The delivery of medium and mega project has been a challenge for a number of decades, with attempts made to reduce the associated issues around engineering projects implementation. Project delivery before 1950 mainly relates to cost, time, and scope, with a lack of documentation pertaining to methods, as well as inadequate techniques to achieve a quality final product. The concept of Asset Operational Readiness (AOR) emanates in the 1950s from the military as means of providing the “developmental state of weapons systems”. The concept gained momentum as it was associated with “system safety” in the 1980s for decision-making. AOR can be defined as an establishment of a state or configuration which, after completion of the project, “places the right people in the right places at a right time working with the right hardware according to the right procedures and management controls”. The research work covered in this thesis, aims to propose a best-practice AOR framework for mega-projects in the power generation industry. A thorough Literature Review provides an overview of best practices on the AOR requirements for various industrial fields. The survey shows that AOR implementation follows the Project Life Cycle Management (PLCM) principles, from conceptual and pre-feasibility phases to commissioning and operation phases. In addition, the survey considers methodologies and techniques, which aids to enhance AOR framework development such as Root Cause Analysis (RCA) exercises. The study has provided an opportunity to develop an AOR theoretical framework refinement methodology, inclusive of RCA, AOR assessment tools, qualitative survey tool, and scoring systems. The AOR best practice framework and refinement methodology application to a real mega project case study, with historical data, enables a stage wise assessment of each component for individualized performance rating. This provides an identification of the areas that require refinement to have an improved AOR framework as outcome. The research outcome shows that there are implications for inadequate development and implementation of items in the proposed framework. The implications range from rework during manufacturing and construction, poor product quality delivery, poor performance post commissioning, and overall cost overruns. In addition, the study provides evidence that implementation of the AOR framework aids a project to realize its potential and yield positive results, which ultimately benefits an organization in terms of quality product delivery, cost reduction, and optimal Operations and Maintenance of the established asset. / Dissertation (MEng)--University of Pretoria, 2019. / Civil Engineering / MEng / Unrestricted

No description available.

<p>Credit risk is the risk of losses due to the failure to fulfil the obliged payment from a debtor or a counterparty. It is one of the three major components of risks that a bank faces as defined in the new Basel Accord. The credit risk literature has experienced similar rapid growth as the credit market itself. There are currently four different approaches to analyzing credit risk: structural, reduced-form, incomplete information and hybrid models. Even though there are large volumes of published research papers and books on credit risk, our understanding and management skills in this area are still very limited as evidenced by the recent crash of the subprime market. This thesis combines three working papers on credit risk modeling and aims at adding some insights and contributions to the current credit risk literature.</p><p>In the first paper, we propose to randomize the initial condition of a generalized structural model, where the solvency ratio instead of the asset value is modeled explicitly. This initial randomization assumption is motivated by the fact that market players cannot observe the solvency ratio accurately. We find that positive short spreads can be produced due to imperfect observation on the risk factor. The two models we have considered, the Randomized Merton (RM)-II and the Randomized Black-Cox (RBC)-II, both have explicit expressions for Probability of Default (PD), Loss Given Default (LGD) and Credit Spreads (CS). In the RM-II model, both PD and LGD are found to be of order of √T, as the maturity T approaches zero. It therefore provides an example that has no well-defined default intensity but still admits positive short spreads. In the RBC-II model, the positive short spread is generated through the positive default intensity of the model. Because explicit formulas are available, these two Randomized Structure (RS) models are easily implemented and calibrated to the market data. This is illustrated by a calibration exercise on Ford Motor Corp. Credit Default Swap (CDS) spread data.</p> <p>In the second paper, we introduce the inverse-CIR (iCIR) intensity model of credit risk. A multi-firm intensity-based model is constructed where negative correlations are built through the negative correlation between the Cox-Ingersoll-Ross (CIR) process and its inverse. This parsimonious setting allows us to form rich correlation structures among short spreads of different firms, while keeping nonnegative conditions for interest rates and short spreads. The bond prices are given by explicit expressions involving confluent hypogeometric functions. This model can be regarded as an extension of the Ahn & Gao (1999) one factor iCIR model on interest rates to a multi-factor framework on credit risk.</p> <p> In the third paper, we derive several forms of the equity volatility as a function of the equity value, from the structural credit risk literature. We then propose a new jump to default model by taking the equity volatility to be of the form implied by the models of Leland (1994) and Leland & Toft (1996). This model involves a process we call the Dual-Jacobi process and which has explicit formulae for its moments. Gram-Charlier expansions are then applied to approximate bond and call prices. Our model generalizes Linetsky (2006) by incorporating a local volatility which is bounded below by a positive constant. This local volatility will decrease to a positive constant for increasing stock prices, making the stock process asymptotic to Geometric Brownian Motion (GBM). In this sence, our model is more realistic than Constant Elasticity of Variance (CEV) models.</p> / Thesis / Doctor of Philosophy (PhD)

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No / By assuming that all uninsurable risk is permanent, a closed form multi-period, multiple agent and multiple asset incomplete market asset pricing model is presented that allows for jump as well as diffusion risk to personal income.

