Banking has a unique role in the well-being of an economy. This role makes banks one of the most heavily regulated and supervised industries. In order to strengthen the soundness and stability of banking systems, regulators require banks to hold adequate capital. While credit risk was the only risk that was covered by the original Basle Accord, with the 1996 amendment, banks have also been required to assign capital for their market risk starting from 1998. In this research, the impact of the market risk capital regulations on bank capital levels and derivative activities is investigated. In addition, this study also evaluates the impact of using different approaches that are allowed to be used while calculating the required market risk capital, as well as the accuracy of VaR models. The implementation of the market risk capital regulations can influence banks either by increasing their capital or by decreasing their trading activities and in particular trading derivative activities. The literature review concerning capital regulations illustrates that in particular the impact of these regulations on bank capital levels and derivative activities is an issue that has not yet been explored. In order to fill this gap, the changes in capital and derivatives usage ratios are modelled by using a partial adjustment framework. The main results of this analysis suggest that the implementation of the market risk capital regulations has a significant and positive impact on the risk-based capital ratios of BHCs. However, the results do not indicate any impact of these regulations on derivative activities. The empirical findings also demonstrate that there is no significant relationship between capital and derivatives. The market risk capital regulations allow the use of either a standardised approach or the VaR methodologies to determine the required capital amounts to cover market risk. In order to evaluate these approaches, firstly differences on bank VaR practices are investigated by employing a documentary analysis. The documentary analysis is conducted to demonstrate the differences in bank VaR practices by comparing the VaR models of 25 international banks. The survey results demonstrate that there, is no industry consensus on the methodology for calculating VaR. This analysis also indicates that the assumptions in estimating VaR models vary considerably among financial institutions. Therefore, it is very difficult for financial market participants to make comparisons across institutions by considering single VaR values. Secondly, the required capital amounts are calculated for two hypothetical foreign exchange portfolios by using both the standardised and three different VaR methodologies, and then these capital amounts are compared. These simulations are conducted to understand to what extent the market risk capital regulations approaches produce different outcomes on the capital levels. The results indicate that the VaR estimates are dependent upon the VaR methodology. Thirdly, three backtesting methodologies are applied to the VaR models. The results indicate that a VaR model that provides accurate estimates for a specific portfolio could fail when the portfolio composition changes. The results of the simulations indicate that the market risk capital regulations do not provide a `level playing field' for banks that are subject to these regulations. In addition, giving an option to banks to determine the VaR methodology could create a moral hazard problem as banks may choose an inaccurate model that provides less required capital amounts.

Contaminated land management has become a major concern for Nigeria. Sites affected by petroleum hydrocarbons from oil exploitation activities have been identified as a major environmental and socio-economic problem in the Niger Delta region. Though air and water regulations have received the most attention, the regulatory system for contaminated land remains largely undeveloped. As a result, Nigeria oil contaminated land governance lacks a clear and well-established policy framework; administrative structure and capacity; technical methods; and incentive structures. A consequence of these limitations is the inevitable ad hoc management of contaminated land in Nigeria. This thesis aims to provide a comprehensive and integrated contaminated land management policy framework for Nigeria. This work adopts a qualitative approach including critical review methodology and field surveys to investigate the current practice in contaminated land management in Nigeria. Key findings from this research clearly indicate an urgent need for a regulatory policy supported by a holistic and coordinated structure, coupled with improved technical capacity and additional resources to prevent new contamination and to address legacy contaminated sites. A technical strategy to identify and characterise contaminated land in terms of Source-Pathway-Receptor (S-P-R) linkages, a liability regime and the establishment of land use standards are required in Nigeria. Field surveys were used to pilot a proposed stakeholder engagement approach that integrates consideration of social values that could influence contaminated land management policy. Top ranked social values included drinking water, soil quality, and food and local supply chain. Based on this research a pathway for improving the current policy was proposed. The pathway identifies the need to engage stakeholders, educate and improve awareness, increase trust and transparency and integrate societal values into contaminated land management decision- making. An integrated risk assessment framework for contaminated land management in Nigeria was also proposed, and completed with a pathway for integrating the social values and sustainability indicators identified previously. The study proposes a timeline for achieving comprehensive contaminated land management policy in Nigeria. Finally, a multi-attribute methodology for contaminated land prioritisation in Nigeria was developed to identify and promptly respond to sites that pose the highest risk to receptors, considering the limited nature of resources for contaminated land management.

