Submitted by Pedro Henrique Rodrigues (pedro.henriquer@ufpe.br) on 2015-03-05T18:53:32Z No. of bitstreams: 2 Dissertacao_Liliane.pdf: 2808869 bytes, checksum: 6681e2b17bafbf1b2fb94a8f0d2ad701 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) / Made available in DSpace on 2015-03-05T18:53:32Z (GMT). No. of bitstreams: 2 Dissertacao_Liliane.pdf: 2808869 bytes, checksum: 6681e2b17bafbf1b2fb94a8f0d2ad701 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Previous issue date: 2012-03-01 / CAPES, CNPQ / One recurrent issue in software development is the effective creation of testcases from requirements. Several techniques and methods are applied to minimize the risks associated with test cases building, aiming to meet the requirements specified correctly. Risks identification for requirements assessment is essential to tests cases generation. However, test engineers still face difficulties to apply it in practice due to the lack of solid knowledge about Risk Management activities and tool support for such activities. This work proposes a technique that helps test engineers in risk identification from requirements for software testing. From studies that used the similarity concept to compare software projects in order to reuse previously identified risks, the developed technique uses the same assertion applied to requirements. Within this context, this work aims to: (i) to define a technique based on analogies by categorizing requirements, thus being able to identify risks through a database of similar requirements, and (ii) to reuse risks previously identified at requirements for the evaluation of new requirements.

The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to classic finance theory. Prior research has failed to provide valid risk-based explanations because winner portfolios do not exhibit higher risk characteristics. Without a convincing risk explanation, the persistence of momentum profit is a violation of the efficient market hypothesis. Today, the momentum puzzle remains one of the very few major anomalies that cannot be explained by Fama-French factor models. I find prior empirical efforts to measure momentum profits and its sources are contaminated by the state of the market during both formation and holding periods. By looking into different market states, classified by both traditional and non-traditional bull and bear market definition, I find the key to at least partially solve the momentum mystery. Momentum stocks are riskier when formed in bull market, and momentum profit is much higher in continuation of market than reverses of market condition, lending empirical support to a risk-based explanation. My definition of market states is essentially based on the risk premium of major risk factors. When market risk is considered a risk factor, if realized market risk premium is positive, it is a bull market; when size is considered a proxy for risk factor, if SMB (small minus big risk premium) is positive, it is a bull market; when valuation (book-to-market) ratio is a proxy for risk factor, if HML (High-minus-Low risk premium) is positive, it is a bull market. This paper also explores simulations using models based on the positive relationship between risk and return. The simulation result confirms that at least part of the momentum profit can be explained by risk.

The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the portfolios. The design of the study is to collate the existing research on risk-based investing, to analyse some modern methods to reduce estimation risk, to incorporate them in a single coherent framework, and to test the result with South African equity data. The techniques to reduce estimation risk draw from the usual mean-variance and risk-based optimisation literature. The techniques include regime switching, quantile regression, regularisation and subset resampling. In the South African experiment, risk-based portfolios materially outperformed the market weight portfolio out-of-sample using a Sharpe ratio measure. Additionally, the global minimum variance portfolio performed better than other risk-based portfolios. Given the long estimation window, no estimation techniques consistently outperformed the application of sample estimators only.

<p> International financial regulation has increasingly focused on 'risk-based' management over the last decade. In general, risk is a term embodied with the notion of an uncertain future and a belief that the use of rational and calculative practices can reveal, measure, and manage these potential futures. This dissertation argues that at the macro level financial governance is permeated with a tension between two overarching discourses of risk-risk as an economic necessity and risk as a danger or threat. These two macro-discourses influence and/or legitimize various courses of action in a general way that in some respects is similar to the role played by ideas in other approaches. However these macro-discourses do not only guide the regulatory actors involved. By drawing out the links between these discourses and the performative risk practices they constitute, this dissertation reveals how risk discourses operate in an ongoing way through the practical implementation of regulatory strategies, which implicitly or explicitly play one macro-discourse off the other. Moreover, the risk practices created, which include mundane, routine, and highly technical activities, work to construct the everyday performance offinancial governance and the identities of those actors included and excluded from the system.</p> <p> To examine this relationship, the dissertation looks at the international governance efforts of three financial areas: banking capital adequacy requirements, reinsurance and collective investment schemes. In the process, it reveals that the focus on risk in regulation creates some generalities across the realm of financial governance, but also that the micro-practices, identities and power produced in each arena are distinctive. It argues that by interrogating the macro-discursive constructions of risk and the practices and identities constituted through them, key tensions are revealed which, at least in part, explain the structure and goals of international financial regulation.</p> / Thesis / Doctor of Philosophy (PhD)

