by Franco Modigliani and Gerald A. Pogue. / Bibliography: leaf 82-84.

Thesis (M.S.)--Missouri University of Science and Technology, 2009. / Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed November 17, 2009) Includes bibliographical references (p. 27-30).

Diss. Stockholm : Handelshögskolan, 2009.

This thesis investigates two aspects of credit risk measurement in the context of Basel 11: The International Convergence of Capital Measurement and Capital Standards. The first is the problem arising when two credit rating agencies disagree over the rating assigned to an issuer and a split rating arises. The second area is the determination of internal credit rating models for use under the Internal ratings-based approach. This thesis presents a variety of bank rating modes for individual and long term ratings across different agencies and regions. Using an extensive database of credit rating agencies with a sample of over 52,000 split ratings covering a four year period from 1999 - 2004 the first study shows that there is a ranking of agencies from the most to least generous that is stable over time. In most cases, the differences between the mean ratings of the agencies are significantly different from each other at the 1% level. The greatest differences arise between the US and Japanese agencies. When the split ratings are compared in terms of Basel II risk weights the differences between the US and Japanese agencies are still highly significant and the conclusion is that supervisors should alter the mapping of the Japanese agencies to the risk assessments under the provisions of Annex 2 to Basel II. Contrary to earlier research this study does not find that the highest level of split ratings arise for banks. The level of consensus between agencies appears to correspond to the average credit quality of the industry in question. Bank credit ratings are modelled from financial ratios and variables using ordinal logistic regression. Sample sizes exceeded 1,100 banks for the largest agencies.

The public-private partnership (PPP) arrangements require the optimization of risk allocation between the public and private sectors in order to achieve the best net present value (NPV). Many researchers mentioned that the risk events of a PPP infrastructure projects are interdependent over project life cycle. Sterman (1992) stated that a large-scale construction project that is complex and has highly dynamic and interdependent risks and uncertainties over long-term project life cycle. Williams (2002) also mentioned that the risk usually interact each other with nonlinear relationships over time in a complex project. Dey and Ogunlana (2004) contended that there is a need to analyze risk interactions of complex infrastructure projects such as build-operate-transfer (BOT) projects over their long-term project life. In modern approaches to PPP project risk management, experts assume risk factors are independent and ignore the risk interaction effects over project life cycle, so the project risks cannot be effectively managed and controlled. The researcher proposed a modelling approach that used a risk network model applying System Dynamics (SD) techniques to estimate risk interaction effects on project NPV over time. The researcher used another SD model built on the risk network model to estimate the beneficial effects of bidding proposals on project NPV over time and to see how efficiently the risk effects can be reduced and the NPV performance can be improved. Then, the researcher applied appropriate stochastic analyses including mean-variance, mean semi-variance, stochastic dominance and expected-loss ratio to compare range values of NPV among different bidding proposals. A capable PPP concessionaire with the best project NPV performance can hence be selected. An industry case was applied to demonstrate SD decision models. The SD decision models have been validated through the behaviour reproduction test and multivariate sensitivity analysis. This proved that the proposed approach is robust and applicable to address real world problems to evaluate the longterm performance of a PPP project concessionaire

Arguably, the credit risk models reported in the literature for the retail lending sector have so far been less developed than those for the corporate sector, mainly due to the lack of publicly available data. Having been given access to a dataset on defaulted mortgages kindly provided by a major UK bank, this work first investigates the Loss Given Default (LGD) of mortgage loans with the development of two separate component models, the Probability of Repossession (given default) Model and the Haircut (given repossession) Model. They are then combined into an expected loss percentage. Performance-wise, this two-stage LGD model is shown to do better than a single-stage LGD model (which directly models LGD from loan and collateral characteristics), as it achieves a better Rsquare value, and it more accurately matches the distribution of observed LGD. We next investigate the possibility of including macroeconomic variables into either or both component models to improve LGD prediction. Indicators relating to net lending, gross domestic product, national default rates and interest rates are considered and the interest rate is found to be most beneficial to both component models. Finally, we develop a competing risk survival analysis model to predict the time taken for a defaulted mortgage loan to reach some outcome (i.e. repossession or non-repossession). This allows for a more accurate prediction of (discounted) loss as these periods could vary from months to years depending on the health of the economy. Besides loan- or collateral-related characteristics, we incorporate a time-dependent macroeconomic variable based on the house price index (HPI) to investigate its impact on repossession risk. We find that observations of different loan-to-value ratios at default and different security type are affected differently by the economy. This model is then used for stress test purposes by applying a Monte Carlo simulation, and by varying the HPI forecast, to get different loss distributions for different economic outlooks.