Este trabalho apresenta os resultados da aplicação da metodologia de inspeção não intrusiva (INI) em equipamentos do sistema de dessulfurização de gás numa plataforma petrolífera, com o auxílio da inspeção baseada em risco utilizando a norma API RP 581. A inspeção não intrusiva é aplicada tendo como fundamentos as guias de inspeção, como a DNV-RP-G103, que reúne informações de como executar e justificar o seu uso, a fim de garantir a segurança das instalações, eliminando a necessidade de uma parada do equipamento para a realização da inspeção. Contudo nem todos os equipamentos puderam ser inspecionados por esta metodologia, devido a limitações operacionais e/ou construtivas. O trabalho conclui que a inspeção não intrusiva pode ser aplicada à inspeção de equipamentos sem prejuízo ao mapa de risco do equipamento ou da unidade, e naqueles onde não é possível à utilização somente da metodologia, a mesma poderá ser aplicada em conjunto com a inspeção convencional fornecendo informações importantes sobre o estado do equipamento, melhorando assim a confiabilidade do planejamento da parada de manutenção e uma redução dos custos envolvidos. / This paper presents the results of applying the methodology of non-intrusive inspection (INI) in electrical system flue gas desulphurization an oil rig, with the help of riskbased inspection using the API RP 581. The non-intrusive inspection is implemented with the guides as the foundations of inspection, such as DNV-RP-G103, which gathers information on how to make and justify its use, to ensure the safety of installations, eliminating the need for a parade equipment to perform the inspection. However not all equipment could be inspected by this method, due to operational limitations and / or constructive. The paper concludes that the non-intrusive inspection can be applied to inspection of equipment subject to the risk map of the equipment or unit, and those where it is not possible to use only the methodology, it may be applied along with conventional inspection providing important information on the status of the equipment, thereby improving the reliability of planning maintenance shutdown and lower costs.

Este trabalho apresenta os resultados da aplicação da metodologia de inspeção não intrusiva (INI) em equipamentos do sistema de dessulfurização de gás numa plataforma petrolífera, com o auxílio da inspeção baseada em risco utilizando a norma API RP 581. A inspeção não intrusiva é aplicada tendo como fundamentos as guias de inspeção, como a DNV-RP-G103, que reúne informações de como executar e justificar o seu uso, a fim de garantir a segurança das instalações, eliminando a necessidade de uma parada do equipamento para a realização da inspeção. Contudo nem todos os equipamentos puderam ser inspecionados por esta metodologia, devido a limitações operacionais e/ou construtivas. O trabalho conclui que a inspeção não intrusiva pode ser aplicada à inspeção de equipamentos sem prejuízo ao mapa de risco do equipamento ou da unidade, e naqueles onde não é possível à utilização somente da metodologia, a mesma poderá ser aplicada em conjunto com a inspeção convencional fornecendo informações importantes sobre o estado do equipamento, melhorando assim a confiabilidade do planejamento da parada de manutenção e uma redução dos custos envolvidos. / This paper presents the results of applying the methodology of non-intrusive inspection (INI) in electrical system flue gas desulphurization an oil rig, with the help of riskbased inspection using the API RP 581. The non-intrusive inspection is implemented with the guides as the foundations of inspection, such as DNV-RP-G103, which gathers information on how to make and justify its use, to ensure the safety of installations, eliminating the need for a parade equipment to perform the inspection. However not all equipment could be inspected by this method, due to operational limitations and / or constructive. The paper concludes that the non-intrusive inspection can be applied to inspection of equipment subject to the risk map of the equipment or unit, and those where it is not possible to use only the methodology, it may be applied along with conventional inspection providing important information on the status of the equipment, thereby improving the reliability of planning maintenance shutdown and lower costs.

