Thesis (MBA) -- Stellenbosch University, 2007. / ENGLISH ABSTRACT: Hedge funds are amongst the fastest growing types of investment funds, both in tenns of worldwide assets under management, as well as the number of private and institutional investors. More recently, analysts and investors focussed their attention on accurately estimating the inherent risks of hedge funds (e.g, Brooks & Kat, 2001; Fung & Hsieh, 2004). Past research suggests that the traditional approach of assessing the risks of investment funds through mean-variance analysis can lead to severe underestimation of left-hand-tail risks for hedge funds (Amenc, Malaise, Martellini & Vaissie, 2004; Favre & Galeano, 2002; Fung & Hsieh, 1999). This phenomenon is mainly attributab le to the non-normal distribution of monthly hedge fund returns around the mean. In addition, it has been found that skewed return distribution with high excess kurtosis has substantial impact on the rel iability of beta as a measure of systemic risk in hedge funds (Chan, Getmansky, Haas & Lo, 2005). Other problems when estimating hedge fund risks arise from serial correlation of time series (Getmansky, Lo & Makarov, 2003), managerial and survivorship bias (Amin & Kat, 2001 ), as well as spurious bias when estimating performance from economic time series (Fung & Hsieh, 2000). The following thesis provides statistical evidence of the limitations of traditional risk measures when applied to hedge fund investments. It also includes advice on how to improve the significance of the aforementioned risk measures. In the course of the mean-variance analysis, the applicability and reliability of Value at Risk as a risk measurement tool for hedge funds is explored. Furthennore, the reliability and accuracy of different univariate and multivariate regression models is tested. In the final chapter emphasis is placed on the possibilities of predicting the inherent risks of single funds from hedge fund style index performance. This should provide investors and analysts with an introductory framework for the appropriate risk assessment of hedge funds, considering the unique structure and dynamics of these alternative investment funds. / AFRIKAANSE OPSOMMING: Skansfondse tel onder die vinnigste groeiende tipes beleggingsfondse in terme van sowel wereldwye bates onder bestuur as die aantal private en institusionele beleggers. OnJangs het analiste en beleggers hulle aandag daarop begin toespits om die inherente risiko's verbonde aan skansfondse akkuraat te bereken (Brooks & Kat. 2001; Fung & Hsieh, 2004). Vroeere navorsing het daarop gedui dat die tradisioncle benadering om die risiko's verbonde aan beleggingsfondse deur gemiddeldevariansie-analise te takseer, daartoe kan lei dat linkerkantse-eindrisiko's verbonde aan skansfondse emstig onderskat word (Fung & Hsieh, 1999; Favre & Galeano, 2002; Amenc. Malaise, Martellini & Vaissie, 2004). Hierdie verskynsel is hoofsaaklik toe te skryf aan die abnonnale verspreiding van maandeliksc skansfondsopbrengste rondom die gemiddelde. Boonop is bevind dat skewe verdeling met hoe kurtose-oorskryding aansienlik inslaan op die betroubaarheid van beta as 'n meting van sistemiese risiko by skansfondse (Chan. Getmansky. Haas & Lo, 2005). Ander probleme by die raming van skansfondsrisiko's spruit uit tydreekskorrelasie (Getmansky, Lo & Markov, 2003), bestuurs- en oorlewingsydigheid (Amin & Kat, 2002) en vals sydigheid by die beraming van prestasie uil die ekonomiese tydsreeks (Fung & Hsieh, 2000). Hierdie tesis gaan statistiese bewyse lewer van die tradisioncle risikometings se beperkings wanneer dit op skansfondsbeleggings toegepas word. Verder sal daar raad gegee word oor hoe om die beduidendheid van die genoemde risikometings te verbeter. In die loop van die gemiddeldevariansie-analise sal die toepasbaarheid en betroubaarheid van die Waarde onder Risiko as 'n risikometing vir skansfondse ondersoek word. Voorts sal die betroubaarheid en akkuraatheid van verskillende ecnvariaat- en meervariaatregressiemodelle getoets word. In die laaste hoofstuk val die klem op die moontlikheid om die inherente risiko's van enkelfondse aan die hand van 'n skansfondstipe-indeksprestasie te voorspel. Wat hier volg, behoort beJeggers en analistc van 'n inleidende raamwerk vir die toepaslike risikotaksering van skansfondse - met inagneming van die unieke struktuur en dinamika van hierdie altcmatiewe beleggingsfondse - te voorsien.

