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During the past five years risk management has evolved to such an extent that most companies have developed formal risk management systems whereby their risk identification processes are integrated into their objective setting processes, albeit with different forms of integration. The integration of the risk identification process into the objective setting process is an essential step in the risk management process as it facilitates the identification of those risks that may affect the achievement of business objectives and ensure that plans are developed to mitigate the risks identified. The management of risks is essential to the success of any business whether profit making or non-profit making. This study examines, by way of a case study, the extent to which a specific business unit, within an organisation has integrated its risk identification process into the objective setting process. It then explores the benefits that can be derived from integrating the risk identification process into the objective setting process. In support of the aims of the study the corresponding objectives are to determine the extent to which the unit of study has integrated the risk identification process into the objective setting process, to demonstrate the benefits of integrating the two process as well as recommendations on future research and guidelines on integrating risk identification into objective setting. The study concludes that the integration of the risk identification process into the objective setting process starts by setting business objectives and then followed by identifying those events that can negatively impact the achievement of objectives. The integration of the two processes can happen in practice and that there are benefits to the organisation that can be derived from the integration of the risk identification process into the objective setting process as observed by the study. For future research it is recommended that similar studies involving multiple case studies should be conducted to test the applicability of the integration model to a broader population. Other business units within ABSA, just like the Home Loans Division should use the risk identification integration model to identify business risks they are exposed to, that is, if they are not already doing so, taking into consideration their individual circumstances and business planning processes. / Thesis (MBA)-University of KwaZulu-Natal, 2007.

This dissertation explores and explains the reason why banks generally fail and more specifically why banks have failed since South Africa realized democracy in 1994. Bank failures are a global phenomenon and come at a high cost to the depositors , the fiscus and can lead to economic instability should the failure be systematic. There are several causes of bank failures and theoretically, these include credit risk, market risk, liquidity risk, capital requirements , bank regulation, inefficient management and external economic factors. The banks that failed during the period commencing from 1994 to date include Prima Bank, Sechold Bank, African Bank, Community Bank, Islamic Bank, FBC Fidelity Bank, New Republic Bank, Regal Treasury , Saambou and BoE. Detailed analysis of the nine banks referred to above is done in Chapter Four wherein, in respect to each bank, the background of the institution , the analysis of the financial statement, where available or the banking returns lodged with the South African Reserve Bank, reasons for the failure of the bank as well as the resultant outcome of the failure has been examined. The causes of failure, the symptoms of failure and the recommendations for prevention of failure are finally considered and discussed in Chapter Five. / Thesis (MBA)-University of KwaZulu-Natal, Westville, 2006.

This dissertation first investigates the possible house price trend and the relationship with the mortgage market, from the perspective of risk management; then it chooses the angle from bond insurers and figures out possible methods to avoid capital procyclicality. In Chapter I, we apply vector auto regression models (VAR) and simultaneous equations models (SEM) to estimate the dynamic relations among house price returns, mortgage rates and mortgage default rates, using historical data during the time period of 1979 through second quarter 2008. We find that house prices would be better estimated and predicted with the consideration of the mortgage market. In Chapter II, following the methodology of co-integration, we first construct several succinct measures to display the possible intrinsic values of house prices. In the short run, house price return dynamics are investigated by dynamic adjustments following Capozza et al (2002) and error correction models. We examine the possible overshooting problem of house price returns. By analytical derivations and simulations, we demonstrate the effects of the coefficients on overshooting. In Chapter III, we adopt a structural model with time-varying correlations for bond insurers. We consider losses due to bond insurers’ downgrading and losses from both insurance contracts and investment portfolio. On that basis, we propose forward-looking smoothing rules of capital over a full business cycle, instead of only based on a short-term horizon, to avoid the procyclicality. With the smoothed capital, a bond insurer can actually establish some capital buffer in good times to support the potential losses in crisis.

As a result of an increasingly stringent regulation aimed at monitoring financial risk exposures, nowadays the risk measurement systems play a crucial role in all banks. In this thesis we tackle a variety of problems, related to density forecasting, which are fundamental to market risk managers. The computation of risk measures (e.g. Value-at-Risk) for any portfolio of financial assets requires the generation of density forecasts for the driving risk factors. Appropriate testing procedures must then be identified for an accurate appraisal of these forecasts. We start our research by assessing whether option-implied densities, which constitute the most obvious forecasts of the distribution of the underlying asset at expiry, do actually represent unbiased forecasts. We first extract densities from options on currency and equity index futures, by means of both traditional and original specifications. We then appraise them, via rigorous density forecast evaluation tools, and we find evidence of the presence of biases. In the second part of the thesis, we focus on modelling the dynamics of the volatility curve, in order to measure the vega risk exposure for various delta-hedged option portfolios. We propose to use a linear Kalman filter approach, which gives more precise forecasts of the vega risk exposure than alternative, well-established models. In the third part, we derive a continuous time model for the dynamics of equity index returns from a data set of 5-minute returns. A model inferred from high-frequency typical of risk measures calculations. The last part of our work deals with evaluating density forecasts of the joint distribution of the risk factors. We find that, given certain specifications for the multivariate density forecast, a goodness-of-fit procedure based on the Empirical Characteristic Function displays good statistical properties in detecting misspecifications of different nature in the forecasts.

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The East Asian financial crisis and the failures of Enron and Worldcom in the United States of America have put corporate governance and risk management in the forefront of the corporate scenes. McKinsey's global investor opinion survey on corporate governance carried out in 2000 indicated that majority of investors were prepared to pay a premium for companies exhibiting high governance standards. Central to corporate governance is risk management as can be seen from the various codes on corporate governance, namely, Malaysian Code on Corporate Governance and the United Kingdom's Combined Code on Corporate Governance. / Thesis (DBA(DoctorateofBusinessAdministration))--University of South Australia, 2005.

The purpose of this research is to study how the gold production industry has managed the process of hedging, or the forward selling of gold production. This particular research project will review the academic literature on the determinants to hedging and, from an empirical study, find what the industry's management has actually practiced over the last two decades. -- p. 1. / Thesis (DBA(DoctorateofBusinessAdministration))--University of South Australia, 2004.

Thesis (MBusiness-Research)--University of South Australia, 2003.