University of Technology, Sydney. Faculty of Engineering. / In today’s business environment, increased competition, market globalisation, increased customer demands and accelerated technologies require organisations to focus on efficiency in every aspect of their operations. Many studies in operations management have focused on the improvement of operational performance, including reduction of process variability, increasing flexibility or implementing controls in operations. However, managing the risk in operations seems to have been neglected by researchers. Hence, there are two major objectives of this study. The first objective is to investigate the use of the operational risk management (ORM) systems in Australia and study the factors that have an impact on effective operational risk management. Then, based on the identified factors, the second objective is to develop an ORM system implementation model and guideline for Australian organisations. A review of the ORM systems and its implementation was conducted. As a result of this investigation, a definition of ORM system in this study was formulated and the factors of effective ORM system implementation were identified as a basis for the next stage of this study. An investigation of the factors of ORM system implementation was then carried out. An extensive questionnaire survey was used to collect empirical data from Australian organisations. Statistical analysis results and feedback from experts was used to develop an applicable model and guideline for ORM system implementation. The main outcome of this study is a proposed model and guideline for ORM system implementation in Australian organisations, which will assist the organisation to manage operational risks more effectively and provide motivation for carrying out further research in ORM.
Enterprise risk management implementation : perceptions of risk practitioners in the South African mining industry09 December 2013 (has links)
M.Comm. (Financial Economics) / Enterprise risk management (ERM) is emerging as a risk management methodology that is seemingly superior to that of traditional, silo-based risk management. Although ERM implementation is on the increase, research into ERM is still limited. There is, for instance, a lack of clarity within the literature regarding which factors lead to companies embracing ERM, as well as a lack of consensus on ERM’s benefits. The purpose of this study was therefore to explore the drivers of ERM implementation, its inhibitors and enablers, the benefits that are realised through ERM, as well as the advantages and disadvantages associated with ERM as a risk management methodology. Data were gathered through semi-structured, face-to-face interviews with seven risk practitioners working in the South African mining industry. The study found that drivers of ERM implementation include regulatory pressure and compliance with corporate governance and listing requirements, but that there are other incentives. Inhibitors of ERM implementation include the large amount of managerial time needed, competition with other initiatives, resistance, and low initial buy-in levels, as well as a shortage of experienced ERM practitioners. Regarding ERM enablers, the design of the ERM framework is seen as critical, as is sound project discipline in planning and organising the implementation, along with visible support from executive and senior management, and ongoing training. Benefits derived through ERM include greater confidence that the company has a complete understanding of its risk profile, better decision-making, and improved tracking of risk mitigation. Disadvantages associated with ERM include the tendency of it being regarded as a corporate administrative function, subjectivity, and difficulty in aligning ERM to short- and medium-term priorities, as compared to longer-term strategic issues. This study makes a unique contribution to the existing body of knowledge on ERM by exploring the disadvantages associated with ERM as a risk management methodology. At a practical level and with reference to the South African mining industry, in particular, this study provides more clarity on the rationale for adopting ERM, as well as the challenges associated with implementing and sustaining ERM programmes. Recommendations are made with respect to ERM in practice, as well as for further research on ERM.
The effectiveness of risk management practices of small, medium and micro enterprises (SMMEs) which provide microfinance in the Cape Metropole, South AfricaChakabva, Oscar January 2015 (has links)
Thesis (MTech (Internal Auditing))--Cape Peninsula University of Technology, 2015. / Approximately 57% of the total population in South Africa lives under the poverty line. In this regard, Small, Medium and Micro Enterprises (SMMEs) which provide microfinance play a vital role to provide access for poor households to banking-related financial services. This service can only be delivered sustainably through means of deploying effective management practices, especially in terms of risk management. The purpose of this research is to identify risks faced by microfinance SMMEs and to establish the effectiveness of the current risk management practices deployed by them. This study aims at increasing the knowledge base and understanding of risk management practices by conducting a comprehensive literature review and field research. In order to establish a theoretical basis, a comprehensive literature review was performed and prior studies on various aspects relating to microfinance risk management were investigated. This was followed by a field research which studied the risk management of microfinance providers in the Cape Metropole; large financial service providers like commercials banks were excluded. Data were collected by means of a questionnaire from microfinance providers in the Cape Metropole. These microfinance providers were drawn from a list of credit providers that was obtained from the National Credit Regulator (NCR) public domain. A purposive sampling method was used to select the participants for this study. The information provided by participants is kept strictly confidential and anonymity of all respondents was guaranteed. This research noted that collaterals are absent in microfinance and instead, a close connection between microfinance SMMEs and their clients come into place. Risk management frameworks which provide an all-inclusive approach to risk management are largely absent in microfinance SMMEs. Much fewer microfinance SMMEs actively identify risks, categorise, prioritise and document them appropriately. The research further showed that the views on risk management depend on whether the respondent is an owner or a manager of the enterprise.
