Using publicly available data from three South African Development Finance Institutions (DFI's), this study examines the risk appetite of Business Partners (BP), the National Empowerment Fund (NEF) and the Small Enterprise Finance Agency (SEFA). This study analyses data between 2011 and 2015 to determine the DFI's risk appetite and to identify key determinants of risk appetite with regard to funding SMEs, specifically startups. The study's findings reveal that South African DFI's have a high to extremely high-risk appetite level and that state-owned DFI's, NEF and SEFA have a higher risk appetite for funding SMEs specifically startup related loan products than private DFI BP. The study's findings also illustrates that South African DFI's risk appetites have a weaker negative relationship with shorter-term financial products than longer-term financial products indicating a higher risk appetite for funding shorter-term financial products.

This study examines the emergence of risk governance arrangements in US bank holding companies (BHCs) and tests for their impact upon performance and risk profiles. Following the financial crisis, regulators introduced several new risk governance processes, including the adoption of Risk Appetite arrangements and the establishment of Risk Committees, both board level features. In this study, a research gap is unearthed with respect to risk governance practices and their impact upon BHC performance and risk measures. The motivation of this research is to validate the adoption of these board-level practices in an evidence-based framework. The empirical research method relies on the collection of a unique data set. The sample covers a significant dollar-weighted portion of the US banking system. Multivariate analysis facilitates the testing of risk governance mechanisms to outcome variables, while controlling for firm-specific and standard corporate governance variables. The practical implication of this study with respect to Risk Appetite is clear. BHCs that practice Risk Appetite arrangements exhibit improved performance and lower realised loan losses. In contrast, while some limited evidence is presented that the marketplace may reward BHCs for certain composition aspects of the Risk Committee, the overall results suggest that the requirement for a Risk Committee has little impact to BHC’s operating performance and risk measures. In terms of academic contribution, this study examines two major risk governance mechanisms within a common framework, presenting evidence of a significant and positive impact of the board level articulation of Risk Appetite arrangements to a suite of BHC performance measures and a negative association to loan losses. As the first known empirical research study of Risk Appetite, it confirms that this board level mechanism should be included as an explanatory variable in bank or risk governance related empirical research studies. These findings provide industry practitioners (including BHC chief executive officers and board members) convincing arguments for the immediate adoption of Risk Appetite arrangements. US Regulators, who introduced Risk Appetite requirements in 2014 for larger BHCs, are presented with validation by this study for wider adoption of this risk governance mechanism, even if such practices are voluntarily adopted by BHCs. As signs begin to emerge in the United States of the possible relaxation of the regulatory requirements of certain aspects of the Dodd-Frank Act, this study contributes to this debate in a timely fashion by testing the veracity of two key supervisory-driven risk governance practices aimed at the boardroom in an evidence-based evaluation.

Summaries in English, Afrikaans and Zulu / The significance for a bank to determine its risk appetite has become crucial over the years, based on past and recent risk events in the financial services sector. Regulatory pressure, a focus on corporate governance and risk management have been stimuli for many changes in the financial industry. An example is the need to establish an operational risk appetite framework. It is against this background that the study aimed to identify guiding principles for an operational risk appetite framework that can be used to determine the operational risk appetite of a bank. The study entailed a literature review and an empirical analysis of the principles for an operational risk appetite framework for the banking industry of South Africa. A survey was used to collate the data. Also, the researcher endeavoured to establish a gap between the principles and the current status of implementation of the confirmed principles. The descriptive and inferential results indicated that most of the identified principles were viewed as important and crucial for an operational risk appetite framework for a South African bank, although some were not yet fully implemented. The study also confirmed the principles for an effective operational risk appetite framework to comply with regulatory requirements and to ensure a sound risk management process to support the achievement of business objectives. / Dat 'n bank in staat is om sy risikoaptyt in die finansiëledienstesektor vas te stel, is betekenisvol en dit het oor jare heen vanweë vorige en onlangse risikogebeurtenisse van kritieke belang geword. Die druk van regulering, 'n fokus op korporatiewe bestuur en risikobestuur is stimuli vir talle veranderinge in die finansiële bedryf. 