Risks faced by South African offshore investors is a study that seeks to identify and rank in order of importance the risks that are faced by South African offshore investors. As a global player, South African investment institutions exchange trades with institutions in other countries. These trades are, however, not risk free. Trading in foreign markets can lead to institutions collapsing if their investment plans are not well formulated. There are many factors to consider when planning an offshore investment. For example, what products to invest in, which countries to invest in, why invest in such countries or institutions, how long is the investment going to be, and what are the expected returns, taking into account all the risks involved. All these questions and many others should be answered before investing offshore. South African investment brokers registered with the Financial Services Board and licensed to trade offshore were selected as the target population to respond to a questionnaire designed for this study. A web-based questionnaire using LimeSurvey was used to collate data from the respondents. The SPSS statistical methodology was used for the analysis from where recommendations and conclusions were drawn. / Business Management / M. Com. (Business Management)

This thesis makes significant contributions to improving the use of Airport Safety Areas (ASAs) as aviation accident risk mitigation measures by developing improved accident frequency models and risk assessment methodologies. In recent years, the adequacy of ASAs such as the Runway End Safety Area and Runway Safety Area has come under increasing scrutiny. The current research found flaws in the existing ASA regulations and airport risk assessment techniques that lead to the provision of inconsistent safety margins at airports and runways. The research was based on a comprehensive database of ASA-related accidents, which was matched by a representative sample of normal operations data, such that the exposure to a range of operational and meteorological risk factors between accident and normal flights could be compared. On this basis, the criticality of individual risk factors was quantified and accident frequency models were developed using logistic regression. These models have considerably better predictive power compared to models used by previous airport risk assessments. An improved risk assessment technique was developed coupling the accident frequency models with accident location data, yielding distributions that describe the frequency of accidents that reach specific distances beyond the runway end or centreline given the risk exposure profile of the particular runway. The application of the proposed methodology was demonstrated in two case studies. Specific recommendations on ASA dimensions were made for achieving consistent levels of safety on each side of the runway. Advances made in this study have implications on the overall assessment and management of risks at airports.

Submitted by Mauricio Barbosa Alves (mauricio.alves.b@gmail.com) on 2018-06-14T15:35:01Z No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Approved for entry into archive by Katia Menezes de Souza (katia.menezes@fgv.br) on 2018-06-14T15:46:59Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Approved for entry into archive by Isabele Garcia (isabele.garcia@fgv.br) on 2018-06-15T18:00:51Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Made available in DSpace on 2018-06-15T18:00:51Z (GMT). No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) Previous issue date: 2018-05-29 / We study the long-run impact of the adoption of macroprudential tools. We derive a dynamic general equilibrium model featuring endogenous TFP change and allowing banks to choose their balance sheet structure endogenously. Banks choose vulnerable balance sheet structure depending on perceptions about fundamental risk. The design of prudential tools matters because it changes the riskiness of assets in a particular way, possibly increasing banking ability to fund projects. This introduces a novel channel to explain economic growth: risk mitigation.We then use the model to show numerically that there is a non-linear relationship between long-run growth and macroprudential policy intensity for several prudential rules considered in the related literature. We derive a welfare function and show that a welfare-maximizing regulator faces a growth-risk trade-off: welfare is maximized when growth is below its maximum value for each policy design we consider. / Estudamos os impactos de longo prazo da adoção de ferramentas macroprudenciais. Derivamos um modelo de equilíbrio geral dinamico no qual há mudança endógena da PTF e permitindo que os bancos escolham sua estrutura de balanço endogenamente. Os bancos escolhem uma estrutura de balanço vulnerável dependendo das percepções sobre risco fundamental. O desenho de ferramentas prudenciais é importante porque altera o grau de risco dos ativos de uma determinada maneira, possivelmente aumentando a capacidade bancária de financiar projetos. Isso introduz um novo canal para explicar o crescimento econômico: a mitigação de riscos. Em seguida, usamos o modelo para mostrar numericamente que existe uma relação não linear entre o crescimento de longo prazo e a intensidade da política macroprudencial para várias regras prudenciais consideradas na literatura relacionada. Obtemos uma função de bem-estar e mostramos que um regulador que maximiza o bem-estar enfrenta um tradeoff de risco de crescimento: o bem-estar é maximizado quando o crescimento está abaixo de seu valor máximo para cada desenho de política que consideramos.

