The dilemma of money laundering is an undeniable problem faced by many institutions all over the world. Due to its prevalence, the need for organisations to deal with the problem has become a global priority, regardless of the size of the financial institutions. Despite the compliance AML efforts undertaken by various institutions, AML compliance appears to be a daunting challenge, the question posed by this research is whether there is a need for independent anti-money laundering (AML) compliance reviews, given the invasive nature of money laundering in financial institutions. Secondly, the research addresses the question of who is well positioned to perform the independent AML compliance reviews. In addressing the second question, the research will discuss why internal audit is an invaluable resource in terms of risk management processes and the reasons why they are an integral part of the AML solution. / Dissertation (MPhil)--University of Pretoria, 2013. / gm2014 / Auditing / unrestricted

PhDENV (Hydrology) / Department of Hydrology and Water Resources / This study developed operating rules for groundwater supply from a probabilistic (risk-based) approach. Groundwater supply systems are often operated without relating groundwater yield/availability to demand which makes groundwater resource planning and management challenging and unpredictable. Risk-based approaches for developing groundwater operating rules comprehensively incorporate assurance of supply and also account for uncertainty due to model inputs, model structure and climate variability. A groundwater resource unit (GRU) was delineated and its hydrogeological conceptual model developed. Automatic curve matching was used to identify appropriate aquifer models and test solutions for estimating hydraulic characteristics (storativity, transmissivity and hydraulic conductivity) based on Aquifer Test Solver (AQTESOLV) Pro version 4.5. Limited groundwater levels and rainfall data were infilled and/or extended using Output Error-Nonlinear Hammerstein Weiner (OE-NLHW) and non-parametric regression (NPR), respectively. Performances of these models were based on relative error (RE), correlation coefficient (COR), root mean square error (RMSE), coefficient of determination (R2) and Nash Sutcliffe coefficient of efficiency (NSE). A program for generation of monthly groundwater levels for the GRU was coded in FORTRAN based on the revised version of the Pitman model (referred to as GW-PITMAN model). The model was calibrated using groundwater levels from a neighbouring borehole due to lack of observed representative data for the GRU. Validation was done by establishing the realistic nature of simulated runoff, recharge and groundwater levels. A Variable Length Block (VLB) bootstrapping model was used for simultaneous generation of stochastic inputs (rainfall, evaporation and groundwater levels) of the groundwater operating rules model. Operating rules were developed from statistical analysis of 100 base yields for the GRU simulated from 5-year long stochastically generated sequences (with length of 34 years) of rainfall, evaporation and groundwater levels. The hydrogeological conceptual model indicated presence of faults and diabase dykes which influence preferential flow paths and storage of water in the aquifer. Identified aquifer test solutions were found to be suitable for estimation of hydraulic characteristics, since they had generally good model fits and low mean residual errors. Heterogeneous aquifer types were identified though leaky aquifer dominated. Storativity, transmissivity and hydraulic conductivity values ranged from 0.0003-0.060, 0.78-12.3 m2/day and 0.074-0.460 m/day, respectively, indicating limited storage with potential for local groundwater supply for private consumption. Graphical fits for observed and estimated rainfall and groundwater levels were mostly comparable, though scatter plots indicated cases of underestimation and overestimation of observed values. R2, COR, NSE, RMSE and RE values were 0.76 and 0.7, 0.87 and 0.84, 0.75 and 0.68, 3.67 and 3.03 mm and 30 and 29% for both calibration and validation runs, respectively, for NPR model. R2, COR, NSE, RMSE and RE were 0.99 and 0.86, 0.97 and 0.93, 0.99 and 0.84, 0.03 and 0.01 m and 0.08 and 0.11% for both calibration and validation runs, respectively, for OE-NLHW model. The models were therefore found to have efficient calibration and validation, and were thus, suitable for data extension. Estimated groundwater levels, streamflow and groundwater recharge for both calibration and validation runs of the GW-PITMAN model, generally fluctuated with changes in rainfall, indicating that they are realistic. Majority (9 out of 10) of the historical statistics were mostly well preserved by VLB, except for skewness. Historic highest groundwater levels were also not well preserved. Superimposing the cumulative demands on the base yield curves and analysis of percentages of water demands that can be supplied indicated that the groundwater system could not meet the water demands at all times. To promote sustainable multipurpose use of water that can enhance rural livelihoods, allocating water using priority classification was found to be essential. Operating rule curves for groundwater supply were derived using a risk-based approach. The operating rule curves indicated that if priority classification is used all water demands are met up to maximum groundwater level of 25 m. The