'n Voorbeeld hiervan is die noodsaaklikheid daarvan om 'n operasionele risikoaptytraamwerk op te stel. Teen hierdie agtergrond het die studie beoog om riglyne te identifiseer vir 'n operasionele risikoaptytraamwerk wat gebruik kan word om 'n bank se operasionele risikoaptyt te bepaal. Die studie omvat ’n literatuuroorsig en ’n empiriese ontleding van die beginsels van ’n operasionele risikoaptytraamwerk vir die bankbedryf in Suid-Afrika. ’n Opname is gebruik om die ingesamelde data te vergelyk, en die navorser het gepoog om ’n leemte tussen die beginsels en die huidige stand van implementering van die bevestigde beginsels uit te wys. In die beskrywende en inferensiële resultate word aangedui dat die meeste van die geïdentifiseerde beginsels beskou word as belangrik en kritiek vir ’n operasionele risikoaptytraamwerk vir ’n Suid-Afrikaanse bank, al word sommige beginsels nog nie ten volle geïmplementeer nie. Die studie bevestig die beginsels van ’n effektiewe operasionele risikoaptytraamwerk met die oog daarop om aan reguleringsvereistes te voldoen en ’n deurdagte risikobestuursproses te verseker en sodoende die verwesenliking van sakedoelwitte te ondersteun. / Ngokuhamba kweminyaka kuya kubaluleka kakhulu ukuba ibhanki iwujonge ngononophelo umngcipheko enokuwuthatha, ngenxa yokubona iziganeko zomngcipheko ezenzekileyo kwicandelo leenkonzo zoqoqosho. Uxinzelelo lolawulo, ugxininiso kulawulo lweenkampani kunye nolawulo lomngcipheko zizinto eziphembelele iinguqu ezininzi kurhwebo lokwenza imali. Umzekelo sisidingo sokuseka uphahla lokusebenza ngomngcipheko. Zezi zinto ezibangela ukuba esi sifundo sijolise ekufumaniseni iinqobo ezisisikhokelo sokuqwalasela umngcipheko onokuthathwa, nesinokusetyenziselwa ukulinganisela umngcipheko onokuthathwa yibhanki. Esi sifundo siphengulule uluncwadi olukhoyo ngalo mbandela kunye nohlalutyo olunobungqina lweenqobo ezinokusetyenziselwa ukulinganisela umngcipheko onokuthathwa licandelo leebhanki zoMzantsi Afrika. Kwenziwa uhlolo zimvo ekuqokeleleni iinkcukacha zolwazi. Umphandi wabuya wazama ukubonisa umahluko phakathi kweenqobo ezimiselweyo nemeko ekuyiyo ekusetyenzisweni kweenqobo ezivunyiweyo. Iziphumo ezichazayo nezicingelwayo zibonise ukuba uninzi lweenqobo zibonwa njengamanqaku abalulekileyo nangundoqo okwenza uphahla lokusebenza ngomngcipheko onokuthathwa yibhanki eMzantsi Afrika, nangona ezinye zingekasetyenziswa ngokupheleleyo. Esi sifundo siphinde sangqinisisa iinqobo zophahla olululo lokusebenza ngomngcipheko onokuthathwa ezimele ukuthobela imigaqo elawulayo nokuqinisekisa inkqubo yomgcipheko eqinileyo yokuxhasa ukufunyanwa kweenjongo zoshishino. / Business Management / M. Com. (Business Management)

The crucial decisions that impact the performance of an organisation are usually taken by the Chief Executive Officer (CEO). However, little is known about the impact that a CEO's risk appetite has on the decision making processes and its ultimate impact on company performance. A greater understanding of the relationship between CEO risk appetite and organisational performance will facilitate the improvement of strategy formulation for the purpose of managing risk appetite at an executive level.A qualitative exploration into the factors that have been acknowledged as contributory aspects in the development of executive risk appetites highlighted the aspects which had the greatest association to the formation of CEO risk appetite. These aspects were utilised in the formation of an interview schedule that evaluated the perceptions of seven CEOs regarding their risk appetite preferences.Using the findings of the CEO interviews, a model was formulated to quantify CEO risk appetite and test its relationship with company performance, which had been calculated via a quantitative analysis of company financial records.The findings of the analysis into the relationship between CEO risk appetite and company performance indicated a positive linear relationship between the two variables. The research findings regarding the factors contributing to CEO risk appetite also proved consistent with the majority of the literature on the subject.The implication of the findings for South African organisations will be an improved understanding of the relationship between CEO risk appetite and organisational performance and the ability to develop strategy around managing this relationship. