A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este trabalho comparou três métodos de estimação (tradicional, através da analise univariada dos retornos do portfólio; cópulas estáticas e cópulas dinâmicas) de duas medidas de risco: Value at Risk (VaR) e Expected Shortfall (ES). Tais medidas foram estimadas para o portfólio composto pelos índices BOVESPA e S&P500 no período de janeiro de 1998 a maio de 2012. Para as modelagens univariadas, incluindo as marginais das cópulas, foram comparados os modelos GARCH e EGARCH. Para cada modelo univariado, utilizamos as cópulas Normal, t-Student, Gumbel rotacionada e Joe-Clayton simetrizada, com isso totalizando 36 modelos comparados. Nas comparações do VaR e ES foram utilizados, respectivamente, o teste de Chritoffersen e o teste de Mcneil e Frey. Os principais resultados encontrados foram a superioridade de modelos que supõem erros com distribuição t-Student, assim como a identificação de mudança no comportamento dos parâmetros dinâmicos nos períodos de crise. / Measuring the risk of an investment is one of the most important steps in an investor's decision-making. With this in light, this study compared three estimation methods (traditional; by univariate analysis of portfolio returns; dynamic copulas and static copulas), of two risk measurements: Value at Risk (VaR) and Expected Shortfall (ES). Such estimated measures are performed for a portfolio composed by the BOVESPA and S&P500 indexes, ranging from January 1998 to May 2012. For univariate modelling (including copulas marginals), the GARCH and EGARCH models were compared,. Regarding copulas, we use Normal, t-Student, rotated Gumbel and symmetric Joe-Clayton, leading to a total of 36 models being compared. For the comparison of VaR and ES were used, respectively, the Christoffersen test, and the Mcneil and Frey test. The main results found were the superiority of models assuming the t-Student distributed errors, as well as the identification of a change in the behaviour of dynamic parameters in periods of crisis.

Com o aperfeiçoamento na forma de gestão as empresas o nível dos processos vem se ampliando cada vez mais. Uma das maneiras mais eficientes de mitigar os riscos nos processos, que se apresentam as organizações, é por intermédio uma gestão de riscos hábil, desenvolvida através da Matriz de Risco, que é o instrumento responsável por aferir os riscos bem como seus controles. A partir do referencial teórico desenvolvido na pesquisa, buscou-se confirmar a importância da Matriz de Risco para os processos de auditoria, no escopo de extinguir fraudes, erros e outros problemas enfrentados pelas organizações. Após a pesquisa, efetuada por intermédio de uma revisão na literatura, comprovou-se que o mapeamento de processos e controles, através do emprego da Matriz de Risco, é de grande acuidade para assegurar a opinião dos auditores sobre as demonstrações financeiras. / With the improvement in the form of management companies the level of processes has been expanding increasingly. One of the most effective ways to mitigate risks in the processes, which are listed organizations , is through a skillful risk management , developed by Risk Matrix , which is the instrument responsible for assessing the risks and their controls. From the theoretical framework developed in the research, we sought to confirm the importance of Risk Matrix to audit processes, the scope of extinguishing fraud, errors and other problems faced by organizations. After the search, conducted through a literature review, it was found that the mapping of processes and controls, through the use of Risk Matrix, is of great accuracy to ensure the auditors' opinion on the financial statements.

A identificação das incertezas envolvidas no processo de estudo, possibilita que a tomada de decisão seja realizada de forma clara e científica Abrahamsson (2001). Será feito um estudo crítico das diversas etapas envolvidas nos estudos de risco e confiabilidade, buscando identificar as incertezas envolvidas, descobrir a sua natureza e estabelecer formas adequadas de trata-las. Vários aspectos de incertezas serão discutidos. Qual o papel das incertezas no processo de tomada de decisão? Que etapas do processo de análise de risco produzirão incertezas? Quais os tipos de incertezas existentes? Como os órgãos de normalização estão tratando o problema de incerteza? Por final será apresentada uma proposta metodológica que auxilie na minimização das incertezas e que facilite, no futuro próximo possível a criação de normas que melhorem o grau de exatidão nos estudos de riscos e de alguma forma os Estudos relacionados com Análise de Risco possam melhorar em qualidade. / The identification of the uncertainties involved in the study, enables the decisionmaking is carried out in a clear and scientific Abrahamsson (2001). There will be a critical study of the various steps involved in studies of risk and reliability, identifying the uncertainties involved, discover the nature and stablish appropriate ways to treat them. Several aspects of uncertainties will be discussed. What is the role of uncertainties in the process of decision making? What stages of risk analysis will produce uncertainties? What types of uncertainty? As the standardization bodies are addressing the problem of uncertainty? By the end will be presented a methodology to assist in reducing the uncertainties and to facilitate in the near future it possible to create standards to improve the degree of accuracy in studies of risks and somehow the studies related to Risk Analysis to improve quality.