developed operating rule curves are therefore expected to improve water supply to both domestic and productive water uses, if they are adequately implemented and hence improve livelihoods. The procedures followed in developing risk-based groundwater operating rules for Siloam Village were summarised to assist in their application in any delineated groundwater resource unit. Though minimal infrastructure is available to support implementation of the operating rules, additional monitoring boreholes are required to aid in estimation of average groundwater levels for further calibration and validation of the GW-PITMAN model. Detailed geological and geophysical investigation are required to improve on characterisation of the GRU and its hydrogeological conceptual model. Undertaking a study of this nature in other areas including those which are data-scarce could promote wide implementation of risk-based groundwater operating rules. / NRF

Risk-Based Testing is a testing approach in software development that involves identifying, analyzing, controlling, testing, and reporting risks. The strategy provides several benefits and helps companies control risks and manage them effectively. However, the testing strategy may become challenging with new technologies, increased deployment and development of new features, and larger projects.    Westermo is a manufacturer and vendor of industrial ethernet networks and data communications products for mission-critical systems in harsh environments. Risk-based testing is a critical component of their software development process to maintain high-quality deployments. Westermo's current approach to documenting and monitoring risks is done through spreadsheets. Over time, as new features are implemented and deployed, these spreadsheets become more complex and challenging to manage. As such, Westermo is currently seeking to replace them with a new risk management tool supporting risk-based testing.  In this thesis, I investigated how one can prototype a risk management tool to support the risk-based testing process at Westermo. To this end, a deeper understanding of how current risk-based testing is performed and managed during software development was required. I also had to identify the challenges with the current approach for documenting and monitoring risks and the requirements for a new tool. I investigated these issues using a combination of qualitative research strategies and divided the work into three phases. In the first phase, I observed internal process documentation and three risk analysis workshops with a total of 14 participants held by Westermo. This was followed by interviewing two software developers and one project manager to identify requirements for a new tool. The next step was to develop a prototype and in the final phase, I evaluated the utility of the design with two focus groups for a total of six participants.  Ideally, according to the requirements I identified, the risk management tool should facilitate the documenting and monitoring of the risks and provide functions to add, manage and visualize the risks from a larger release perspective and a smaller feature perspective in a simple and efficient manner. / Riskbaserad testning är en testmetod inom mjukvaruutveckling som innebär att identifiera, analysera, kontrollera, testa och rapportera risker. Teststrategin ger flera fördelar och hjälper företag att kontrollera risker och hantera dem effektivt. Med ny teknik, ökad distribution och utveckling av nya funktioner och större projekt kan processen istället bli utmanande.  Westermo är en tillverkare och leverantör av industriella Ethernet-nätverks- och datakommunikationsprodukter för verksamhetskritiska system i tuffa miljöer. Riskbaserad testning är en viktig teststrategi i deras mjukvaruutvecklingsprocess för att upprätthålla högkvalitativa distributioner. Westermos nuvarande tillvägagångssätt för att dokumentera och övervaka risker är genom att använda kalkylblad. Med tiden, när nya funktioner implementeras och distribueras, blir dessa kalkylblad mer komplexa och utmanande att hantera. Därför försöker Westermo för närvarande ersätta dem med ett nytt riskhanteringsverktyg för att stödja riskbaserad testning.  I det här examensarbete undersökte jag hur man kan prototypa ett riskhanteringsverktyg för att stödja den riskbaserade testprocessen på Westermo. För detta ändamål krävdes en djupare förståelse för hur aktuell riskbaserad testning utförs och hanteras under mjukvaruutveckling. Jag behövde också identifiera utmaningarna med det nuvarande tillvägagångssättet för att dokumentera och övervaka risker och kraven på ett nytt verktyg. Jag undersökte dessa frågor genom en kombination av kvalitativa forskningsstrategier och delade upp arbetet i tre faser. I den första fasen observerade jag intern processdokumentation och tre riskanalysmöten med totalt 14 deltagare i Westermo. Detta följdes av intervjuer med två mjukvaruutvecklare och en projektledare för att identifiera krav på ett nytt verktyg. Nästa steg var att ta fram en prototyp och i slutfasen utvärderade jag användbarheten av designen med två fokusgrupper med totalt sex deltagare. Enligt de krav jag identifierade ska riskhanteringsverktyget kunna underlätta dokumentationen och övervakningen av riskerna och tillhandahålla funktioner för att lägga till, hantera och visualisera riskerna ur ett större releaseperspektiv och ett mindre funktionsperspektiv på ett enkelt och effektivt sätt.

