Thesis (M.S.)--West Virginia University, 2003. / Title from document title page. Document formatted into pages; contains vii, 51 p. : ill. (some col.) Includes abstract. Includes bibliographical references (p. 40-41).

Thesis (Ph. D.)--University of Washington, 2003. / Vita. Includes bibliographical references (leaves 64-79).

Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: portfolio risk decomposition; principal components regression; principal components analysis; mortgage-backed securities. Includes bibliographical references (p. 88-89).

The basic premise of risk-based auditing is that more (fewer) audit resources should be allocated to accounts that are more (less) likely to be misstated. However, financial reporting managers can exploit such allocations by intentionally misstating balances that are less likely to draw auditor attention. If auditors do not recognize this strategic implication of risk-based auditing, undetected misstatements among ostensibly low-risk accounts could be much more common than traditional risk assessment procedures suggest. The purpose of this study is to examine whether prompting auditors to form beliefs about managers’ expectations of, and responses to, audit strategies can enhance auditors’ sensitivity to the strategic risk of fraud among accounts typically considered low-risk. Using a multi-account audit game, I find that auditors do not naturally attune to strategic risks but instead tend to focus resources on “highrisk” accounts. However, when auditors are prompted to reason strategically, they utilize more resources and devote that increase almost entirely to “low-risk” accounts. I also find that, although increasing available resources does result in an overall increase in the amount of utilized resources, the relative effect of the strategic prompt is robust to the level of available audit resources. / text

In this dissertation I investigate initial public offering prospectuses to examine institutionalized outcomes about risk and strategy and test whether information about those outcomes can be used to predict firm performance. I use three conceptual perspectives—managerial risk, New Institutional theory, and Organizational Cognition—to explore these outcomes in the main body of this thesis. The main body contains four articles that, although connected by a common thread, are designed as independent standalone papers. In Chapter 2 I examine the risk factor section of 529 prospectuses from firms that went public of US stock exchanges in 1995 and 1996. Using this data I create a comprehensive content cognitive map of 98 risk factors at represent the content of IPO field's risk knowledge structure. I then identify three methods for measuring these risk factors—pervasiveness, priority, and proportion. Following this I examine how the IPO field structures the risk knowledge structure. In Chapter 3 I use the content map developed in Chapter 2 to test whether I can use this information to predict firm performance. Using the IPO data, I develop several risk measures and compare these to existing proxy measures. I then use multiple regression analyses to test the reliability and validity of the various measures. The final result is a risk factor measure, the BROAD measure, which produced the most consistent results. In Chapter 4 I expand the investigation by examining'how firms and fields make sense of strategy and how it relates to the risk factors. In this chapter I compare three fields with differing" levels of institutionalization to see whether I can find unique institutionalized outcomes—industry recipes—about risk and strategy. In this Chapter I find strong support for the idea that fields have distinctive industry recipes. The results show that the dynamics of these industry recipes differ according to the level and type of institutionalization. Finally, in Chapter 5 I test firm level cognitive maps against the field level industry recipes to examine whether conformity, convergence, or divergence matter to IPO performance. There is some support for the idea that firm conformity to an industry recipe improves firm performance. Additionally, in some institutional conditions, convergence toward an industry recipe also improves IPO performance.

Humans domesticate nature to suit their needs. Such alterations can create trade-offs between human needs and ecosystem services. Quantification of these trade-offs is needed to domesticate nature more wisely. My thesis quantifies tradeoffs between invasive species control and the rehabilitation and protection of native fishes associated with the preservation and relocation of the dam on the Black Sturgeon River on the north shore of Lake Superior. I evaluated the trade-offs in terms of five performance measures: abundances of walleye, sea lamprey, lake sturgeon, and northern brook lamprey, and financial cost. I found that the management of the Black Sturgeon River would depend on value judgments because of the high complexity and uncertainty of the system. The analysis of the Black Sturgeon River could be an example of how to evaluate the trade-offs between invasive species control and native fish passage and be used for similar systems which share this trade-off.