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Background: With the rapid advancements in technology, cybersecurity has become a topic of great importance. However, the weakest link in cybersecurity programs is mainly due to human error. Proper cyber-behavior training and up-to-date information are crucial for employees to defend against cybercrimes, as criminals continue to exploit human vulnerabilities. Cybersecurity has become a critical aspect of today's digital world, necessitating comprehensive policies and practices that align with an organization's overall risk management strategy. Social engineering, a tactic employed by cybercriminals, exploits human weaknesses and biases, making prevention and detection more challenging. There are limited understanding of how human behavior affects leaders in engaging with social engineering practices, as well as a lack of consensus on implementing policies related to social engineering. Purpose: Considering the limited understanding of human behavior in cybersecurity, the purpose of this thesis is to investigate and analyze how different Swedish organizations perceive, enact, and are influenced by the awareness of social engineering in cybersecurity and risk management. Method: This is a qualitative thesis that has followed a case study research design and a positivism research philosophy, the approach has been inductive, and data has been collected through semi-structured interviews. Conclusion: Cybersecurity is an ongoing arms race with no foreseeable end in sight, as strategies and methods of attack are constantly evolving. With the data gathered, we discovered that there is a lack of awareness of how the threats can be approached and how to manage them, as well as different strategies that different organizations had employed to tighten the margin of error. The findings suggest a need for increased awareness and education to improve cybersecurity in Swedish organizations. We became aware that organizations exhibit a greater level of naivety than previously assumed, accompanied by the presence of optimism bias. Considering these findings, we strongly advise raising awareness through comprehensive employee education and adopting the Principle of Least Privilege (POLP) to enhance security measures and the awareness that is necessary. To adopt a more holistic perspective, we have derived a modified version of the risk appetite framework that can effectively facilitate the implementation of these recommendations.

In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. The distributions are obtained from historical data on equity indexes and from a wide spectrum of option prices with one month until the options expires. All data is provided by Refinitiv through Öhman Fonder. The indexes studied throughout the thesis is provided by authors from financial institutions such as Bank of England, Bank of International Settlements and Credit Suisse First Boston. I conclude in this thesis that the Credit Suisse First Boston index and the Bank of International Settlements index generated the most intuitive result regarding expected response after major financial events. A principal component analysis demonstrated that the Credit Suisse First Boston index held most of the information in terms of explanation of variance. At last, the indexes was used as a trend-following strategy for asset allocation for switching between a safe versus a risky portfolio. A trend in the risk appetite was studied for 2 to 12 months back in time and resulted in that all of the risk appetite indexes studied throughout the thesis can be a helpful tool to asset allocation. / I denna rapport studeras tre riskaptit index från början av år 2006 till slutet av första kvartalet år 2019. Ett av riskaptit indexen är beroende av årlig avkastning och volatilitet hos flera olika riskabla och säkra tillgångar medan de andra två är beroende på subjektiva och risk neutrala sannolikhets-fördelningar. Fördelningarna erhålls från historisk data från olika aktieindex och från ett brett spektrum av options priser med en månad till optionerna förfaller. All data kommer från Refinitiv genom Öhman Fonder. Indexen som studeras i rapporten är ursprungligen härledda av författare från finansiella institut som Bank of England, Bank of International Settlements och Credit Suisse First Boston. I denna rapport kommer jag fram till att indexen från Credit Suisse First Boston och Bank of International Settlements genererar det mest intuitiva resultatet beträffande förväntningar efter större finansiella händelser. En principal komponent analys visade på att Credit Suisse First Bostons index innehöll mest information i form av förklaring av variansen. Tills sist så användes riskaptit indexen som en trendföljande strategi för tillgångsallokering mellan en säker och en riskfylld portfölj. Trenden i riskaptiten studerades från 2 till 12 månader bak i tiden och resultatet visar på att alla undersökta riskaptit index i denna rapport kan fungera som ett verktyg för tillgångsallokering.