Software development in the complex environment in the automotive industry puts high pressureon developers to develop high quality and robust software aligned to customers’ requirements. High quality software is foremost ensured by conducting software testing of the product under development. However, software testing in the automotive industry poses challenges of testing early in the development process, due to the limits of conducting tests in full-scaled vehicle environments. This challenge needs to be addressed for software development teams developing software that communicates with the complex on-board embedded system in vehicles. This study has been conducted in a case study approach at Scania CV AB in Södertälje in order to understand drivers to defects that emerge in finalized software products. Defects and drivers to defects found in finalized software products have been identified by conducting interviews with the SCPT-team responsible for the development of the product Escape. Escape is delivered to the production department and enables functions such as calibrating, set parameters, and run quality assurance tests on the on-board embedded system in vehicles. The identified defects and drivers have subsequently been discussed with experienced professionals and researchers within software testing. This provided applicable testing techniques and activities to undertake in order to address the identified drivers causing defects in finalized software products. The contribution of this study highlights the importance of incorporating software testing in early development phases in complex embedded systems as defects are more costly to correct the later they are identified. Static analysis tools have further been found to provide a suitable support to address the immense number of possible parameter combinations in vehicles. Furthermore, Software in the Loop environments have been found to be an applicable way of incorporating integration testing and system testing earlier in the development phase enabling identification of interoperability defects generally found late in the development process. Including persons responsible for testing the software in early requirements discussion has further been found to be of great importance as it minimizes the risk of misunderstandings between customers and developers. / Mjukvaruutveckling i den komplexa miljön bilindustrin befinner sig i sätter hög press på mjukvaruutvecklare att utveckla robusta mjukvaruprogram av hög kvalitet som uppfyller kundernas krav. Mjukvaruprogram av hög kvalitet är först och främst säkerhetsställd genom mjukvarutestning av produkten under utveckling. Däremot finns det en del utmaningar när det kommer till mjukvarutestning av mjukvaruprogram i bilindustrin på grund av den begränsade möjligheten till att testa programvaran i helbilsmiljöer. Team som utvecklar mjukvaruprogram som kommunicerar med det komplexa inbyggda systemet i fordon måste ta itu med denna utmaning. För att undersöka anledningar till att defekter identifieras i mjukvaruslutprodukter har denna studies tillvägagångssätt varit en fallstudie på Scania CV AB i Södertälje. Anledningar till defekter identifierade i slutprodukter har undersökts genom intervjuer med SPCT-teamet som ansvarar för att utveckla och testa produkten Escape. Escape är en produkt som används av produktionsavdelningen och erbjuder funktioner så som parametersättning, kalibrering och att köra kvalitetstester av det inbyggda systemet i fordon. De identifierade anledningarna till defekter har därefter diskuterats med erfarna mjukvarutestare inom både industrin och akademin. Det har bidragit till användbara testtekniker och testaktiviteter att ta sig an för att ta i tu med dem identifierade defekterna och dess anledningar som bidrar till defekter i slutprodukter. Forskningsbidraget från denna studie betonar hur viktigt det är att inkorporera mjukvarutestning tidigt i utvecklingsprocessen av komplexa inbyggda system eftersom defekter är dyrare att rätta till ju senare de upptäcks. Statiska analysverktyg har visat sig utgöra en användbar hjälp för att ta i tu med den stora mängden möjliga parameterkombinationer i fordon. Dessutom har Software in the Loop miljöer visat sig vara ett användbart sätt att möjliggöra integrationstestning och systemtestning tidigt i utvecklingsprocessen vilket kan identifiera defekter som vanligtvis först identifieras sent i utvecklingsprocessen. Involvera personer som är ansvariga för mjukvarutestning av produkten tidigt i kravdiskussioner har också visat sig vara viktigt för att minimera risken för missförstånd mellan kunder och utvecklare.