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 thesis focuses on construction, properties and estimation of asymmetric heavy-tailed distributions, as well as on their applications to financial modeling and risk measurement. First of all, we suggest a general procedure to construct a fully asymmetric distribution based on a symmetrically parametric distribution, and establish some natural relationships between the symmetric and asymmetric distributions. Then, three new classes of asymmetric distributions are proposed by using the procedure: the Asymmetric Exponential Power Distributions (AEPD), the Asymmetric Student-t Distributions (ASTD) and the Asymmetric Generalized t Distribution (AGTD). For the first two distributions, we give an interpretation of their parameters and explore basic properties of them, including moments, expected shortfall, characterization by the maximum entropy property, and the stochastic representation. Although neither distribution satisfies the regularity conditions under which the ML estimators have the usual asymptotics, due to a non-differentiable likelihood function, we nonetheless establish asymptotics for the full MLE of the parameters. A closed-form expression for the Fisher information matrix is derived, and Monte Carlo studies are provided. We also illustrate the usefulness of the GARCH-type models with the AEPD and ASTD innovations in the context of predicting downside market risk of financial assets and demonstrate their superiority over skew-normal and skew-Student's t GARCH models. Finally, two new classes of generalized extreme value distributions, which include Jenkinson's GEV (Generalized Extreme Value) distribution (Jenkinson, 1955) as special cases, are proposed by using the maximum entropy principle, and their properties are investigated in detail.

Background: Risk assessment of sexual violence involves evidence based evaluation of the risks posed by sexual offenders. It informs risk management; the provision of treatment that reduces the risk of future sexual violence. Previous research has focused on assessment of the predictive accuracy of different risk assessment tools, as well as the identification of risk factors that are associated with recidivism. In contrast, the clinical practice of risk assessment is a research area that has been neglected. The aim of this thesis was to explore the practice of risk assessment in a specialist sex offender liaison service (SOLS). Particular attention was paid to the structured professional judgement method of risk assessment. Method: A systematic review of the literature identified psychological factors associated with sexual recidivism in adult male offenders. Study 1 employed a cohort quantitative design and aimed to ascertain whether risk judgements made by the SOLS were predicted by factors that were identified by the systematic review (and previously existing meta-analyses) as being evidence based. Ordinal logistic regression and linear regression analyses (N = 96) were used to investigate the hypothesised predictive associations between variables. Study 2 utilised a qualitative framework analysis (N = 31) and aimed to explore the views of users of SOLS risk assessments with respect to their practical utility. Results: The systematic review suggested that psychopathy and sexual deviance were supported as risk factors for sexual recidivism. Inconsistent results were found with respect to denial. Study 1 found that psychopathy, denial, and sexual preoccupation were significantly associated with risk judgement scores made by the SOLS, while sexual deviance, and problems with intimate relationships, were not. The best explanatory model accounted for only 40 per cent of the variance in risk judgement score. Study 2 revealed five major themes: informing risk management; confirming what was known and giving weight; understanding personality; treatment; and the usefulness and limitations of risk assessment.

This thesis analyses the social dimensions of the risk of animal biopharming (the genetic modification of animals to produce pharmaceuticals) in New Zealand, in the context of a wider discussion of the social nature of risk. In doing so, it offers a different conception of risk and risk assessment than is currently used within the government policy of New Zealand. Current policy has focused on technical evaluations of risk, in which the technology being analysed is not assessed within the social context it will enter and risk is compartmentalised into quantifiable and standardised data. This approach both serves to legitimate "experts" as the true judge of risk, and also isolates members of the wider public to the realm of "ethical" discussion and participation. Such policy, I argue, does not lend itself to good decision-making, as risk management procedures, built on the back of risk assessment, often prove to be impractical when entering complex and ambiguous social environments. Likewise, this form of risk assessment often fails to account for risk that could be identified by those with in-depth knowledge of the environment, both social and physical, that the technology will enter. This thesis pilots aspects of an alternative approach, which aims to elicit information about the relevant environment. It demonstrates how one might identify and interview those with what is termed here as "local knowledge", and how that knowledge can make a significant contribution to risk identification and assessment and the identification of social implications. The thesis concludes not only that local knowledge can contribute practically to risk assessment, but also that the concepts of risk and expertise must be widened to include social and contextual behaviour and knowledge.