011), have shown that variation in mortgage delinquencies reflect changes in general macroeconomic conditions. This study aims to provide evidence of whether macroeconomic factors such as the house price index, CPI, credit growth, debt to income ratio, prime interest rates, and unemployment, are key drivers of residential mortgage delinquencies and default in South Africa. In this study, data from an undisclosed bank is used to estimate three models that are supposed to capture the influence of several macroeconomic variables on 30 day, 60 day, and 90 day delinquency rates over the 2006-2010 period. In order to eliminate the potential bias introduced by those observations, a fourth model was estimated using aggregated banking industry published by the SARB. However, due to data constraints, only the severe mortgage delinquency state, that is the 90 day delinquency rate was modelled using this aggregate data. The SARB sample covers the period between 2008 and 2010. The choice of the date 2008 coincides with the introduction of the Basel 2 regulatory framework. Prior to 2008, the big four South African banks were governed by the Basel 1 framework, and measured their credit risk using the so-called Standardised Approach which has different loan categories and different default definitions compared to the Basel 2 Advanced Internal Ratings Approach adopted in 2008. The findings suggest that the two samples (i.e. the data from the individual bank and the SARB data) imply different explanatory macroeconomic factors. Prime interest rates were found to be the only important variable in determining 30 day and 60 day delinquency rates for the individual bank. The house price index, CPI, credit growth, and prime interest rates were found to be the main determinants of the 90 day delinquency rates for the undisclosed bank, while the house price index, CPI, and credit growth, determine the 90 day delinquency rates for the big four banks.

Risk has become a key concept in social theory and has had a significant impact across academic disciplines including criminology. On the one hand, several criminologists argue that the rise of risk has fundamentally reconfigured the operations of courts, corrections, and policing. Many claim that, over the last few decades, crime control has moved away from the old rehabilitative and retributive approaches of the past and towards more actuarial approaches based on risk management – crime has become a risk to be managed in aggregate terms rather than a moral transgression in need of rectification. On the other hand, while risk-based approaches to governing crime have grown significantly, cultural criminologists and sociologists of sport have noted a heightened emphasis on risk-taking by urban graffiti writers, illegal street racers, extreme sports enthusiasts, and illicit drug users. For these people, the risk-averse logic of actuarial governance – risk as potential harm to be avoided – is inverted such that risk is positively embraced for the excitement it affords. What is particularly characteristic about the present, then, is that a politics of risk management is colliding with a culture of risk-taking. In attempts to make sense of this puzzling paradox, in this thesis I offer a primarily theoretical investigation of the dominant approaches used in the study of risk management (chp. I) and risk taking (chp. II & III) in sociology and criminology. After exploring how the rise of risk has reconfigured crime control over the last quarter century in Chapter one, in Chapter two I develop the argument that orthodox criminology provides two dominant images of criminal risk-taking. While dispositional theories explain criminal risk-taking as the pathological behaviour of individuals with particular body types, low-self control, or of lower-class origin, situational theories conceive of criminal risk-taking as the (ir)rational decisions of necessarily risk-averse actors. Despite differences between dispositional and situational theories, both leave no room for risk-taking that is controlled and intentional. In Chapter three I enlist the work of Jack Katz on the seductions of crime and of Stephen Lyng on the sociology of risk-taking to develop a third, cultural approach to risk-taking that is voluntary and cross-class. I illustrate how, for Katz’s and Lyng’s actors, risk is approached as a challenge rather than seen as a deterrent. Lastly, I add to the historicity of the cultural approach to risk-taking by tracing its roots in a romantic worldview that arose out of 19th century disenchantment with the bureaucratic rationalism and alienation of capitalist modernity. In conclusion, I summarize the main argument of the thesis and outline some potential avenues for future research.

Diss. Stockholm : Handelshögskolan, 2009.