Submitted by Biblioteca de Pós-Graduação em Geoquímica BGQ (bgq@ndc.uff.br) on 2016-03-28T18:50:37Z No. of bitstreams: 1 dissertação_JanainadeAssisMatos.pdf: 2873990 bytes, checksum: 2156e19154ea47bae44a7423a57412aa (MD5) / Made available in DSpace on 2016-03-28T18:50:37Z (GMT). No. of bitstreams: 1 dissertação_JanainadeAssisMatos.pdf: 2873990 bytes, checksum: 2156e19154ea47bae44a7423a57412aa (MD5) / Universidade Federal Fluminense. Instituto de Química. Programa de Pós-Graduação em Geociências-Geoquímica. Niterói, RJ / A poluição atmosférica se constitui como um dos maiores problemas ambientais da atualidade, sendo resultado do desenvolvimento urbano e industrial desordenado. O material particulado (MP) atmosférico tem sido estudado pelos seus efeitos nocivos, não só à fauna e flora, mas à saúde humana; tendo sua fração inalável (< 10μm) como a mais nociva, pois atinge áreas mais profundas do sistema respiratório. Este MP pode ter variada composição química; entre estas espécies químicas, destaca-se o arsênio (As) que é um metalóide altamente tóxico e cancerígeno, sendo as formas As+3 e As+5 as mais nocivas, respectivamente. Este material particulado contaminado por As pode ter diferentes fontes; entre elas a lavra de ouro que, promove o desprendimento do As do mineral arsenopirita. A cidade de Paracatu, em Minas Gerais, possui a maior mina de ouro a céu aberto com um processo de exploração que favorece a emissão desse MP para a atmosfera. O presente trabalho teve, como objetivo, caracterizar as concentrações de As no MP atmosférico, na cidade; estudando sua quantificação, variabilidade espacial e sazonal. Para isso, analisou-se os filtros amostrados de 8 amostradores Hi-Vol para particulados totais em suspensão (PTS) e 1 de material particulado em suspensão até 10 μm (MP10), durante o período de maio de 2011 a junho de 2012. A metodologia de coleta, tratamento e análise seguiu o estabelecido pelo método USEPA (United States Environmental Protection Agency) – Method IO-3.1, com determinação e quantificação de As feita pela técnica de espectrometria de emissão ótica com plasma indutivamente acoplado (ICP-OES), onde a amostragem e análise química apresentaram limite de detecção de 0,64 ng As m-3. Aliado as análises químicas foram coletados dados meteorológicos tanto para o período de amostragem, quanto para se construir uma série de referência. A concentração média encontrada no PTS foi de 5,7 ng As m-3, variando de 0,7 a 18,8 ng As m-3; e a concentração média para MP10 foi de 4,4 ng As m-3, variando de 1,7 a 12,4 ng As m-3. As maiores concentrações foram observadas no período de estiagem e nas estações de amostragem próximas à região de mineração. As concentrações de As encontradas estão dentro do esperado pela literatura, contudo acima dos limites de risco à saúde definidos por diferentes órgãos internacionais / Air pollution constitutes one of the greatest environmental problems of today, being a result of urban and industrial development and cluttered. Atmospheric particulate matter (PM) has been studied for its harmful effects, not only to flora and fauna, but to human health; the inhalable fraction (< 10μm) being the most harmful, because it reaches the deeper regions of the respiratory system. The MP can have varying chemical compositions, including arsenic (As) which is a highly toxic and carcinogenic metalloid, the forms As+3 and As+5 being the most harmful. This particulate material contaminated's may have different sources; including the gold mine that that causes release of the mineral arsenopyrite. The city of Paracatu in Minas Gerais has the largest gold mine with an exploration process that favors the emission of this MP to the atmosphere. The present work had the objective to characterize As atmospheric concentrations of MP's in the city; studying its quantification, spatial and seasonal variability. For this, we analyzed the filters sampled 8 Hi -Vol samplers for total suspended particulates (TSP) and 1 of suspended particulate matter by 10 micrometres (PM10) during the period May 2011 to June 2012. A methodology for data collection, processing and analysis followed the method established by USEPA (United States Environmental Protection Agency) - Method IO - 3.1, with determination and quantification of As taken by the technique of optical emission spectrometry with inductively coupled plasma (ICP - OES), where sampling and chemical analysis showed a detection limit of 0.64 ng As m-3. As well as Chemical analyzes, weather data for both the sampling period, as to build a series of reference were collected. The average concentration was found in the PTS 's of 5.7 ng m-3, ranging from 0.7 to 18.8 ng As m-3; and the average concentration for MP10 was 4.4 ng As m-3, ranging from 1.7 to 12.4 ng As m-3. The highest concentrations were observed in the dry season and at the sampling regions close to the mining stations. These concentrations found were expected by the literature, but above health risk limits set by various international institutions