Ett vanligt förekommande problem för investerare som använder trendföljande strategier är att de ofta hamnar felpositionerade när en trend tar slut. I den här studien visas hur ett riskaptitsindex, Global Risk Appetite Index (GRAI), kan användas för att förutspå dessa trendbrott och på så sätt förbättra trendföljande strategiers prestation. Indexet implementeras som indikator i tre olika trendföljande strategier och lyckas under rätt förutsättningar förbättra alla strategiernas prestation, under backtesting över de senaste 16 åren. Strategierna presterar generellt bäst, det vill säga ger högst avkastning i förhållande till risken, då signal att marknaden kommer vända ges 2-3 veckor efter att indexet når någon av extremzonerna panik eller eufori. Extremzonerna definieras som 5:e respektive 95:e percentilen av indexets värde under en tidsperiod bakåt i tiden. Bäst resultat erhålls då denna tidsperiod är 2-3 år.  Vidare undersöks alternativa sätt att beräkna Global Risk Appetite Index. Tillgångarna som studeras för att ge en bild av riskaptiten varieras och det visar sig att en version som endast studerar sex olika marknadsindex förbättrar de trendföljande strategierna mest, vilket är en klar förenkling över de 64 tillgångar som används i den ursprungliga versionen av indexet. / A regular problem for investment managers who use trend following strategies are that they often find themselves badly positioned when at the end of a trend. In this study it is shown how a risk appetite index, Global Risk Appetite Index (GRAI), can be used in order to predict these trend breaks and thereby improve the performance of trend following strategies. The index is implemented as an indicator for three different trend following strategies and given the right parameters, the return of all three strategies is increased during backtesting on data from the previous 16 years. In general, the strategies give the highest return in relation to risk when signal that the trend will reverse is given 2 to 3 weeks after the index reaches one of the extreme zones, Panic or Euphoria. These extreme zones are calculated as vales under the 5:th or over the 95:th percentile of the index’s value over a certain window back in time. The best result is achieved when this timespan is 2 to 3 years. Furthermore, alternate ways to calculate Global Risk Appetite Index are studied. The assets that are analysed in order to quantify the risk appetite are varied and it is shown that a version of GRAI analyzing only 6 more summarizing market indices give better results when used in trend following models. This is a clear simplification from the 64 assets used in the original version of the index.

This research sheds light on the nature of the role of the operational risk controller in the financial services industry. The focus is on understanding how operational risk controllers interact with different layers of the organisation and become influential with the business lines and senior management. Nine semi-structured interviews were conducted with operational risk controllers, and it was found that their work is becoming increasingly focused on managing people with a view to creating mutual understanding. To achieve this, operational risk controllers should work more as independent facilitators in their interactions with the first line and senior management, as engaged toolmakers when adapting and reconfiguring tools, and as non-financial risk controllers when attempting to enable business leaders to understand the magnitude of operational risks.

2008年由次貸引爆之全球金融風暴，除造成美國金融機構破產及併購，亦波及製造業，深究其原因，不外乎輕忽風險管理建立與執行之落實，未完整量化與管理企業所能承受之風險；尤其人壽保險業所銷售之保險契約，各國監理機關皆強化壽險業之監管，以風險資本為壽險業評估清償能力之指標。 風險胃納顯示企業對風險基本態度，包括企業承擔風險之意願，風險限額及控管模式，風險容忍度是揭露企業風險管理之量化和質化結果。本研究依風險基礎資本額制度（Risk-Based Capital，RBC）建立公司整體市場風險容忍度之設定，依據風險限額及預警指標建立控管程序，並檢視個案金融機構風險容忍度之擬定流程。 依個案公司風險限額及預警指標之建立流程，並評估該公司於2007-2008年全球金融風暴之實際財務影響，歸納結果如下；(1)除交易單位風險限額外，並應訂定交易商品及交易員風險限額導入前台交易系統；(2)應增計利率風險；(3)除市場風險限額外，應建置信用風險限額、作業風險限額模組，架構公司整體風險胃納及風險容忍度，並執行限額管理；(4) 發展即時監控系統，檢視公司風險承受度。 / In 2008, global financial crisis, inspired by subprime mortgage, not only caused bankruptcy and mergers and acquisitions of U.S. financial institutions but also spread to manufacturing. Taking a close look at the reasons, they are overlooking the establishment and implementation of risk management implementation and incompletely quantitating the risk that the management companies can bear. National supervisory authorities have strengthened supervision of the insurance industry and established risk capital as an indicator for the insurance industry to assess the solvency. Risk appetite shows the company’s basic attitude towards risk, including the willingness to take risks, risk limit, and control mode. Risk tolerance is to expose the results of the company’s risk management of quantitative and qualitative. This study is according to RBC (Risk-Based Capital) to set the company’s overall market risk tolerance and based on risk limit and early warning indicator to set control procedures. Besides, this study surveys the financial institution case whose preparation process of risk tolerance. According to the case’s established procedures of risk limit and early warning indicator, assessing its actual financial impact during global financial crisis from 2007 to 2008, this study summarizes as follows: (1) In addition to the risk limit of the trading unit, front-end trading system of trading goods and traders into risk limits should be established. (2)Increase the caculation of the interest rate risk. (3) Beside the market risk limit, credit risk limit and operational risk limit model should be established. Build the company’s overall risk appetite and risk tolerance, and implement the quota management. (4) Develop the real-time monitoring system and survey the company’s risk tolerance.