Cette thèse propose une méthode de navigation fondée sur les risques, y compris à la fois la notion traditionnelle de risque de collision et la notion de risque de perturbation. Avec la demande croissante d'assistance à la mobilité personnelle et de la robotique de services mobiles, les robots et les gens doivent partager les mêmes espaces physiques et suivre les mêmes conventions sociales. Les robots doivent respecter les contraintes de proximité, mais aussi respecter les gens qui interagissent. Par exemple, ils ne doivent pas briser l'interaction entre les gens qui parlent, à moins que la tâche du robot est de prendre part à la conversation. Dans ce cas, il doit être en mesure de rejoindre le groupe à l'aide d'un comportement socialement adapté. Le système de navigation socialement conscient proposée dans cette thèse intègre à la fois l'évaluation d'un risque de collision en utilisant des modèles prédictifs d'obstacles mobiles, et une évaluation de conformité avec les conventions sociales. La gestion humaine de l'espace (espace personnel, o-espace, espace d'activité ...) inspirée de la sociologie et la littérature robotique sociale est intégré, mais aussi des modèles de comportement qui permettent au robot la realisation de une prédiction à moyen terme des positions de l'homme. Les résultats de la simulation et des expériences sur un fauteuil roulant robotisé donnent validite a la méthode en montrant que notre robot est capable de naviguer dans un environnement dynamique en évitant les collisions avec des obstacles et des personnes et, en même temps, en réduisant l'inconfort chez les personnes en respectant les espaces mentionnés ci-dessus. / This thesis proposes a risk-based navigation method including both the traditional notion of risk of collision and the notion of risk of disturbance. With the growing demand of personal assistance to mobility and mobile service robotics, robots and people must share the same physical spaces and follow the same social conventions. Robots must respect proximity constraints but also respect people interacting. For example, they should not break interaction between people talking, unless the robot task is to take part in the conversation. In this case, it must be able to join the group using a socially adapted behavior. The socially-aware navigation system proposed in this thesis integrates both an assessment of a risk of collision using predictive models of moving obstacles, and an assessment of accordance with social conventions. Human management of space (personal space, o-space, activity space...) inspired from sociology and social robotics literature is integrated, but also models of behavior that enable the robot to make medium-term prediction of the human positions. Simulation and experimental results on a robotic wheelchair validate the method by showing that our robot is able to navigate in a dynamic environment avoiding collisions with obstacles and people and, at the same time, minimizing discomfort in people by respecting spaces mentioned above.

Usage of outputs from credit scoring models within decision-making process is often neglected in the existing literature. Nonetheless, it is a critical component of a successful lending process. This thesis introduces the concept of credit scoring and discusses steps typically employed within model development process. This thesis then provides an overview of how modeling outputs are typically used in lending. The thesis primarily focuses on definition of cut-offs points, policy and business rules, limit assignment and risk based pricing. The introduced approaches are modeled in the last part of the thesis.

The increased energy demand within South Africa has led to continued periods of load shedding. This has had an adverse impact on industry, quality of life and the economy as a whole. A larger requirement for production time, reduced downtime and an enlarged focus on health and safety have steered industry towards a paradigm shift in inspection and maintenance. These activities have progressed from a predominantly time-based (prescriptive) approach towards a risk-based approach. Generally accepted standards like BS EN 16991:2018 and API RP 580 give a comprehensive outline of the basic elements for developing, implementing and maintaining a risk-based inspection program. API RP 581 takes this outline one step further and contains the quantitative methods that support the minimum guidelines presented by API RP 580. Similarly, Kent W. Mühlbauer’s approach has developed a relative risk ranking model for petroleum and gas pipelines, which outlines a qualitative method for representing risk. None of these models are however directly applicable to predicting the failure of pressurised boiler equipment due to the mechanism of corrosion fatigue. API RP 580 / 581 was primarily developed for the oil and gas industry and have practical limitations when applied to pressurised equipment typically found in utilities. BS EN 16991:2018 supplies a framework for utilities, but doesn’t go into the specific detail of how to structure, formulate and apply a risk based management model. The methodology laid out by Kent W. Mühlbauer, while practical and easily implemented, was designed for oil and gas pipelines. A systematic methodology to evaluate the risk associated with specific failure mechanisms in boilers, such as corrosion fatigue, does not exist or is not readily available. A comprehensive risk-based predictive model, using aspects of the abovementioned standards and guides, was developed to demonstrate the predictability of corrosion fatigue in sub-critical boilers. Weightings were assigned to contributory causes to corrosion fatigue, which then allocated relative risk ranks to certain segments within a boiler. Operators and owners of boilers can derive benefit from this model by focusing inspection, maintenance and alteration activities on those equipment locations with the highest relative risk score. / Dissertation (MEng (Metallurgical Engineering))--University of Pretoria 2020. / Eskom Power Plant Engineering Institute (EPPEI) Supervisor: Mr. L. Reddy / Materials Science and Metallurgical Engineering / MEng (Metallurgical Engineering) / Unrestricted

The purpose of this study is to examine the wealth effect of the Risk-Based Capital (RBC) regulation on the U.S. commercial banking industry. The RBC plan was first proposed in January 1986, and its final form was announced on July 11, 1988. This plan resulted from dissatisfaction with the old capital regulation, which did not account for asset risk and off-balance sheet activities. The present study hypothesizes that the new regulation restricted bank optimal behavior and, therefore, adversely affected stock prices. The second and third hypotheses suggest that investors used company specific information, Net Tier 1 and Total risk-based capital ratios respectively, in valuing stocks of the affected bank holding companies. Hypotheses four and five suggest that abnormal returns are proportionally related to the levels of Net Tier 1 or Total RBC ratio. Both the traditional event study and the portfolio time-series regression, with RBC ratios (Net Tier 1 or Total) as the weight factors, are used in this study.