Risk has become a key concept in social theory and has had a significant impact across academic disciplines including criminology. On the one hand, several criminologists argue that the rise of risk has fundamentally reconfigured the operations of courts, corrections, and policing. Many claim that, over the last few decades, crime control has moved away from the old rehabilitative and retributive approaches of the past and towards more actuarial approaches based on risk management – crime has become a risk to be managed in aggregate terms rather than a moral transgression in need of rectification. On the other hand, while risk-based approaches to governing crime have grown significantly, cultural criminologists and sociologists of sport have noted a heightened emphasis on risk-taking by urban graffiti writers, illegal street racers, extreme sports enthusiasts, and illicit drug users. For these people, the risk-averse logic of actuarial governance – risk as potential harm to be avoided – is inverted such that risk is positively embraced for the excitement it affords. What is particularly characteristic about the present, then, is that a politics of risk management is colliding with a culture of risk-taking. In attempts to make sense of this puzzling paradox, in this thesis I offer a primarily theoretical investigation of the dominant approaches used in the study of risk management (chp. I) and risk taking (chp. II & III) in sociology and criminology. After exploring how the rise of risk has reconfigured crime control over the last quarter century in Chapter one, in Chapter two I develop the argument that orthodox criminology provides two dominant images of criminal risk-taking. While dispositional theories explain criminal risk-taking as the pathological behaviour of individuals with particular body types, low-self control, or of lower-class origin, situational theories conceive of criminal risk-taking as the (ir)rational decisions of necessarily risk-averse actors. Despite differences between dispositional and situational theories, both leave no room for risk-taking that is controlled and intentional. In Chapter three I enlist the work of Jack Katz on the seductions of crime and of Stephen Lyng on the sociology of risk-taking to develop a third, cultural approach to risk-taking that is voluntary and cross-class. I illustrate how, for Katz’s and Lyng’s actors, risk is approached as a challenge rather than seen as a deterrent. Lastly, I add to the historicity of the cultural approach to risk-taking by tracing its roots in a romantic worldview that arose out of 19th century disenchantment with the bureaucratic rationalism and alienation of capitalist modernity. In conclusion, I summarize the main argument of the thesis and outline some potential avenues for future research.

No description available.

Civil wars have become endemic to many African countries since the end of the Cold War. The risk of civil wars in much of Africa stands now as the leading contributory cause of vulnerability. This upsurge of civil wars has . posed a compelling need to improve understanding for better policy direction. Most of the current studies on civil wars tend to focus on macro issues with limited relevance and conceptualisation at micro level. The dearth of understanding of household livelihood strategies in the 'war zone' has made the existing studies in risk and livelihood literature unwittingly equating these strategies with those in the context of other risk events, or even ruled out any rational household risk management behaviour. In this regard, this study is an attempt to gain a nuanced understanding of the subde household livelihood strategies in the context of civil war. In an attempt to unravel and better understand household risk-related behaviours in the context of civil war, this thesis set out a framework called the Risk-Livelihood Approach that links risk events in a systematic way to household livelihood strategies and their outcomes. The framework provides the basis for fonnulating the main four hypotheses of the thesis, which are related to characteristics of risk events, livelihood strategies and diversification, social capital and vulnerability. In an attempt to provide a better understanding of these hypotheses, comparative empirical inquiries were undertaken at household level in Bahr el Ghazal region in southern Sudan, which has been exposed to a protracted civil war. The major empirical findings from a general case study of Sudan's civil war and three specific case studies of households exposed to different types of counter-insurgency warfare and drought all point to complexity and context-specificity. The thesis clearly shows the significance of specific characteristics of counter-insurgency warfare in understanding household livelihood strategies and vulnerability. In particular, the thesis demonstrates that the 'standard' pattern of vulnerability and household responses to drought is similar to that in the context of exogenous counter-insurgency warfare, while a different pattern of vulnerability and household responses to endogenous shocks, such as endogenous counter-insurgency warfare, is identified. Specifically, the thesis surprisingly finds a positive link between level of vulnerability and initial high level of household wealth in the context of endogenous counter-insurgency warfare. A future research agenda in the area of vulnerability might need to focus on developing a greater understanding of the nature and characteristics of risk events such as endogenous shocks

