Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: Expert panel; analytical hierarchy process. Includes bibliographical references (leaf 104).

Thesis (M.B.A.)--Naval Postgraduate School, June 2009. / Thesis Advisor(s): Dillard, John. "June 2009." Description based on title screen as viewed on July 13, 2009. Author(s) subject terms: Stryker Brigade Combat Team, Interim Force, Mobile Gun System, Complexity, Uncertainty, Systems Engineering, Reliability, Risk Management, Acquisition Strategy Includes bibliographical references (p. 113-122). Also available in print.

Thesis (Ph. D.)--University of Texas at Austin, 2000. / Vita. Includes bibliographical references (leaves 109-112). Available also in a digital version from Dissertation Abstracts.

Thesis (Ph.D.)--Kent State University, 2006. / Title from PDF t.p. (viewed June 11, 2009). Advisor: Mark E. Holder. Keywords: corporate governance, executive compensation, employee stock options. Includes bibliographical references (p. 80-84).

Thesis (M.Soc.Sc.)--University of Hong Kong, 2001. / Includes bibliographical references (leaves 65-67) Also available in print.

Thesis (Ph.D.)--Hong Kong University of Science and Technology, 2006. / Includes bibliographical references (leaves 84-90). Also available in electronic version.

Operational risk was identified as one of the primary risk types that a bank faces. Neglected for many years, there is a growing awareness in the banking industry that the management of operational risk is crucial for their future existence. The effective management of operational risk, however, requires a structured approach. This study, therefore, investigates the management of operational risk by way of a literature study and empirical research in order to develop a framework for a structured approach to operational risk management in banking. The framework comprises the primary risk factors of operational risk, namely: people, processes, systems and external events, as well as a definition of operational risk. The operational risk exposures that apply to the aforementioned primary risk factors are identified. It, furthermore, illustrates that operational risk management is an ongoing process that consists of risk identification, risk evaluation, risk control and risk financing and addresses the methods that could be applied in the management process. As operational risk management in the banking industry is still in a development stage it is believed that this study could assist banks with establishing formal operational risk management processes. The framework demarcates the area of operational risk properly and provides insight into all the activities that should be performed in the operational risk management process, but the following issues still require further research: • The practical implementation of methods for the quantification of operational risk and determining a capital charge for it; • The effect of the requirements of corporate governance on banks as it relates to the management of operational risk; and • The interaction between operational risk and the other primary risk types to ensure an effective, enterprise-wide risk management process. The framework that has been developed could also be applied to any other enterprise as operational risk management is not unique to banks and the basic principples are generic. / Business Management / D. Com. (Business Management)

M.Comm. / Chapter 2 discussed the basic principles underlying of the two major option pricing formulae. It clearly showed that two totally different approaches were followed in each case, and yet both arrived at approximately the same value for the price of an option. Both these approaches made certain assumptions in their derivation of the formulae in order to simplify the final expressions, and to produce a more workable solution. They both however made substantial use of statistical probability in order to determine the likelihood of a certain event occurring. Chapter 3 gave a detailed derivation of both the Black and Scholes and the Binomial tree pricing formulae, as well as the associated criticism and advantages of the respective approaches. Value at risk, or VaR, was used in determining the statistical probability of a certain portfolio consisting of a specified option losing more than a certain percentage of its value over a given period of time. The resulting number obtained can be used to judge the riskiness of a portfolio in the given market conditions. All of these formulae are used on a daily basis by financial professionals in the daily operations of a magnitude of different institutions in order to value financial portfolios, the risk associated with these portfolios and the probability of certain events occurring within the portfolios in order to make better decisions and increase the profitability of these institutions, without actually knowing the underlying principles. - As- such these --formulae merely become a number crunching business, and interpretation of these numbers, without realising the pitfalls associated with the approaches in establishing these formulae. The random walk theory for unrestricted movement assumes that at t=0, the rates are at the origin. This can be interpreted as 0%, and instinctively any person would agree that 0% is not possible in any fixed income environment, due to the time value attached to money. Choosing the ruling rate as the origin would be more practical in determining the origin, but care must be taken in assigning probabilities to the up and down movements. At the onset of the problems amongst the emerging markets during 1998, the probability of rates increasing once it reached 17,00% was much higher than that of the rates decreasing. However, barely a month later when the rates had reached its peak at more than 21,00% and were declining again, the probability of the rates increasing once it reached 17,00% again was much lower than that of it decreasing further. This would have a significant effect on the probability generating function, and hence also an effect on the mean and variance thus derived. The probability curve of the rates during these times were also not represented by a standard normal curve, and as such the heteroscedacity of the curve had a major influence on the pricing of options. During extreme periods both the random walk theory and the Wiener process would be totally skewed, and unreliable answers would be derived from this approach. By 'adjusting the expression for a non-standard distribution, these problems can be eliminated and an accurate approach once again obtained using this process. Problems that could occur when using this approach to solve inaccuracies would amongst others include the following: The incorrect distribution function is being applied for the specific set of conditions prevailing in the market. This is due to the fact that under these abnormal conditions the distribution function can change over a very short period of time. Incorrect skews being applied to the distribution function due to fast changing market conditions. When to revert back to the normal distribution function. It then becomes a question not of an improper analytical approach, but incorrect timing approach. Since markets mostly perform according to the standardised normal distribution function the Wiener approach hold true for most applications.