Thesis (MBA)--Stellenbosch University, 2004. / Some digitised pages may appear illegible due to the condition of the original hard copy / ENGLISH ABSTRACT: The complexity of modern business requires that all managers be, at least, partially responsible for strategic risk management. Therefore, all managers must have an awareness of the business direction of the organisation as a whole; that is, the corporate and business strategy. Companies embark on this journey to ensure their future existence. In this regard, having a risk management strategy allows a company to visualise and aim for its future, because such strategy guides decisions on the allocation of resources throughout the organisation. The risk management strategy encapsulates both desired goals and beliefs about what are acceptable and, most critically, unacceptable means of achieving them. To achieve the above, the ineptitude of traditional risk management strategy rarely seems to dictate unique structural solutions. Rather, the crucial factors in the operational risks processes are most often those of execution and continuous adaptation; of getting things done, and staying flexible. In addition, and to a very large extent, this means going far beyond strategy, to issues of organising structure, people, and the like. Given the historical development arising from the academic and insurance background and its inefficacy in dealing with the array of risks in the fast changing business environment, it is therefore important that risk management be embedded in every aspect of the management structure in an organisation for it to deal holistically with all risks facing it. The major challenge, however, is how to free risk management from the specialist "silos" of academia and insurance that have hindered its growth since inception. The approach of this research study is motivated by a desire to address this challenge. To do so, it employs two scientific research methods, first, to provide basic knowledge of concepts in view of expanding the existing basic knowledge and contribute to the literature of risk management at large by describing its evolution into a modern risk management now known as enterprise risk management, and, second, to use the applied research method in focusing on the specific problem of knowing how to translate theoretical aspects of risks management into business solutions within the context of managing operational risks. This is done by illustration using South African Airways as a Case Study. In view of the above, the aim of this research study is to show how practically to liberate risk management from the clutches of academia and insurance and to give risk management strategic significance at senior management level and tactical significance at operational level within the aforementioned modern technique of enterprise risk management. / AFRIKAANSE OPSOMMING: Die ingewikkeldheid van moderne besigheid vereis dat alle bestuurders ten minste gedeeltelik vir strategiese risikobestuur verantwoordelik is. Daarom moet alle bestuurders bewus wees van die besigheidsrigting van die organisasie as geheel; dit is, die korporatiewe en besigheidstrategie. Maatskappye pak dié reis aan om hul bestaan in die toekoms te verseker. 'n Risikobestuurstrategie stel 'n maatskappy in staat om die toekoms te visualiseer en daarheen te mik, want dié strategie lei besluite oor die toekenning van hulpbronne regdeur die maatskappy. Die risikobestuurstrategie behels die verlangde doelwitte, en die oortuigings van wat aanvaarbaar en wat, uiters belangrik, onaanvaarbaar is om die doelwitte te bereik. Om die bogenoemde te bereik wil dit voorkom of die ongepastheid van tradisionele risikobestuurstrategieë selde unieke strukturele oplossings voorskryf. Die beslissende faktore in bedryfsrisiko-prosesse is gewoonlik uitvoering en voortdurende aanpassing; om dinge te laat gebeur en buigsaam te bly. Daarmee saam, en tot 'n baie groot mate, beteken dit om verby die strategie te beweeg na aangeleenthede van struktuur, mense en dies meer. Gegewe die historiese ontwikkeling van die akademiese en versekeringsagtergrond en die onvermoë om 'n verskeidenheid risiko's in 'n vinnig veranderende sake-omgewing te hanteer, is dit belangrik dat riskobestuur in elke aspek van die bestuurstruktuur van 'n organisasie vervat word. Dit sal verseker dat die organisasie dreigende risiko's holisties benader. Die grootste uitdaging is egter hoe om risikobestuur los te maak van die "spesialissilas" van die akademie en versekering, wat die groei daarvan sedert sy ontstaan belemmer het. Die benadering van dié navorsingstudie word gemotiveer deur 'n behoefte om dié uitdaging aan te pak. Om dit te doen, word twee wetenskaplike navorsingsmetodes gebruik. Eerstens, om basiese kennis te verskaf oor konsepte om die bestaande basiese kennis uit te brei en by te dra tot die literatuur van risikobestuur. Dit word gedoen deur die evolusie hiervan tot moderne risikobestuur, nou bekend as ondernemingsrisikobestuur, te beskryf. Tweedens, om die toegepaste navorsingsmetode te gebruik om te fokus op die spesifieke probleem van hoe om teoretiese aspekte van risikobestuur oor te skakel na besigheidsoplossings in die konteks van die bestuur van bedryfsrisiko's. Dit word gedoen deur die Suid-Afrikaanse Lugdiens as gevallestudie te gebruik. In die lig van die bogenoemde, is die doelwit van dié navorsingstudie tweeledig. Eerstens, om aan te toon hoe om risikobestuur te bevry van die kloue van die akademie en versekering. Tweedens, om die belangrikheid van strategiese risikobestuur op senior bestuursvlak en taktiese risikobestuur op bedryfsvlak uit te lig binne die voorgenoemde moderne tegniek van ondernemingsrisikobestuur.