Risks faced by South African offshore investors is a study that seeks to identify and rank in order of importance the risks that are faced by South African offshore investors. As a global player, South African investment institutions exchange trades with institutions in other countries. These trades are, however, not risk free. Trading in foreign markets can lead to institutions collapsing if their investment plans are not well formulated. There are many factors to consider when planning an offshore investment. For example, what products to invest in, which countries to invest in, why invest in such countries or institutions, how long is the investment going to be, and what are the expected returns, taking into account all the risks involved. All these questions and many others should be answered before investing offshore. South African investment brokers registered with the Financial Services Board and licensed to trade offshore were selected as the target population to respond to a questionnaire designed for this study. A web-based questionnaire using LimeSurvey was used to collate data from the respondents. The SPSS statistical methodology was used for the analysis from where recommendations and conclusions were drawn. / Business Management / M. Com. (Business Management)

Bakgrund: Kommuninvest är en medlemsorganisation som finansierar en stor andel av den svenska kommunsektorns upplåning. Detta möjliggörs genom att Kommuninvest emitterar obligationer på finansiella marknader för att sedan låna ut kapital till kommunerna. Finansiella institut som Kommuninvest hanterar en rad olika risker i sin verksamhet och eftersom det saknas tidigare forskning angående Kommuninvests exponering mot och hantering av marknadsrisk är detta intressant att studera för att fylla kunskapsluckan. Det är också intressant eftersom kommunerna är en viktig aktör i det svenska samhället och Kommuninvest spelar en stor roll i den kommunala upplåningen. Syfte: Syftet med denna studie är att analysera Kommuninvests marknadsriskexponering när de lånar upp pengar på den finansiella marknaden för att låna ut dessa till medlemskommunerna, samt att analysera företagets marknadsriskhantering. Syftet är också att analysera hur marknadsriskexponeringen och marknadsriskhanteringen påverkar medlemskommunerna. Genomförande: Studien är designad som en fallstudie. Fallet har definierats som Kommuninvests marknadsriskexponering och -hantering. Det empiriska materialet utgörs av nio semistrukturerade intervjuer och en dokumentstudie. Det empiriska materialet har använts för att kunna dra slutsatser om Kommuninvests marknadsriskexponering och -hantering samt dessas potentiella påverkan på medlemskommunerna. Slutsats: Flera slutsatser kan dras från denna studie. Kommuninvest hedgar främst sin marknadsrisk med derivat och naturlig matchning. Den monetära effekten på låneportföljen konstateras vara relativt liten. Räntemarginalen är så pass låg att de små kommunerna väljer att alltid låna av Kommuninvest och de stora väljer att göra det ibland. Kommunerna i studien har över lag högt förtroende för Kommuninvest och majoritet upplever att de inte påverkas så mycket av bolagets riskexponering eller riskhantering. Denna studie bidrar med ny kunskap om Kommuninvests marknadsriskexponering och -hantering till det företagsekonomiska forskningsfältet såväl som till de svenska kommunerna. / Background: Kommuninvest is a member organisation that finances a large part of the borrowing of Swedish local governments. This is made possible by emitting bonds on the financial markets and then lending capital to the local governments. Financial institutions like Kommuninvest deal with several different risks and since no previous research has been conducted on the subject of the market risk exposure and the market risk management of Kommuninvest, this is a pertinent case to study in order to fill the gap. It is also a pertinent case since the local governments of Sweden are a very important part of the society and since Kommuninvest plays a great role in the borrowing of these local governments. Aim: The aim of this study is to analyse the market risk exposure of Kommuninvest when the company borrows capital on the financial markets to lend to their members, Swedish local governments, as well as to analyse the market risk management of the company. A secondary aim is to analyse how the market risk exposure and the market risk management affect the local governments that are members of Kommuninvest. Completion: The study is designed as a case study. The case has been defined as The market risk exposure and market risk management of Kommuninvest. The empirical data consists of nine semi-structured interviews and one document study. The empirical data is used to draw conclusions about the market risk exposure and the market risk management of Kommuninvest, as well as their potential effects on the Swedish local governments that are members of Kommuninvest. Conclusion: Several conclusions can be drawn from this study. Kommuninvest primarily hedges its market risk with derivates and natural hedges. The monetary effect on the loan portfolio is found to be relatively small. The interest margin is low enough so that the small local governments choose to always borrow from Kommuninvest, and the big local governments choose to sometimes do so. The local governments that participated in the study generally have high confidence in Kommuninvest and most of them experience that they are not very affected by the company’s risk exposure or risk management. This study contributes with new knowledge about the market risk exposure and market risk management of Kommuninvest to the research field as well as to the Swedish local governments.