In recent years, the concept of poverty has shifted away from a narrow definition—caloric intake based poverty—to a much broader one that places emphasis on a variety of factors, such as health, education, income, and powerlessness. Most researchers agree that eliminating poverty requires a holistic approach that is attentive to promoting pro-poor growth, creating opportunities for employment, ensuring that the fruits of growth reach impoverished communities, and protecting vulnerable segments of the impoverished population. This study looks the role of microcredits, which has received increasing attention as a means to combat poverty. The advent of neoliberalism led to advances in autonomous markets, commodification, market-led growth, and the dissolution of the Keynesian welfare state. Microcredit growing out of a neoliberal shift plays a powerful role as an instrument to fight poverty, especially in the age government and state failure, entrepreneurial expansion and self-employment income-earing opportunities. Microcredit programs are of great interest to governments, non-governmental organization, and banks because of their potential for reducing poverty. Critics of the microcredit movement argue that microcredit does little besides replacing existing informal credit arrangements to fund subsistence activity, which they view as having little or no prospect of growth. They argue that support of microcredit may over anticipate its benefits, such as the alleviation of poverty and female empowerment. This study assesses the effectiveness of microcredit combined asset building as a pro-growth approach to reduce poverty sustainably in Kinshasa. The recent crises of over-indebtedness in several markets and Kinshasa have fueled growing concern that microcredit may be getting borrowers into trouble. However, my study findings show that assets, specifically microcredit, can stem the poverty cycle and better enable individuals to "stand on their own two feet"socio-economically if combined with other innovative programs. This study uses the test of significance to assess the effectiveness microcredit integrated asset building. / Ph. D. / This study challenges the evidence claiming that microcredit is a miracle cure capable of eliminating poverty in one fell swoop. Instead, I will suggest that it can end poverty only when combined with other innovative programs. This powerful combination has the power to create assets that may unleash people’s potential in Kinshasa, Democratic Republic of Congo. Poverty is a multi-dimensional problem and the challenge to reduce the vulnerability of the impoverished demands a combination of approaches to the structure.

Thesis (MEng)-- Stellenbosch University, 2013. / ENGLISH ABSTRACT: Asset Management initiatives suffer many barriers in implementation which hinder their influence and sustainability. One of these barriers is the lack of buy-in from all levels in the organisation, due to a lack of understanding of the perceived benefits of Asset Management. The relationship between throughput and the maturity of Asset Management implementation is usually felt throughout the organisation, but is difficult to prove or quantify. Furthermore, it is di cult to isolate the effects of maintenance using traditional methods. Organisational alignment in an Asset Management project is achieved by aligning employees' views on what the deficient areas in the organisation are, and managing their expectations in what the perceived benefit of a good application of Asset Management would bring forth. However, the lack of a transparent method to convey the significance of critical areas in the system, and a clear way to communicate these problems creates a barrier in implementation. Without empirical evidence people rely on argumentative opinions to uncover problems, which tends to create friction as opinions from various factions may differ. Typically, these initiatives are constrained by available resources, and the allocation of resources to the correct areas is thus vital. In order for Asset Management initiatives to be successful there first needs to be alignment in execution through a clear understanding of which assets are critical, so that resources can be allocated effectively. In this study, this problem is thoroughly examined and solutions are sought in literature. A method is sought which seeks to isolate the effects of the maintenance function in an operation and uncover critical areas. A study is performed on methods which are typically used to create such understanding, which are shown to have shortcomings that limit their applicability. Thus a new methodology utilising simulation is created in order to overcome these problems. The methodology is validated through a case study, where it is shown that the simulation, in the context of the methodology, is highly beneficial to uncovering critical areas and achieving organisational alignment through communication of results. / AFRIKAANSE OPSOMMING: Fisiese bate bestuursinitiatiewe het verskeie tekortkominge in hulle implementering wat hulle invloed en volhoubaarheid verhinder. Een van hierdie hindernisse is die tekort aan ondersteuning van alle vlakke in die organisasie, wat as gevolg van 'n gebrek aan begrip van die voordele van bate bestuur voorkom. Die verhouding tussen die volwassenheid van batebestuur en produksie deurset word gewoonlik reg deur die organisasie gevoel, maar hierdie verhouding is moeilik om te bewys of te kwantifiseer. Verder is dit moeilik om met huidige methodes die gevolge van instandhouding te isoleer, en dus deeglik te begryp. Organisatoriese aanpassing by `n bate bestuursprojek word bereik deur werknemers se siening te belyn oor wat die gebrekkige areas is, en om hulle verwagtinge te bestuur oor die voordele wat `n goeie bate bestuursprojek kan voortbring. Daar is `n gebrek aan metodes om in `n deursigtige wyse die kritieke areas aan te dui en te komunikeer aan werknemers. Dit skep `n hindernis in die uitvoer van projekte en, in die afwesigheid van empiriese bewyse van probleme, is werknemers afhanklik van argumentatiewe menings om probleme te ontbloot, en die menings van verskeie rolspelers kan verskil. Enige inisiatiewe is tipies beperk deur die beskikbaarheid van hulpbronne daarvoor, en `n effektiewe toedeling van beskikbare hulpbronne is dus noodsaaklik. Om `n suksesvolle batebestuursprojek uit te voer, moet daar eers `n duidelike begrip en ooreenstemming wees oor wat die verskeie kritieke areas is wat die meeste aandag verlang, sodat hulpbronne doeltreffend toegeken kan word. In die studie word hierdie probleem deeglik ondersoek deur oplossings na te vors in die literatuur. `n Metode is gesoek wat daarop gemik is om die gevolge van instandhouding te isoleer in `n produksiestelsel en kritiese areas te ontbloot. `n Studie is uitgevoer op metodes wat gewoonlik gebruik word om sodanige analises uit te voer, en dit word gewys dat huidige metodes terkortkominge het wat hulle toepaslikheid beperk. Dus is `n nuwe metode geskep wat gebruik maak van simulasie om hierdie probleme te oorkom. Die metode is gevalideer deur om `n gevallestudie uit te voer, waar dit bevestig is dat die metode voordelig is om op `n deursigtige wyse kritiese areas te ontbloot en om organisatoriese belyning te bewerkstellig deur effektiewe kommunikasie van die resultate.