Com o aperfeiçoamento na forma de gestão as empresas o nível dos processos vem se ampliando cada vez mais. Uma das maneiras mais eficientes de mitigar os riscos nos processos, que se apresentam as organizações, é por intermédio uma gestão de riscos hábil, desenvolvida através da Matriz de Risco, que é o instrumento responsável por aferir os riscos bem como seus controles. A partir do referencial teórico desenvolvido na pesquisa, buscou-se confirmar a importância da Matriz de Risco para os processos de auditoria, no escopo de extinguir fraudes, erros e outros problemas enfrentados pelas organizações. Após a pesquisa, efetuada por intermédio de uma revisão na literatura, comprovou-se que o mapeamento de processos e controles, através do emprego da Matriz de Risco, é de grande acuidade para assegurar a opinião dos auditores sobre as demonstrações financeiras. / With the improvement in the form of management companies the level of processes has been expanding increasingly. One of the most effective ways to mitigate risks in the processes, which are listed organizations , is through a skillful risk management , developed by Risk Matrix , which is the instrument responsible for assessing the risks and their controls. From the theoretical framework developed in the research, we sought to confirm the importance of Risk Matrix to audit processes, the scope of extinguishing fraud, errors and other problems faced by organizations. After the search, conducted through a literature review, it was found that the mapping of processes and controls, through the use of Risk Matrix, is of great accuracy to ensure the auditors' opinion on the financial statements.

A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este trabalho comparou três métodos de estimação (tradicional, através da analise univariada dos retornos do portfólio; cópulas estáticas e cópulas dinâmicas) de duas medidas de risco: Value at Risk (VaR) e Expected Shortfall (ES). Tais medidas foram estimadas para o portfólio composto pelos índices BOVESPA e S&P500 no período de janeiro de 1998 a maio de 2012. Para as modelagens univariadas, incluindo as marginais das cópulas, foram comparados os modelos GARCH e EGARCH. Para cada modelo univariado, utilizamos as cópulas Normal, t-Student, Gumbel rotacionada e Joe-Clayton simetrizada, com isso totalizando 36 modelos comparados. Nas comparações do VaR e ES foram utilizados, respectivamente, o teste de Chritoffersen e o teste de Mcneil e Frey. Os principais resultados encontrados foram a superioridade de modelos que supõem erros com distribuição t-Student, assim como a identificação de mudança no comportamento dos parâmetros dinâmicos nos períodos de crise. / Measuring the risk of an investment is one of the most important steps in an investor's decision-making. With this in light, this study compared three estimation methods (traditional; by univariate analysis of portfolio returns; dynamic copulas and static copulas), of two risk measurements: Value at Risk (VaR) and Expected Shortfall (ES). Such estimated measures are performed for a portfolio composed by the BOVESPA and S&P500 indexes, ranging from January 1998 to May 2012. For univariate modelling (including copulas marginals), the GARCH and EGARCH models were compared,. Regarding copulas, we use Normal, t-Student, rotated Gumbel and symmetric Joe-Clayton, leading to a total of 36 models being compared. For the comparison of VaR and ES were used, respectively, the Christoffersen test, and the Mcneil and Frey test. The main results found were the superiority of models assuming the t-Student distributed errors, as well as the identification of a change in the behaviour of dynamic parameters in periods of crisis.