My dissertation consists of three chapters that address the issues of rollover risk, shareholders' risk taking, and financial regulation, from both theoretical and empirical perspectives. The first chapter surveys the literature on rollover risk, the q theory of investment, and the dynamics of capital structure. When the market liquidity shocks intensify, equity holders' rollover losses become substantial, which amplifies the agency conflict between creditors and equity holders. The marginal value of liquidity plays an important role in determining corporate cash management, financing, hedging, payout and investment policies, especially when the level of internal cash is extremely low. All these variables are endogenous, as a result of which they together characterize a firm's optimal capital structure. The second chapter focuses on rollover risk in the context of corporate finance. In this chapter, I identify a special channel (the long-term debt maturity structure) through which the credit crisis of 2008 affected corporate investment. I provide empirical evidence of shareholders' risk-shifting behavior in the investment decisions by exploiting the real effects of ex-ante heterogeneity of long-term debt maturity structure. The first hypothesis, which examines the relationship between financial frictions and risk-shifting behavior. The second hypothesis, which studies the effectiveness of debt covenants in mitigating agency conflicts. In the third chapter, I investigates the effectiveness of the Federal Reserve Bank's Commercial Paper Funding Facility (CPFF) in restoring the stability of large and complex financial institutions. Using hand-collected data from the Federal Reserve Board, I evaluate the consequences of the Fed's intervention in the short-term credit market. I first show that (recipient) banks with access to the Commercial Paper Funding Facility earned significantly higher abnormal returns than those without this access. Second, my empirical findings indicate that liquidity backstop facilitated lending from recipient banks to their relationship borrowers. In terms of bank loans, CPFF lenders increased the quantity of loans provided and charged lower yields for firms with which they had strong past relationships. My analysis highlights the important implications of explicit government guarantees in providing timely short-term credits to systemically important institutions and reducing their rollover risks. / Thesis (Ph.D, Economics) -- Queen's University, 2013-08-12 14:59:23.32

No description available.

Det svenska pensionssystemet är uppbyggt av tre delar: ett eventuellt eget pensionssparande, en tjänstepension samt den allmänna pensionen som i sin tur består av en inkomstpensionsdel samt en premiepensionsdel. Varje individ kan själv bestämma över sin premiepension och det finns cirka 800 fonder att välja mellan. Fondrisk innebär hur mycket värdet på fonder varierar över tid. En fondportfölj bör vara uppbyggd av en blandning mellan räntefonder och aktiefonder för att hitta en bra balans. Syftet med uppsatsen var att undersöka hur riskpreferenserna hos privatpersoner ser ut gällande placeringen av premiepensionen. Kön, ålder och utbildning var variabler som användes för att undersöka hur risknivån ser ut. En deduktiv ansats tillämpades eftersom en kvantitativ studie gjordes med statistik från Pensionsmyndigheten. Datan vi fick från Pensionsmyndigheten var insamlad inför deras årliga rapport Pensionsspararna och Pensionärerna 2011. Den data som behandlades handlade bara om de som hade gjort ett aktivt val. De teorier vi har använt oss av för att uppfylla vårt syfte har varit portföljteori, overconfidence, den rationella individen samt teorin om att män tar större risker än kvinnor. Vi har även valt att studera fyra tidigare forskningar för att kunna jämföra vår studie med deras. Vi valde dessutom att definiera premiepensionen, AP7 Såfa samt risk inom premiepensionen. Resultatet från studien blev att män tar en aning större risker än kvinnor, men skillnaderna var inte speciellt stora. De lägsta och högsta uppmätta värdena var samma för kvinnor och män och även medianvärdet var nästan samma. Räknat på medelvärdet så kunde vi dock upptäcka en del skillnader. Åldergruppen 36-45 år hade högst risknivå gällande ålder och de med eftergymnasial utbildning hade högst risknivå gällande utbildning. Vi kunde se ett signifikant samband från regressionsanalysen vid alla de undersökta variablerna.

The deterioration of pipes in urban water distribution systems is of concern to water utilities throughout the world. This deterioration generally leads to pipe breaks and leaks, which may result in reduction in the water-carrying capacity of the pipes from tuberculation of interior walls of the pipe. Deterioration can also lead to contamination of water in the distribution systems. Water utilities which are already facing tight funding constraints incur large expenses in replacement and rehabilitation of water mains, and hence it becomes critical to evaluate the current and future condition of the system for making maintenance decisions. Quantitative estimates of the likelihood of pipe breaks on individual pipe segments can facilitate inspection and maintenance decisions. A number of statistical methods have been proposed for this estimation problem. This thesis focuses on comparing these statistical models on the basis of short time histories. The goals of this research are to estimate the likelihood of pipe breaks in the future and to determine the parameters that most affect the likelihood of pipe breaks. The various statistical models reviewed in this thesis are time linear and time exponential ordinary least squares regression models, proportional hazards models (PHM), and generalized linear models (GLM). The data set used for the analysis comes from a major U.S. city, and the data includes approximately 85,000 pipe segments with nearly 2,500 breaks from 2000 through 2005. The covariates used in the analysis are pipe diameter, length, material, year of installation, operating pressure, rainfall, land use, soil type, soil corrosivity, soil moisture, and temperature. The Logistic Generalized Linear Model fits can be used by water utilities to choose inspection regimes based on a rigorous estimation of pipe breakage risk in their pipe network.