<div>Every year power outages cost billions of dollars and affect millions of people. Historical data shows that between 2000 and 2016, 75% of power outages (in terms of duration) were caused due to severe weather events. Due to climate change these severe weather events are becoming more frequent. The National Association of Regulatory Commissioners have recently emphasized on the importance of building electricity sector's resilience thus ensuring long term reliability and economic benefits for the stakeholders. These severe weather events are called High Impact Low Frequency (HILF) events, which means that these events may not occur every year, but when they happen, the impact is likely to be severe. So, it is imperative that the risk of power outages due to severe weather events and their economic impact is persistent. To mitigate the risk, utilities need to invest heavily so that the impacts due to these HILF events can be minimized. Under this situation, utilities face three key questions (1) where to invest (2) how much to invest and (3) how to justify the investment. Therefore, there is a need to develop a framework for investment related decision-making, which can identify the optimal strategies for minimizing the economic impacts of severe weather induced power outages under different budget conditions. It is equally important to understand the cascading impacts of the sustained power outages during natural disasters before investment can be planned for building resilience in electricity sector. The existing frameworks to access the costs of severe weather induced power outages grossly undermines the overall economic impacts. This research has (1) assessed the economic loss due to severe weather induced power outages in terms of loss of Gross Domestic Product (GDP) and (2) developed a framework for identifying the optimal risk reduction strategies to minimize the economic impact. For assessing the economic impact, this research has adopted Inoperability Input-Output Model (IIM) using 20 years of historical data from the Bureau of Economic Analysis (BEA). The proposed framework has the flexibility to accommodate the risk appetite of the decision maker. The framework can be used by the Investor Owned Utilities (IOUs) for the rate approvals from the State Utility Regulatory Commissions by justifying the importance of their resilience building projects to the State's economy. <br></div>

Criminal networks exploit vulnerabilities in the global financial system, using it as a conduit to launder criminal proceeds. Law enforcement agencies, financial institutions, and regulatory organizations often scrutinize voluminous financial records for suspicious activities and criminal conduct as part of anti-money laundering investigations. However, such studies are narrowly focused on incidents and triggered by tip-offs rather than data mining insights. This research models cross-border financial flows using a network theoretic approach and proposes a symmetric-key encryption algorithm to preserve information privacy in multi-dimensional data sets. The newly developed tools will enable regulatory organizations, financial institutions, and law enforcement agencies to identify suspicious activity and criminal conduct in cross-border financial transactions. Anti-money laundering, which comprises laws, regulations, and procedures to combat money laundering, requires financial institutions to verify and identify their customers in various circumstances and monitor suspicious activity transactions. Instituting anti-money laundering laws and regulations in a country carries the benefit of creating a data-rich environment, thereby facilitating non-classical analytical strategies and tools. Graph theory offers an elegant way of representing cross-border payments/receipts between resident and non-resident parties (nodes), with links representing the parties' transactions. The network representations provide potent data mining tools, facilitating a better understanding of transactional patterns that may constitute suspicious transactions and criminal conduct. Using network science to analyze large and complex data sets to detect anomalies in the data set is fast becoming more important and exciting than merely learning about its structure. This research leverages advanced technology to construct and visualize the cross-border financial flows' network structure, using a directed and dual-weighted bipartite graph. Furthermore, the develops a centrality measure for the proposed cross-border financial flows network using a method based on matrix multiplication to answer the question, "Which resident/non-resident nodes are the most important in the cross-border financial flows network?" The answer to this question provides data mining insights about the network structure. The proposed network structure, centrality measure, and characterization using degree distributions can enable financial institutions and regulatory organizations to identify dominant nodes in complex multi-dimensional data sets. Most importantly, the results showed that the research provides transaction monitoring capabilities that allow the setting of customer segmentation criteria, complementing the built-in transaction-specific triggers methods for detecting suspicious activity transactions. / Thesis (PhD)--University of Pretoria, 2021. / Banking Sector Education and Training Authority (BANKSETA) / UP Postgraduate Bursary / Industrial and Systems Engineering / PhD / Unrestricted