本論文分為兩部分，第一部份是探討全球航空產業的油料避險會不會對公司價值有所影響，以及油料避險的誘因。第二部份則是檢視全球航空公司的風險曝露會不會影響分析師的預測誤差，尤其是燃油價格變動的風險曝露。 / In the first essay, we examine whether jet fuel hedging increases the market value of airline companies around the world. Using a sample of 70 airline companies from 32 countries over the period 1995 to 2005, we find that jet fuel hedging is not significantly positively related to their firm value in the global airlines, but this positive relationship holds in the various sub-samples and is significant for US and non-alliance firms. Moreover, our results show that the risk-taking behavior of executives and the tendency to avoid financial distress are important determinants for the jet fuel hedging activities of non-US airline companies. Alleviating the problem of underinvestment is also an important factor to explain the jet fuel hedging activities of US and non-alliance firms. Our results add support to the growing body of literature which finds that hedging increases firm value for global airline companies. In the second essay, we examine the extent analysts revise their earnings forecasts in response to oil price, interest rate and foreign exchange rate shocks they have observed during the year, and whether these revisions contain additional information about how current and past price shocks affect reported earnings, using the sample of the global airline industry. Empirical results indicate that jet fuel hedging can increase analysts’ forecast revisions in the total sample, and in the sub-sample of the volatile fuel price period. These results can also be seen in US and non-US airlines, and airlines with both strong and weak governance. Overall, our results show that oil price shocks play an important role in investor and analyst information uncertainty with regard to the global airline industry. Consequently, corporate risk disclosures only provide limited information about firms’ financial risk exposures. Two essays are comprised in this dussertation to examine whether jet fuel hedging has effects on firm value and analysts’ forecast accuracy in the global airline industry. Using global data allows us to cmpare the differences of jet fuel hedging behavior and incentives for hedging across different sub-samples. Furthermore, we also examine how jet fuel hedging affects analysts’ forecast erros across different sub-samples and its implications for firm disclosures about their risk exposures in the financial reports. In the first essay, we examine whether jet fuel hedging increases the market value of airline companies around the world. Using a sample of 70 airline companies from 32 countries over the period 1995 to 2005, we find that jet fuel hedging is not significantly positively related to their firm value in the global airlines, but this positive relationship holds in the various sub-samples and is significant for US and non-alliance firms. Moreover, our results show that the risk-taking behavior of executives and the tendency to avoid financial distress are important determinants for the jet fuel hedging activities of non-US airline companies. Alleviating the problem of underinvestment is also an important factor to explain the jet fuel hedging activities of US and non-alliance firms. Our results add support to the growing body of literature which finds that hedging increases firm value for global airline companies. In the second essay, we examine the extent analysts revise their earnings forecasts in response to oil price, interest rate and foreign