The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss given default (LGD) and exposure at default (EAD). This thesis looks at some examples of modelling LGD and PD. One part of this thesis investigates modelling LGD for unsecured personal loans. LGD is estimated through estimating Recovery Rate (RR, RR=1-LGD). Firstly, the research examines whether it is better to estimate RR or Recovery Amounts. Linear regression and survival analysis models are built and compared when modelling RR and Recovery Amount, so as to predict LGD. Secondly, mixture distribution models are developed based on linear regression and survival analysis approaches. A comparison between single distribution models and mixture distribution models is made and their advantages and disadvantages are discussed. Thirdly, it is examined whether short-term recovery information is helpful in modelling final RR. It is found that early payment patterns and short-term RR after default are very significant variables in final RR prediction models. Thus, two-stage models are built. In the stage-one model short-term Recoveries are predicted, and then the predicted short-term Recoveries are used in the final RR prediction models. Fourthly, macroeconomic variables are added in both the short-term Recoveries models and final RR models, and the influences of macroeconomic environment on estimating RR are looked at. The other part of this thesis looks at PD modelling. One area where there is little literature of PD modelling is in invoice discounting, where a bank lends a company a proportion of the amount it has invoiced its customers in exchange for receiving the cash flow from these invoices. Default here means that the invoicing company defaults, at which point the bank cannot collect on the invoices. Like other small firms, the economic conditions affect the default risk of invoicing companies. The aim of this research is to develop estimates of default that incorporate the details of the firm, the current and past position concerning the invoices, and also economic variables.

O gerenciamento de riscos e a segurança são aspectos importantes a serem considerados na elaboração de projetos. No entanto, o primeiro é pouco utilizado pelas empresas em geral, apesar das ferramentas e técnicas existentes. No caso da segurança, existe uma lacuna referente ao modo que as empresas gerenciam a segurança de seus projetos. Assim, a presente dissertação teve como objetivo estudar a aplicabilidade e a importância do gerenciamento de riscos e da segurança para a condução de projetos bem-sucedidos. Foram utilizados como métodos de investigação entrevistas e questionários, os quais possibilitaram obter conhecimentos e opiniões, referentes ao assunto em estudo, de vinte e oito gestores de projetos de diferentes áreas. Os resultados obtidos evidenciaram que o gerenciamento de riscos nem sempre é aplicado nos projetos, apesar dos avanços ocorridos na área. Quanto à segurança, constatou-se que fatores como o tipo de projeto, porte e exigência do cliente determinam sua inserção no ambiente de gerenciamento de projetos. Além disso, observou-se que o gerenciamento de riscos associado à segurança são importantes para a realização de projetos bem-sucedidos, embora sua utilização não ocorra em todos os projetos. Ainda que os resultados tenham mostrado a necessidade de mais treinamentos e estudos adicionais para auxiliar no entendimento e aplicação do gerenciamento de riscos e da segurança, ficou constatado que os gestores possuem consciência da importância da aplicação destes durante o desenvolvimento de seus projetos. Isto representa um progresso na direção de uma mudança cultural nas organizações. / Risk management and safety are important aspects to be considered during projects development. However, the first is used too little by companies in general, despite of the tools and techniques already developed. In the case of safety, exists a gap about the way enterprises management it in their projects. Thus, the present essay had to objective study the applicability and importance of risk management and safety to projects success. Interviews and questionary were conducted, which allowed to obtain knowledge and opinions concerned to subject in study of twenty and eight project managers from different areas. The results evidenced that risk management is not always applied in the projects, although the advances occurred in the area. In relation to safety, it was verified that factors like project’s type, size and customer requirements determine the insertion of safety in the project management. In the same time, it was found out that risk management associated with safety are important to project success, even so it is not applied in all projects developed. Moreover, the results have indicated the need for more training and additional studies to help understanding the usage of risk management and safety tools and techniques, it was found out that managers are aware of importance to consider its use during the projects development. This denotes a progress in the direction of a cultural change in the organizations.

Information was gathered regarding all aquarium and already introduced alien snail species (Gastropods), which are being imported to Europe. For the integrity of the research non-native and aquarium clams (Bivalve) were also included. Profiles of species were created based on collected information and the data were subsequently used for creating questionnaires. Questionnaires of each species were processed by FI - ISK, version 1.19 screening tool. Score of invasiveness risk potential was evaluated for each species individually. Surveyed taxa were divided into three groups according to their scores: low risk, medium risk and high risk. Celetaia persculpta was evaluated as aquarium snail (Gastropods) with the lowest risk for native fauna of Czech Republic. According to the results, Pomacea maculata and Pomacea canaliculata are the aquarium snails (Gastropods) with the highest invasiveness risk potential. The riskiest introduced species is Potamopyrgus antipodarum. Scabies crispata and Hyriopsis bialata are clams (Bivalve) with the least risk for the native fauna of Czech Republic. Corbicula fluminea and Dreissena polymorpha were analyzed as clams (Bivalve) with the highest invasiveness risk potential. By comparing aquarium species with species that were already introduced into Czech nature, I conclude that the aquarium snails (clams) do not represent similar risk like the alien species that were introduced without the share of aquarists.

This purpose of the research is to investigate the relationship between the implementation of an Enterprise Risk Management (ERM) and corporate governance within the public sector. Furthermore, the study focused on the role of internal audit in ERM implementation as well as the relationship between ERM and risk communication. Questionnaires designed to collect data were e-mailed to risk managers; internal auditors and senior managers. The survey confirmed a positive association between the implementation of an ERM framework and corporate governance as well as risk communication. The majority of respondents further confirmed that corporate governance concerns were the main driving force behind the implementation followed by the impact of HIV/AIDS on their respective organisations. Of those surveyed 38% confirmed that their ERM process is embedded and they have also created the position of chief risk officer or similar. However, it is important to note that the role of internal audit in ERM implementation is not fully integrated.