The subject matter of the study is subjective risk picture as a component of risk culture. The object matter of the study is risk as a psychological phenomenon. Graduation qualification work consists of an introduction, three chapters, conclusions, a list of references (80 sources) and applications: forms of applied techniques, examples of dendograms. The volume of the master's thesis is 137 pages, which include 10 figures and 11 tables. The introduction reveals the urgency of the chosen research problem, the level of development of the problem, the purpose and objectives of the study are established, the subject and object of the study is determined, a working hypothesis is formulated, methods, methods and an empirical basis are determined, as well as the research stages. The first chapter includes a review of foreign and domestic literature on the topic of research, the psychological aspects of risk and risk behavior described in the scientific literature and research. The sections devoted to the peculiarities of the phenomenon of risk, the connection of representations at the conscious and unconscious level are presented. Conclusions on the first chapter are the results of studying the theoretical material. The second chapter is devoted to methods and methods of research, includes a description of the general principles of the phenomenological method, psychosemantic approaches in the study of consciousness and personality, as well as a description of questioning techniques. The conclusions of Chapter 2 substantiate the choice of the main methods and techniques for conducting the study. The third chapter is devoted to the empirical part of the study. It includes the characteristics of the procedure of the study, selected methods and results obtained after applying the techniques. As the main tool, the "Semantic differential method" was used, the test questionnaire of A.G. Shmeleva "Study of the propensity to take risks"; test-questionnaire "Self-assessment of propensity to extreme-risk behavior (M. Tsukerman); test-questionnaire "Readiness for risk" (AM Schubert); Melbourne Decision Making Questionnaire. The chapter presents the results of a study of factor, cluster, and correlation analysis. The findings of Chapter 3 are the main results of the empirical study. In conclusion, brief results of the theoretical and empirical parts of the work are given, as well as conclusions on the working hypothesis. / Предмет исследования: субъективная картина риска как составляющая рискологической культуры. Объект исследования: риск как психологическое явление. Выпускная квалификационная работа состоит из введения, трех глав, выводов, списка литературы (80 источников) и приложений: бланки прикладных методик, примеры дендограмм. Объем магистерской диссертации составляет 137 страниц, включая 10 рисунков и 11 таблиц. Введение раскрывает актуальность выбранной проблемы исследования, уровень развития проблемы, устанавливаются цель и задачи исследования, определяется предмет и объект исследования, формулируется рабочая гипотеза, определяются методы, методики и эмпирическая база, а также этапы исследования. Первая глава включает обзор зарубежной и отечественной литературы по теме исследования, психологические аспекты риска и рискованного поведения, описанные в научной литературе и исследованиях. Представлены разделы, посвященные особенности феномена риска, связи представлений на осознанном и бессознательном уровне. В выводах по первой главе представлены результаты изучения теоретического материала. Вторая глава посвящена методам и методикам исследования, включает в себя описание общих принципов феноменологического метода, психосемантических подходов в исследовании сознания и личности, а также описание опросных методик. Выводы по 2 главе обосновывают выбор основных методов и методик для проведения исследования. Третья глава посвящена эмпирической части исследования. Она, включает в себя характеристику процедуры исследования, выбранные методики и результаты, полученные после применения методик. В качестве основного инструментария был использован «Метод семантического дифференциала», тест-опросник А.Г. Шмелева «Исследование склонности к риску»; тест-опросник «Самооценки склонности к экстремально-рискованному поведению (М.Цукерман); тест-опросник «Готовность к риску» (А.М. Шуберта); Мельбурнский опросник принятия решений. В главе представлены результаты исследования факторного, кластерного и корреляционного анализа. Выводы главы 3 являются основными результатами эмпирического исследования. В заключении приведены краткие результаты теоретической и эмпирической частей работы, а также выводы относительно рабочей гипотезы.