Penningtvätt är idag ett samhällsproblem som hotar att förstöra förtroendet för det finansiella systemet och berörda institutioner. Bankerna kan idag betraktas ha ett viktigt ansvar i att förhindra penningtvätt, men trots ansvaret har olika banker i Sverige under de senaste åren fått negativ uppmärksamhet i media och blivit dömda till olika sanktioner. Parallellt med regelverket och den ökade digitaliseringen, värnar bankerna om sina kundrelationer på den konkurrensutsatta marknad där de är verksamma. Det går även att diskutera hur bankernas roll att bekämpa penningtvätt förhåller sig till att de som privata aktörer även har intresse i att bedriva vinstdrivande affärsverksamhet.  Syftet med denna uppsats är att undersöka hur banker verksamma i Sverige ser på sin dubbla roll i att bedriva vinstdrivande affärsverksamhet och samtidigt bära ett stort ansvar för att förhindra penningtvätt, vilket kan beskrivas som resurskrävande brottsbekämpning. Vidare är syftet att analysera vad bankernas roll skapar för incitament, möjligheter och utmaningar för banker att förhindra penningtvätt. För att uppnå syftet har bankernas relation gentemot kunder, myndigheter och konkurrenter legat till grund för studiens analysmodell, som har använts för att analysera det insamlade materialet. Studien har genomförts med hjälp av en kvalitativ metod, där semistrukturerade intervjuer har genomförts med experter som dagligen arbetar med penningtvättsfrågor inom banker verksamma i Sverige.  Resultatet i denna studie tyder på att bankerna idag tar sin roll som penningtvättsbekämpare på större allvar, där mer resurser läggs på området än för bara några år sedan. Den ryktesrisk som bankerna idag behöver hantera, samtidigt som de är verksamma på en konkurrensutsatt marknad, har visat sig vara en viktig faktor i hur bankerna ser på sin roll. Trots att resultatet visar på förbättringar, har banker en utmaning i att hänga med i digitaliseringens utveckling, något som hittills mer gynnat de som tvättar pengar än bankerna. En möjlighet som resultatet visar är att bankerna efterfrågar utökat samarbete mellan banker och myndigheter, något som i framtiden kan leda till ett mer effektivt arbete mot penningtvätt. / Money laundering is today a societal problem that threatens to destroy the trust in the financial system and the institutions concerned. Banks can today be considered to have an important responsibility in preventing money laundering. Despite the responsibility, various banks in Sweden have in recent years received negative media attention and been penalized with various sanctions. In parallel with the regulations and the increased digitalization, the banks want to keep their customer relations at the competitive market in which they operate. It is also possible to discuss how banks’ role in preventing money laundering relates to the fact that they, as private actors, also have an interest in making profit as private actors.  The aim of the study is to investigate how banks operating in Sweden view their dual role in making for-profit business operations and at the same time having a big responsibility for preventing money laundering, which can be described as resource-intensive law enforcement. Furthermore, the aim is to analyze what banks’ role creates for incentives, opportunities and challenges for banks to prevent money laundering. To achieve the aim of the study, the banks relationship to customers, authorities and competitors have formed the basis of the analysis model, which has been used to analyze the result from the interviews that have been made. The study was conducted using a qualitative method, where semi-structured interviews were conducted with experts who work at a daily basis with money laundering questions within banks operating in Sweden.  The results of this study indicate that banks today take their role in combating money laundering more seriously, where more resources are invested in the area comparing with just a few years earlier. The reputation risk that the banks today need to deal with, at the same time as they operate in a competitive market, has proved to be an important factor in how banks view their role. Although the results show improvements, banks have a challenge in keeping up with the digitalization and its development, something that so far have benefited money launderers more than the banks. A possibility that the result shows is that the banks request increased cooperation between banks and authorities, something that in the future may lead to a more efficient work against money laundering.