exchange rate shocks they have observed during the year, and whether these revisions contain additional information about how current and past price shocks affect reported earnings, using the sample of the global airline industry. Empirical results indicate that jet fuel hedging can increase analysts’ forecast revisions in the total sample, and in the sub-sample of the volatile fuel price period. These results can also be seen in US and non-US airlines, and airlines with both strong and weak governance. Overall, our results show that oil price shocks play an important role in investor and analyst information uncertainty with regard to the global airline industry. Consequently, corporate risk disclosures only provide limited information about firms’ financial risk exposures.

No description available.

La tesi esamina il tema del capital management nelle banche, con particolare riferimento all’impatto della regolamentazione e della corporate governance sulle decisioni in tema di patrimonializzazione ed esposizione al rischio. La letteratura evidenzia come l’attuale framework regolamentare possa produrre effetti indesiderati, inducendo le banche ad assumere un livello di rischio non coerente con il patrimonio disponibile; anche con riferimento alla corporate governance i contributi empirici evidenziano risultati contrastanti. Partendo dai risultati di tale review, nella tesi si analizza il comportamento di un vasto campione di banche europee tra il 2006 e il 2010, tenendo conto delle variabili principali che determinano le scelte sul livello di patrimonializzazione e di rischio. In particolare, nel primo capitolo si valuta l’impatto della pressione regolamentare sulle variazioni di capital ratio ed esposizione al rischio in un vasto campione di banche europee. I risultati suggeriscono che il comportamento delle banche sembra dipendere dalla definizione di patrimonio utilizzata, ossia dalla qualità degli strumenti ricompresi nei coefficienti di solvibilità. Il secondo capitolo si concentra su un campione di grandi banche europee: tale analisi consente di rilevare come la regolamentazione e i meccanismi di corporate governance costituiscano fattori rilevanti e complementari nel determinare alla relazione tra patrimonializzazione e rischio. / This thesis examines capital management in banks, with special reference to the impact of regulation and corporate governance on the decisions on capital and risk exposure. Past literature highlights how the present regulatory framework might produce unwanted effects, inducing banks to take a level of risks not consistent with their capital base; also with reference to corporate governance, past empirical contributions present controversial results. On the basis of the review of the literature, this study analyses the behaviour of a wide sample of European banks between 2006 and 2010, taking into consideration the main variables that influence the decisions on capital and risk. In particular, the first chapter evaluates the impact of regulatory pressure on changes in capital ratio and risk for a wide sample of European banks. Results suggest that banks behaviour depends on the capital ratio considered, i.e. on the quality of the instruments included in the capital base. The second chapter focuses on a sample of large European banks: such analysis suggests that regulation and corporate governance mechanisms are crucial and act complementarily in determining the relationship between capital and risk.

No description available.