by Wong Chung Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 72-73. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Cash Flow Destablization due to Floating Exchange Rate --- p.2 / Role of Currency Risk Management in the Past --- p.2 / Changes Perceived in the Future --- p.3 / Scope of the Study --- p.4 / Objectives of the Study --- p.4 / Chapter II. --- METHODOLOGY --- p.6 / Overall Design --- p.6 / Data Used in the Study --- p.6 / Time Covered by the Study --- p.6 / Analytical Tools --- p.7 / Standard Deviation --- p.7 / Linear Correlation --- p.7 / Technical Analysis --- p.8 / Fundamental Analysis --- p.10 / Chapter III. --- DEFINITION OF CURRENCY RISKS --- p.15 / Non-Recurring --- p.15 / One-Off --- p.15 / Dealing Risk --- p.16 / Recurring --- p.17 / Financial Structural Risk --- p.17 / Business Structural risk --- p.18 / Chapter IV. --- WHY CURRENCY RISKS ARISE --- p.19 / Individual or Household --- p.19 / Investment/Speculation --- p.19 / Overseas Commitment --- p.19 / Corporation or Firm --- p.20 / Risks Indirectly Associated with Foreign Exchange --- p.20 / Risks Directly Associated with Foreign Exchange --- p.23 / Chapter V. --- CURRENCY RISK MANAGEMENT IN 80'S - A RETROSPECT --- p.24 / Change of Sophistication --- p.24 / 1980 - 1984 --- p.24 / 1985 - 1987 --- p.26 / 1988 - 1990 --- p.28 / Currency Characteristics and Correlations --- p.30 / Findings --- p.31 / Weakness of Economic Models --- p.35 / No Stable Relationship Between Current Account and Exchange Rate --- p.35 / Positive Relationship Between Interest Rate and Exchange Rate --- p.35 / Protracted Long Run Movements of Real Exchange Rate --- p.36 / Chapter VI. --- ROLE OF TECHNICAL ANALYSIS IN CURRENCY RISK MANAGEMENT --- p.37 / Concept of Near-Rationality --- p.37 / Exchange Rate Determination in Near-Rational World --- p.40 / Test of Technical Analysis --- p.42 / Chapter VII. --- CONCLUSION --- p.47 / Prospects in the Nineties --- p.48 / APPENDIX --- p.67 / BIBLIOGRAPHY --- p.72
This dissertation provides a review of the relevance of operational risk in the banking industry and attempts to determine whether operational risk management is perceived as a moderating factor on the relationship between critical success factors and competitive advantage in banking industry. A survey was of 399 senior managers of fully licensed banks in Hong Kong. They were asked to indicate the perceived critical success factors, which include operational risk management as one of the variables in the banking industry. In addition, they were also asked to evaluate the relevance of operational risk in their industry and describe their bank's operational risk management practice. / Thesis (DBusinessAdministration)--University of South Australia, 2006.
Thesis (Ph.D.)--University of Texas at Arlington, 2009.
Selvaratnam, Ratnajothy Maharajendra.
Thesis (Ph. D.)--University of Hong Kong, 1996. / Includes bibliographical references.
Siefert, William Thomas,
(has links) (PDF)
Thesis (M.S.)--University of Missouri--Rolla, 2007. / Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed February 14, 2008) Includes bibliographical references (p. 44-45).
Due to the rapid development of computing technology and faster growth of financial industry, Foreign Exchange high-frequency trading has become substantially more prominent to today's market players, especially to bankers and market makers. This research aims at introducing today's FX high-frequency trading structure and discussing how a market maker can effectively reduce downside risk when market faces a huge upward or downward stress. An Exponential Moving Average operator is introduced and implemented using a Matlab software for tick-by-tick data analysis. Simulation framework for market high-frequency data and client trading flow is also introduced and implemented using the Matlab software. Real-time P&L calculation is introduced and used to determine the performance of a proposed risk hedging strategy. On the other hand, due to the financial crisis we experienced in 2007, 2008, and 2009, we analyze the tail risk of foreign exchange market. Extreme Value Theory (EVT) has been applied to real EUR/USD data, which contains eight-year daily closing exchange rate. An extension of from EVT to Value-at-Risk (VaR) calculation is introduced. We also consider the volatility clustering issue in asset returns and demonstrate how GARCH model can be applied for VaR calculation. Lastly, we propose a method of using VaR as a high-frequency risk measure for risk hedging strategies during intra-day trading.
30 April 2013
Exploring the main factors that determine bond spreads with respect to Treasury rates is one of the most critical issues in the corporate debt market. Credit risk has long been perceived as the most important determinant of bond spreads (Fisher, 1959). One of the most critical parameters in credit risk models is asset volatility, which includes idiosyncratic and systematic components. However, these models do not distinguish between them. Chapter 2 investigates the impact of idiosyncratic volatility on bond portfolio spreads between 2000 and 2010. While the prediction of traditional asset pricing models is that firm-specific risk should be diversified away at aggregate level, I find idiosyncratic volatility plays an incremental role in explaining bond portfolio spreads beyond the market factors. Recovery is an important measurement of credit risk additional to default probability. Chapter 3 focuses on the estimation of firm recovery after bankruptcy using the Leland and Toft (1996) model. Using a large sample of Chapter 11 filings from 1996 to 2007, I find that the recovery derived from the Leland and Toft model has strong explanatory power on the debt recovery observed in the market. Recent literature finds that all extant credit risk models significantly underestimate bond spreads, especially for investment grade bonds of short maturity. Chapter 4 identifies a heretofore ignored component, perceived accounting misstatement, by regressing bond spreads on the proxy of accounting misstatement propensity, while controlling for issuers’ default risk and bond illiquidity risk between January 1994 and June 2002. My thesis deepens the understanding of bond price discovery mechanisms and presents an important challenge for future research to incorporate the strong empirical relationship between idiosyncratic volatility and bond yields in asset pricing models. My thesis also sheds light on the accurate prediction of debt recovery, which is important to the valuation and hedging of risky debt and credit derivatives. Furthermore, my thesis assists in solving the credit spread puzzle by identifying a new risk factor. Overall, my thesis provides new insights into research on the corporate debt market and has important implications for academic scholars and market practitioners. / Thesis (Ph.D, Management) -- Queen's University, 2013-04-30 20:22:12.594
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