Critical Infrastructure Systems (CISs) are key for providing essential services and managing critical resources. The failure of one CIS can result in severe consequences on national security, health & safety, the environment, social well-being, and the economy. However, CISs are inherently complex, operating as systems-of-systems with dynamic, non-linear, and uncertain operation conditions, all geared towards fulfilling complex operational objectives. The complexity of both system architecture and operational objectives contributes to challenges in comprehending system-level behavior under normal and disruptive conditions. CISs are also highly exposed to multi-hazard environments characterized by probabilistic behaviors that can impact one or more system components—leading to diverse system failure modes. Understanding the dynamic interaction between hazards and the system response in such environments adds another layer of complexity to CISs safety. Addressing such complexity is crucial and it necessitates thorough investigations to ensure the continuous and reliable operation of CISs. Accordingly, the main objective of this thesis is to develop dynamic resilience quantification approaches for CISs in multi-hazard environments, considering the probabilistic behavior of both the hazard and the system. Given that dam infrastructure is one of the most significant CISs, this thesis employs an actual dam system as a demonstration application for the developed models. Nonetheless, it should be emphasized that the thesis focuses on the generalizability of the developed model to the CISs rather than the specificities related to dam systems, which are adopted herein merely to show the utility of the developed models to complex CISs. Specifically, this thesis first employs a meta-research approach (Chapter 2), using text analytics, to conduct a quantitative and qualitative review of extensive prior research focused on CISs operational safety, considering dam and reservoir systems as one of the key CISs. Such meta-research aims to unveil latent topics in the field and identify key opportunities for future research, particularly in addressing limitations associated with existing risk-based and resilience-based safety assessment approaches for CISs. To overcome such limitations, this thesis (Chapter 3) subsequently developed a coupled Continuous-Time Markov Chain and Bayesian network, facilitating the dynamic quantification of CISs failure risk (propagation of the system's probability of failure with time), considering the temporal variation of uncertainties in system components during operations. Starting from where the risk-based assessment ends (the immediate response of the system at the hazard realizations), resilience-based assessment focuses more on the dynamic system functionality gain/reduction and, subsequently, the system deterioration and recovery rates following hazard realizations. Accordingly, this thesis (Chapter 4) presents a resilience-centric System Dynamics simulation modeling approach capable of representing CISs components, estimating their dynamic system performance, and subsequent dynamic resilience (propagation of the system resilience with time). Such a modeling approach proposes a combinatorial procedure for generating multi-hazard scenarios, encompassing both natural and anthropogenic hazards, where one primary hazard can trigger one or more subsequent hazards. As a result, the developed models can investigate system operations under both single and multi-hazard environments. Furthermore, the coupling between System Dynamics and Monte Carlo simulations (Chapter 5) enables the model to seamlessly incorporate the probabilistic behaviors of both multi-hazard and system responses. The developed approaches can provide the decision-makers with a more detailed system representation that includes probabilistic dynamic system components with multi-operational objectives under probabilistic multi-hazard environments (Chapter 6). Moreover, the developed models can introduce more realistic evaluations for risk-adaptive and mitigation plans in real-time, contributing to more efficient safety assessment plans for the CISs. / Thesis / Doctor of Philosophy (PhD) / Critical infrastructure systems (CISs) play pivotal roles in delivering and supporting the essential needs of our daily lives. However, ensuring the safety of CISs poses layered challenges due to the complexity of their systems and operations, compounded by their susceptibility to multi-hazard environments, all with probabilistic behaviors. Recognizing the criticality and safety obstacles associated with CISs, this thesis introduces dynamics resilience quantification approaches for CISs safety based on a holistic system dynamics representation. The developed models are designed to enhance understanding of the system's performance under multi-hazard disruption conditions, considering the probabilistic behavior of both hazards and system response. Moreover, these models yield resilience-based metrics, allowing for the evaluation of the effectiveness of various risk mitigation plans, which would subsequently lead to more reliable safety assessment plans for CISs. Considering that dam infrastructure is a key CISs, this thesis focuses on the former as a demonstration application to show the developed models’ utility and their efficiency in devising resilience-guided assessment plans for CISs.