Gas plants consist of several pieces of both critical static and rotating equipment, which operate continuously under severe operating conditions. These pieces of equipment are permanently subjected to be inspected and maintained during total shutdown of plant facilities to execute Turnaround Maintenance (TAM) event. The TAM is the largest maintenance activities used in most oil and gas companies in terms of both cost and time. Oil and gas companies have suffered losses in the production and enormity in the TAM cost due to duration and interval of TAM which have randomly estimated without taking the size and age of plants into account. Sirte Oil Company (SOC) was a good example and used as a reference point for other gas plants to achieve the aim of this thesis associated with optimising TAM scheduling for gas plants (decreasing duration and increasing interval of TAM) by implementing the TAM model. The contribution of this research is in developing the TAM model, consisting of four stages, which is broken down into four main stages: First stage; removing Non-critical pieces of Equipment (NEs) from the Scope of Work (SoW) of TAM to proactive maintenance strategies. Second stage; selecting Critical Static pieces of Equipment (CSEs) that constitute the highest risk based on Risk-Based Inspection (RBI). Third stage; selecting Critical Rotating pieces of Equipment (CREs) that constitute the highest risk based on Risk-Based Failure (RBF). Fourth stage; defining the optimum duration and interval of TAM based on Failure Distributions (FDs). Consequently, the TAM model developed in this study provides a novelty in the TAM event and decision making process. This is basically about optimisation of TAM scheduling in the medium and long-term, characterized by decreasing duration and increasing interval of TAM based on both CSEs and CREs to achieve the TAM model results. The result is the reduction in TAM cost and production losses, and the improvement in reliability and availability requirements of gas plants according to the residual life of critical equipment and operating conditions. To ensure reliability and consistency of the TAM model, it was validated with three Libya-plants SOC and data from three published case studies. The results from the validation of the TAM model are consistent with the real duration and interval of TAM in most plants SOC. The research concludes that the developed TAM model is a reliable and applicable tool to assist decision-makers in the estimation of TAM scheduling for any a processing plant.

Mobile financial services, specifically mobile money, has the potential to expand access to financial services to millions of unbanked people in South Africa. As such, it looks very promising in terms of financial inclusion. However, concerns exist that mobile money can be detrimental to financial integrity since there are several proven risk factors linked to mobile financial services. These risk factors make mobile money very susceptible to money laundering. The potential for abuse and the need for appropriate controls is therefore something which cannot be ignored. While the South African legislator has made provision for comprehensive anti-money laundering preventative measures by means of the Financial Intelligence Centre Act 38 of 2001, there exists no South African legislation explicitly concerned with mobile money. It is therefore difficult to determine what the regulatory stance is in terms of mobile money in South Africa. The Financial Action Task Force (FATF) is, however, currently focusing attention on the effect which mobile money may have on financial integrity. The latest FATF Recommendations make provision for several anti-money laundering controls which are specifically applicable to mobile money, including controls regarding money or value transfer services and new technologies. While it is always difficult to balance financial integrity and financial inclusion, the risk-based approach makes it possible for governments to implement effective antimoney laundering measures, thereby preserving financial integrity, without the need to compromise on financial inclusion objectives. The fact that South Africa has not fully adopted a risk-based approach is a problem which needs to be addressed if mobile money is to deliver on its promises for financial inclusion, without being detrimental to financial integrity. / LLM (Import and Export Law), North-West University, Potchefstroom Campus, 2015

Mobile financial services, specifically mobile money, has the potential to expand access to financial services to millions of unbanked people in South Africa. As such, it looks very promising in terms of financial inclusion. However, concerns exist that mobile money can be detrimental to financial integrity since there are several proven risk factors linked to mobile financial services. These risk factors make mobile money very susceptible to money laundering. The potential for abuse and the need for appropriate controls is therefore something which cannot be ignored. While the South African legislator has made provision for comprehensive anti-money laundering preventative measures by means of the Financial Intelligence Centre Act 38 of 2001, there exists no South African legislation explicitly concerned with mobile money. It is therefore difficult to determine what the regulatory stance is in terms of mobile money in South Africa. The Financial Action Task Force (FATF) is, however, currently focusing attention on the effect which mobile money may have on financial integrity. The latest FATF Recommendations make provision for several anti-money laundering controls which are specifically applicable to mobile money, including controls regarding money or value transfer services and new technologies. While it is always difficult to balance financial integrity and financial inclusion, the risk-based approach makes it possible for governments to implement effective antimoney laundering measures, thereby preserving financial integrity, without the need to compromise on financial inclusion objectives. The fact that South Africa has not fully adopted a risk-based approach is a problem which needs to be addressed if mobile money is to deliver on its promises for financial inclusion, without being detrimental to financial integrity. / LLM (Import and Export Law), North-West University, Potchefstroom Campus, 2015

Operational risk management has been identified as one of the primary risk types that short-term insurance companies will have to deal with on a rigorous basis in the future.

In exploring current responses to crime, particularly youth involvement in gangs, this thesis examines two approaches: Crime Prevention through Social Development (CPSD) and risk-based prevention. The former is associated with the provision of socially-designed measures to address and eliminate the risk factor associated with persistent offending. The latter, however, refers to the implementation of risk management and statistical assessment to manage the risk factor associated with persistent offending. In light of these two approaches, this thesis examines a debate which purported that crime prevention practices has wholly shifted away from an emphasis on CPSD towards risk-based prevention. This thesis also examines the opposing debate which explains that CPSD and risk-based prevention have emerged into a balanced approach. Taking into account 19 youth gang prevention projects in Canada, the above debates are investigated. Drawing from the analysed project, this thesis concludes that, the crime prevention practices of the analyzed projects significantly rely on risk-based prevention. As a result, the approaches of CPSD still exist in rhetoric and in practice however, its influence on crime prevention initiatives is very limited. Hence, current approaches neither reflect a total shift away from CPSD nor a balanced approach.

Operational risk management has been identified as one of the primary risk types that short-term insurance companies will have to deal with on a rigorous basis in the future.