published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy

This dissertation studies the adverse financial implications of "longevity risk" and "mortality risk", which have attracted the growing attention of insurance companies, annuity providers, pension funds, public policy decision-makers, and investment banks. Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing mortality-linked securities that facilitates the emergence of liquid markets. First, this dissertation introduces the discrete models proposed in previous literature. The models include: the Lee-Carter Model, the Renshaw Haberman Model, The Currie Model, the Cairns-Blake-Dowd (CBD) Model, the Cox-Lin-Wang (CLW) Model and the Chen-Cox Model. The different models have captured different features of the historical mortality time series and each one has their own advantages. Second, this dissertation introduces a stochastic diffusion model with a double exponential jump diffusion (DEJD) process for mortality time-series and is the first to capture both asymmetric jump features and cohort effect as the underlying reasons for the mortality trends. The DEJD model has the advantage of easy calibration and mathematical tractability. The form of the DEJD model is neat, concise and practical. The DEJD model fits the actual data better than previous stochastic models with or without jumps. To apply the model, the implied risk premium is calculated based on the Swiss Re mortality bond price. The DEJD model is the first to provide a closed-form solution to price the q-forward, which is the standard financial derivative product contingent on the LifeMetrics index for hedging longevity or mortality risk. Finally, the DEJD model is applied in modeling and pricing of life settlement products. A life settlement is a financial transaction in which the owner of a life insurance policy sells an unneeded policy to a third party for more than its cash value and less than its face value. The value of the life settlement product is the expected discounted value of the benefit discounted from the time of death. Since the discount function is convex, it follows by Jensen's Inequality that the expected value of the function of the discounted benefit till random time of death is always greater than the benefit discounted by the expected time of death. So, the pricing method based on only the life expectancy has the negative bias for pricing the life settlement products. I apply the DEJD mortality model using the Whole Life Time Distribution Dynamic Pricing (WLTDDP) method. The WLTDDP method generates a complete life table with the whole distribution of life times instead of using only the expected life time (life expectancy). When a life settlement underwriter's gives an expected life time for the insured, information theory can be used to adjust the DEJD mortality table to obtain a distribution that is consistent with the underwriter projected life expectancy that is as close as possible to the DEJD mortality model. The WLTDDP method, incorporating the underwriter information, provides a more accurate projection and evaluation for the life settlement products. Another advantage of WLTDDP is that it incorporates the effect of dynamic longevity risk changes by using an original life table generated from the DEJD mortality model table. / text