Ph.D. (Mathematical Statistics) / This thesis considers the modelling and prediction of consumer credit risk events. We model consumer credit risk events (like a missed payment, a repayment or a default) by means of a discrete, real time, staggered entry counting process. Merton s (1974) structural approach is the foundation of numerous credit-risk models, as well as the Basel capital accords. The underlying assumptions of this approach are that both liability and asset levels are observable to some extent and that default, which occurs if liability levels are larger than asset levels, can occur only once. These assumptions are inappropriate for consumer credit risk, where asset and liability levels are not observable and multiple defaults may occur. We nd that the so-called reduced-form models initially developed by Artzner and Delbaen (1995) and Jarrow and Turnbull (1995), which impose no structure on the default event, are better suited to model and predict consumer credit risk. All reduced-form models can be represented as counting processes. Counting processes are continuous in nature, so we discretize these processes before applying them to the regularly spaced, discrete monthly data. We show that the use of survival analysis tech- niques such as Cox s (1972) proportional hazard model, which is a special case in counting processes, are not well suited to model credit risk. This is because survival analysis is mostly concerned with the prediction of the time until a single event occurs. Accordingly, in survival analysis the time domain used is event time . Hence, all observations need to be aligned to some starting time. We prefer to work in calendar time and are concerned with the timing (in calendar time) of multiple events. We identify and implement a dynamic, discrete statistical model based on calendar time that accounts for staggered entries, multiple entries into and exits from the portfolio, as well as multiple default events on an account level. This approach, from Arjas and Haara (1987), makes use of both idiosyncratic and systematic covariates, which facilitates stress-testing. This approach has, to our knowledge, never been applied to credit risk before and we apply it to a mortgage loan portfolio of a major bank in South Africa.

Globalisering het die wêreldekonomie onomkeerbaar verander. Globalisering is onder andere moontlik gemaak deur die snelle tegnologiese vooruitgang en die verstewiging van handelsbande oor landsgrense heen. Dit het tot groter mededinging gelei en organisasies aan nuwe uitdagings en onsekerhede blootgestel. Die unieke aard van die nuwe ekonomie het organisasies verplig om hul tradisionele besigheidsmodelle aan te pas. Dit is nou moontlik om grondstowwe van bykans enige plek ter wêreld te bekom, om produkte naby buitelandse markte te vervaardig of waar die arbeidskoste die laagste is, om produkte vanaf optimale punte te versprei en om produkte bykans enige plek ter wêreld te bemark. Die geleenthede soos hierbo uiteengesit, het die klem opnuut laat verskuif na die belangrikheid van die voorsieningskanaal in organisasies. Die voorsieningskanaal is vandag die kern van die besigheidsmodel van menige organisasie en sluit verskeie eksterne partye van ’n organisasie in, soos byvoorbeeld verskaffers van grondstowwe en vervoerdienste. Dit is vandag van uiterste belang dat die ketting as ’n eenheid optimaal funksioneer, aangesien dit algemene praktyk is dat voorsieningskanale teen mekaar meeding om produkte so vinnig en goedkoop as moontlik aan die verbruiker te lewer. Voorsieningskanale is inderdaad van strategiese belang vir organisasies. Die prestasie van voorsieningskanale het ’n direkte impak op winsgewendheid en is dus ook bepalend in die skepping van aandeelhouerswaarde. Die moderne voorsieningskanaal is egter weens verskeie faktore, soos die betrokkenheid van derde partye, kulturele verskille en die lengte van sekere voorsieningskanale, ‘n onsekere omgewing. Dit is van uiterste belang dat organisasies hierdie onsekerhede of risiko’s na behore bestuur ten einde te verseker dat die prestasie van hul voorsieningskanale aan die verwagtinge voldoen. Hierdie studie het hoofsaaklik ten doel gehad om ’n optimale struktuur vir die bestuur van voorsieningskanaalrisiko’s asook ’n geïntegreerde benadering vir die effektiewe bestuur van die risiko’s daar te stel. Voorts was dit die oogmerk om die benadering in ’n werklike voorsieningskanaalomgewing deur middel van ’n gevallestudie toe te pas. Die voorgestelde benadering tot risikobestuur in die voorsieningskanaal is ’n ten volle geïntegreerde benadering wat alle komponente van die voorsieningskanaal insluit. Dit sluit dus alle eksterne partye van die organisasie in, soos byvoorbeeld verskaffers van logistieke dienste, asook alle relevante ondernemingsfunksies, soos byvoorbeeld aankope, bemarking en finansies. Voorts is dit ‘n gestruktureerde benadering wat op strategiese, taktiese en bedryfsvlakke in die voorsieningskanaal toegepas kan word. Indien dit behoorlik geïmplementeer en toegepas word, kan dit byvoorbeeld onderbrekings in die voorsieningskanaal voorkom of ten minste die potensiële impak van onderbrekings verminder. Dit het heelwat ander voordele, byvoorbeeld verbeterde besluitneming en sakeprestasie. Enige organisasie kan hierdie benadering implementeer. Dit is egter makliker om dit te implementeer in organisasies wat alreeds gevestigde risikobestuurstrukture het. ’n Deeglik beplande implementeringstrategie is ’n voorvereiste vir die suksesvolle implementering van die benadering. Risikopersepsie is ’n wesenlike aspek wat in ag geneem moet word tydens die implementering en die toepassing van die benadering. Persepsies van risiko en risikobestuur word deur verskeie faktore beïnvloed, byvoorbeeld die opleiding en ondervinding van individue asook die organisasiekultuur. Die uitkomste van risikostudies kan byvoorbeeld benadeel word indien risikopersepsies nie na behore bestuur word nie. / Prof. J. Walters