Magister Legum - LLM

Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011. / Imported from http://etd.sun.ac.za / ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. In the first part, we deal with single asset options and model the log stock prices with a Levy process. We employ pure jump Levy processes of infinite activity, in particular variance gamma and CGMY processes. We fit the log-returns of six stocks to variance gamma and CGMY distributions and check the goodness of fit using statistical tests. It is observed that the variance gamma and the CGMY distributions fit the financial market data much better than the normal distribution. Calibration shows that at given maturity time the two models fit into the option prices very well. In the second part, we investigate the effect of dependence structure to multivariate option pricing. We use the new concept of Levy copula introduced in the literature by Tankov [40]. Levy copulas allow us to separate the dependence structure from the behavior of the marginal components. We consider bivariate variance gamma and bivariate CGMY models. To model the dependence structure between underlying assets we use the Clayton Levy copula. The empirical results on six stocks indicate a strong dependence between two different stock prices. Subsequently, we compute bivariate option prices taking into account the dependence structure. It is observed that option prices are highly sensitive to the dependence structure between underlying assets, and neglecting tail dependence will lead to errors in option pricing. / AFRIKAANSE OPSOMMING: In hierdie proefskrif word Levy prosesse voorgestel om die bewegings van batepryse te modelleer. Levy prosesse besit die vermoe om die risiko van spronge in ag te neem, asook om die implisiete volatiliteite, wat in finansiele opsie pryse voorkom, te reproduseer. Ons gebruik suiwer–sprong Levy prosesse met oneindige aktiwiteit, in besonder die gamma– variansie (Eng. variance gamma) en CGMY–prosesse. Ons pas die log–opbrengste van ses aandele op die gamma–variansie en CGMY distribusies, en kontroleer die resultate met behulp van statistiese pasgehaltetoetse. Die resultate bevestig dat die gamma–variansie en CGMY modelle die finansiele data beter pas as die normaalverdeling. Kalibrasie toon ook aan dat vir ’n gegewe verstryktyd die twee modelle ook die opsiepryse goed pas. Ons ondersoek daarna die gebruik van Levy prosesse vir opsies op meervoudige bates. Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levy copulas laat toe om die onderlinge afhanklikheid tussen bateprysspronge te skei van die randkomponente. Ons bespreek daarna die simulasie van meerveranderlike Levy prosesse met behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige bates in multi–dimensionele exponensiele Levy modelle met behulp van Monte Carlo–metodes. Ons beskou die tweeveranderlike gamma-variansie en – CGMY modelle en modelleer die afhanklikheidsstruktuur tussen onderleggende bates met ’n Levy Clayton copula. Daarna bereken ons tweeveranderlike opsiepryse. Kalibrasie toon aan dat hierdie opsiepryse baie sensitief is vir die afhanlikheidsstruktuur, en dat prysbepaling foutief is as die afhanklikheid tussen die sterte van die onderleggende verdelings verontagsaam word.

<p>The study seeks to establish the state of infrastructure management system, pertaining to electricity distribution, as an example of policy implementation.</p>