Text in Afrikkans / Summaries in English and Afrikaans / The capital-adequacy problem is essentially concerned with the amount of capital that a bank should maintain in order to conduct its operations in a prudent manner. Because one of the primary functions of bank capital is to act as a risk cushion for the protection of a bank's depositors, a bank's capital funds are often regarded as comprising an insurance element. The capital-adequacy concept, therefore, may be seen as part of the overall banking risk, or prudential management. An attempt has been made to indicate that bank supervisors should use not only capital ratios when analysing a bank's capital position. Other factors, such as asset quality and other financial risks, should also be taken in consideration. Financial ratio analysis, however, provides bank supervisors with useful information. When combining ratio analysis with non-quantifiable factors, bank supervisors may indeed achieve their goal of determining capital adequacy. / Die kapitaaltoereikendheidsprobleem is hoofsaaklik gebaseer op die hoeveelheid kapitaal waaroor 'n bankinstelling moet beskik, ten einde die bankbesigheid op 'n verstandige wyse te bedryf. Een van die primere funksies van kapitaal is om te dien as verliesabsorberingsbuffer ter beskerming van 'n bankinstelling se deposante, en daarom word toereikende kapitaal dikwels geag om 'n soort versekeringselement te bevat. Die konsep van kapitaaltoereikendheid kan dus beskou word as deel van die totale risikobestuurskonsep. Daar is tydens die studie gepoog om aan te dui dat banktoesighouers nie net kapitaalverhoudings behoort te gebruik om 'n bankinstelling se kapitaalposisie te ontleed nie. Ander faktore, soos batekwaliteit en antler finansiele risiko's, moet ook in ag geneem word. Finansiele verhoudingsgetalontledings voorsien banktoesighouers van waardevolle inligting. Indien verhoudingsgetalle egter met nie-gekwantifiseerde inligting gekombineer sou word, kan banktoesighouers hul doel om kapitaaltoereikendheid te bepaal, bereik. / M.Com. (Business Management)

我國監理機關為強化保險公司之財務能力，有效監管保險公司之風險狀況，特於2003年7月9日，正式引進美國風險基礎資本額制度(Risk-Based Capital, RBC)，作為監理保險公司清償能力之工具。RBC制度除了改善單一資本額規定的缺失外，亦反映了保險公司之經營風險，對於保險公司面臨風險所需資本有較妥適的規範。讓監理機關得以藉此工具發現體質較弱之保險公司，進而採取適當之行動。 本文檢視我國壽險公司在RBC制度前後，資本與風險間之關係。探討RBC制度實施後，對於我國壽險公司之資本比例、資產風險以及產品風險是否確實造成改變，能使壽險公司之資本提列與公司風險大小有一正向搭配，在保險公司面臨越高的風險狀態時，願意提列更多資本做為緩衝，以保障公司安全。藉此分析觀察RBC是否達到預期之功能，以作為我國監理機關實行RBC制度之參考。 本文使用聯立方程式部分調整模型，以二階段最小平方法進行檢測。實證結果發現，在RBC制度實施後，壽險公司之資本比例對資產風險以及產品風險具有顯著負向關係，顯示資本比例低者所承擔之風險較高，而資本比例高者風險較低。此外，公司規模以及公司型態對於壽險公司之資本與風險具有顯著影響力，外商壽險公司之資產風險較本土壽險公司為低。 / Risk-based capital (RBC) has been implemented as an important regulatory tool for the insurance industry in Taiwan since year 2003, which is used to strengthen the financial capability and to predict the probability of insolvency. It not only improves the shortcomings of single capitalization index but also reflects the business risks. Moreover, it lets the regulator be able to apply this tool to discover the insurance companies with weak financial management and take the suitable actions. This paper explores the changes on the capital ratio, asset risk and product risk in life insurance industry in Taiwan before and after the RBC regulation and verifies if the implementation of RBC had a positive effect on the relationship between capital and risks. To examine this issue, this study uses a simultaneous-equation partial-adjustment model with two-stage least squares method. The results suggest that the life insurers with lower capital ratio take higher asset risk and product risk, while life insurers with higher capital ratio take lower asset risk and product risk. For life insurers, company size and type also have an important impact on their capital and risks. The empirical finding shows that there is lower asset risk in the international insurers than domestic insurers.