Nowadays, safety and environmental awareness about the increased industrial accidents have become a critical issue that concerns both, individuals and governmental policies. This leads to higher demands on the manufacturing industry to be safer and more environmentally friendly. Recently, there has been a number of industrial accidents and serious fires in the world that have increased because of using plastic composite IBC containers in industrial manufacturing. And this becomes a common important issue for all manufacturers that strive to improve their environmental performance. The main purpose of this thesis is to investigate different available options of oil fluid storage and transportation in the industry, and to identify the most crucial factors related to each storage and transportation mode. Those factors are investigated and highlighted regarding to their effect on quality, environment and work environment. The thesis also aims to investigate and analyse the hazards associated with oil storage in the plant and in the warehouse and to use risk management strategies in order to identify and mitigate risks in the early stages. The work is carried out at GKN Driveline Köping AB that required a study of the methods used in industry for oil storage and transportation. Therefore the work focuses on identifying suppliers’ different transportation processes including different packaging options. This report includes an explanation of the methodology that is used to perform the task that the company has entrusted, and also contains a review of the comprehensive literature study. The method used to investigate hazards associated with oil transportation and storage is risk management that includes risk assessment tools, FMEA analysis and Ishikawa diagram. FMEA is performed to analyse both, the company’s current process and the process of filling oil by tank trucks regarding quality, environment and work environment. Benchmarking is another analysing tool used to analyse Volvo Power train and GKN Driveline different performances. The empirical findings are analysed by utilizing the JIT philosophy to identify the non value added activities and then determine the inconsistency with JIT philosophy. Kaizen and possible improvements are identified as well, with the help of the visual map VSM. The results that have been achieved are presented and modified according to what suppliers can provide, what the law demands, what the insurance requires and even what fits with the plant structure. The conclusion includes a description of the relation between internal and external logistics and how the synergy between them affects the choice for different transportation processes. It also includes a suggestion for possible improvement regarding logistical costs and transportation costs.

<p>Physical inactivity is one of the leading risk factors for major non-communicable diseases, which contribute substantially to the global burden of chronic diseases, disability and death. The burden of disability, morbidity and mortality, attributable to non-communicable diseases, is currently enormous in the developed countries and is increasingly growing in the developing countries. The purpose of this study was to investigate the relationship between participation in physical activity and health risk behaviours among high school students in the Mtwara region, Tanzania. The objectives of this study were to identify the physical activity levels among high school students in Mtwara region, Tanzania, to identify health risk behaviours among the above mentioned high school students, to identify the factors that influenced them to engage in health risk behaviours and to establish the relationship between physical activity and health risk behaviours.</p>

Although there have been many studies examining the factors involved in children’s risk of injury, there has been a dearth of research that examines specific individual parental factors in children’s risk of injury. This thesis examined how the attitudes, values, and beliefs of 119 Canadian minor hockey parents of children (aged 9 to 12 years) with respect to their decision-making regarding their children’s safe participation in hockey. Two studies are reported. The first study describes: (a) the development of a questionnaire that quantifies the constructs of perceived control, probabilities, values, risk propensity, competitiveness, and assertiveness expectancies; and (b) a sample of hockey parents in terms of their demographic characteristics and their attitudes, values, and beliefs regarding their children’s participation in minor hockey. The second study examined the relationships between these attitudes, values, and beliefs and a measure of their risk decision-making. Overall, results showed that (a) this sample of hockey parents tended to be well educated, and did not see themselves as being generally over-competitive or aggressive; (b) hockey parents’ attitudes, values, and beliefs regarding their children’s risk of concussion had very little predictive value or reliable connection with respect to their risk decision-making on behalf of their children; and (c) the most significant factors in parents’ risk decision-making were the opinions of their children, and the opinions of the doctors. The implications of these findings for future research and practice are discussed. / Thesis (Master, Education) -- Queen's University, 2012-12-21 16:12:00.221