本研究利用元大台灣50 ETF作為樣本資料，檢測2006年至2016年實證期間風險基礎指數和市值加權指數所分別建構的投資組合，其績效表現、風險表現、分散性表現的優劣性；其中Choueifaty, Froidure, and Reynier (2011) 所建構的最佳風險分散投資組合 (most diversified portfolio) 為近年來新起的風險基礎指數投資組合，我們將證實在獲得良好的投資組合分散性同時，如同其他的風險基礎指數投資組合的目標，同時也能獲得超越以追蹤市值加權指數為標的的投資組合績效。 本研究以夏普比率、信息比率、阿爾法作為衡量績效的指標；以標準差、貝他作為風險衡量的指摽；另以Choueifaty and Coignard (2008) 提出的分散性比率作為分散性衡量的指標。實證結果顯示，在整體實證期間，最佳風險分散投資組合在績效、風險、分散性的指標上皆有超越市值加權指數投資組合的能力，再以年為單位的個別期間，其績效衡量上大致優於市值加權指數投資組合，風險和分散性衡量上則優於市值加權指數投資組合的表現，但論以其整體表現，並非為本研究所提出的風險基礎指數投資組合中最佳者，因此投資人在選擇該類投資組合策略時，建議從該投資組合過去表現中判斷，選擇符合自己投資習慣者為之。 / This article examines the performance, risks and diversification of different types of portfolio strategies such as risk-based indexes and cap-weighted index during 2006- 2016. We introduce the recent most diversified portfolio (MDP), which was proposed by Choueifaty, Froidure, and Reynier (2011) and find the result that like the goal of other risk-based portfolios, which is to improve the risk-return profile of cap-weighted portfolio, MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio while achieving diversification. We use Sharpe ratio, information ratio and alpha as the performance indicators, use standard deviation, beta as the risk indicators, and adopt diversification ratio (DR), which was proposed by Choueifaty and Coignard (2008), as the diversification indicator in our analysis. The results of this study show that MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio in the full empirical period. In addition, MDP is generally superior to cap-weighted portfolios in terms of performance in many single years of the whole period, and completely beat cap-weighted portfolios in terms of risks and diversification in every single year of the whole period. Although the ability of exceeding cap-weighted portfolio, MDP do not win first place of mentioned risk-based portfolios in our research. As a result, we suggest investors choose their portfolio strategies refer to its past performance, risks and diversification, and select the best according to their investment preference.

The demands on maritime operations today are increasingly higher in terms of control, efficiency and cost. The margins for accidents and security incidents are therefore decreasing. In the area of ship safety the regulations, guidelines and methods have a history and culture of systematic research, development and implementation. In contrast, international security is highly politicized and therefore not as transparent. The result is that a tradition of ship security is not as well established. The overall aim of this thesis is to propose a method for ship security analysis that increases the overall safety of the crew and the ship. The objective is to develop a method that is systematic in order to ensure that assessment and response are complete and effective, and that the process is documented to provide evidence of decision-making. The method used is probabilistic risk assessment where quantitative analysis is central. The proposed approach is consistent with the requirements of maritime safety work. However, in the work here, the proposed methods are specifically tested for security cases. This is because hazards (without intent) and threats (with intent) evolve in different ways into risk. Therefore, they must be analysed differently in order to capture the causal relationship. The proposed approach consists of three steps: the first step consists of a threat description that documents qualitative and quantitative aspects that together describe how the threat most likely will act in relation to the ship’s vulnerability; the second step uses the threat description to define the system studied as well as the scenarios that collectively describe the harmful consequences; the third step evaluates the risk with tools from probabilistic risk assessment. The overall conclusion is that the proposed method brings the procedure and results of ship security analysis into the open and therefore allows for criticism, improvements and shared risk knowledge, not possible with less structured methods. The results also show that the calculated probabilities agree with available statistics, which indicates that the analysis succeeds in describing the central causal relationships of the scenarios modelled.