Socially produced risks – ranging from financial crises to climate change – are of fundamental importance to contemporary economic, political, and social life. Given the central importance of these risks, the development of frameworks that analyze the relation between risk, power, and inequality is a key task for sociology. Ulrich Beck’s theory of risk society is a leading and powerful framework for analyzing the growing social production and distribution of risk, but it has fundamental problems in its understanding of the relation between risk and class. Beck has argued that class relations will be dissolved due to the increasingly equal and catastrophic nature of risks, while, in response, his critics have shown that increasing risk does not undermine class. This thesis explores the important, but as yet unasked, question: if class does continue to be a central factor, will it become even more important due to the changes associated with risk society? In pursuing this question, this study shows how the theory of risk society has conceptual resources and explanatory implications that both Beck and his critics have misapprehended. Firstly, it is argued that the processes associated with risk society tend to exacerbate class inequalities rather than simply dissolving or reproducing them. Secondly, it its argued that the theory of risk society is not antithetical to class analysis, but can actually make an important contribution to theorizing the dynamics of existing class relations. By analyzing how the distribution of environmental bads and the social production and distribution of financial risk tend to intensify class inequalities, this thesis substantiates this re-theorization of risk society and class. It thereby makes a fundamental intervention into contemporary understandings of the relation between risk, inequality, and power in the twenty-first century. / Thesis (Ph.D, Sociology) -- Queen's University, 2013-08-26 11:44:32.979

This thesis deals with the perceptions of agroforestry among farmers in Babati, north- central Tanzania. The focus is on which resources farmers perceive that they need to adopt agroforestry and which risks that are connected with agroforestry adoption. It is also to see how farmers perceive that the access to resources changes after agroforestry adoption and how their livelihoods change. The data has been collected through qualitative interviews with agroforestry farmers, conventional farmers and extension officers. After that the data has been analyzed through the sustainable livelihood approach and a risk perception theory. The results show that some of the obstacles or risks that farmers perceive with agroforestry adoption are high input costs, dependency on short-term benefits, competition between trees and crops and lack of education from extension services. Without financial capital and human capital in terms of knowledge there might be too many risks connected with adoption. If agroforestry however is adopted the farmers perceive that the access to firewood, timber and fruits increase which increase their incomes and therefore financial capital. They also perceive that the fruits improve food security and that the timber improves the housing. The firewood is also perceived to improve the situation for women as they do not have to walk as far to collect the firewood. Agroforestry is also perceived to provide environmental services like erosion prevention and increased soil fertility, therefore it increases natural capital. Some trees can also be used as natural pesticides. The increased soil fertility or the access to natural pesticides, however does not seem to affect the use of industrial fertilizers or pesticides. Agroforestry is also not perceived to have any effects on biodiversity or water quality. Even if agroforestry may not be a good choice for all farmers, it can for some farmers increase their ability to cope with stress and shocks like future climate change. This is because the agroforestry system can work as a buffer against increased climatic variability.

In exploring current responses to crime, particularly youth involvement in gangs, this thesis examines two approaches: Crime Prevention through Social Development (CPSD) and risk-based prevention. The former is associated with the provision of socially-designed measures to address and eliminate the risk factor associated with persistent offending. The latter, however, refers to the implementation of risk management and statistical assessment to manage the risk factor associated with persistent offending. In light of these two approaches, this thesis examines a debate which purported that crime prevention practices has wholly shifted away from an emphasis on CPSD towards risk-based prevention. This thesis also examines the opposing debate which explains that CPSD and risk-based prevention have emerged into a balanced approach. Taking into account 19 youth gang prevention projects in Canada, the above debates are investigated. Drawing from the analysed project, this thesis concludes that, the crime prevention practices of the analyzed projects significantly rely on risk-based prevention. As a result, the approaches of CPSD still exist in rhetoric and in practice however, its influence on crime prevention initiatives is very limited. Hence, current approaches neither reflect a total shift away from CPSD nor a balanced approach.