M.Comm. / The aim of this study was to take a closer look at the modem financial institutions of the world and to determine what adverse conditions these companies face. Banks are some of the strongest organisations in a country, and the banking sector is a major employer. Yet, the risks faced by banks are enormous, and without the prudent and responsible management of these risks banks can find themselves in severe trouble. Recent situations in the South African banking sector underpin this, as several of the small banks in the country went into judicial management or were put out of business because they failed to meet their liquidity requirements. Risk management in banking is one of the most important tasks in the institution. Regardless of the division or type of operation, banks face certain risks. In this study, the researcher looked at the risks described in the literature as the main risks found in the banking environment. Solvency, liquidity, credit, price and operating risks are the risks most commonly discussed in the literature on banking risks. Although the five main risks constitute a serious threat to a bank each in its own right, each risk can be subdivided based on the likelihood of the risk materialising. The researcher therefore subdivided each major risk into subrisks. The question was then posed: Are there any similarities between these risks? The researcher developed a model whereby risks are categorised according to the attributes they have in common. The study classified the risks into the categories of market, credit and other risks. The objective in classifYing known banking risks is to assist the risk management team in a bank to manage similar risks in a similar way. Instead of focussing on each major risk and its multitude of subcategories individually, it is easier to manag~ a set of risks according to their similarities. Furthermore, the researcher wanted to determine which all the banking risks discussed would be universal in the danger they hold to any banking operation or any division operating within a bank. The question was posed: What are the classical risks in banking that would without a doubt lead to bank failure ifleft unmanaged? Liquidity, solvency and credit risks were the risks identified as critical in any banking operation and the risks that history has shown to be most detrimental to the future viability of any bank. Finally, the study looked at the management of these three classical risks from the perspective of determining policy and strategy. The study drew form literature, personal observation and the input of risk and bank management professionals to highlight some ofthe most important elements in credit, solvency and liquidity management.

M.Ing. (Engineering Management) / Risk and uncertainty are very closely linked; they are recognized as threats arising from unclear causes and effects of the project. Risk and uncertainty management has always been acknowledged as a very important aspect of project management and is mostly used to accomplish project objectives. These objectives are; quality, cost, time, safety and environmental sustainability. A majority of researchers have focused on other characteristics of risks and uncertainty management rather than a comprehensive method which encompasses developing risk management plan, identify, and analyze the likelihood of its occurrence and consequence should it happen. The common challenges still experienced in project environment are; use of improper project management methodology, stake holder interference in the decision making process, complexity of the project, and changing requirements and management. This study seeks to look at how risk and uncertainty can be successfully managed within project environment. Through case studies this research will also look at how does improper risk management plan affect the project, and the consequences of stakeholder interference in the decision making process. The report presents project risk management approach of two projects carried out in the same organisation. The project A was executed by a project manager from the Project Management Office (PMO) in accordance with the project management methodology, while the execution of project B was highly influenced by a client/sponsor with no regard of the approved project management methodology. The selected projects both involved equipment replacement in which the main deliverables are supply and delivery of the final product. A description of the project risk management approach and analysis of data collected for each case study are followed by a comparison of two project risk management processes applied in case studies. This study will finally draw the conclusion and make recommendations based on its findings.

M.Comm. / The creation of infrastructure services and products has traditionally been the responsibility of the government, but this has changed with the private sector becoming more involved through public private partnerships. This change has been driven by the need for better value for money to the end user and the private sector's ability to achieve higher efficiencies. The extent to which value for money will be achieved will be largely dependent on the correct risk allocation between the parties involved. An optimum risk allocation will ensure that the risk. Pricing is kept to a minimum and thus achieve a cost effective product or service.

M.A. (Psychology) / The present study was conducted to investigate the relationship between personality and risk taking behaviour in the South African context. Personality was measured with the Basic Traits Inventory (BTl), an assessment specifically developed to measure the broad dimensions of the five factor model of personality (John & Srivastava, 1999) in South Africa. The five dimensions on the BTl have the same names as the well-known five factor model, namely: Neuroticism, Extraversion, Openness to Experience, Agreeableness, and Conscientiousness. The primary objective of this study was to investigate the underlying personality structure across ten different forms of risk-related behaviour. The risk behaviours included smoking, alcohol consumption,.illegal drug use, sexual promiscuity, thrill-seeking activities, gambling, physical violence, romantic infidelity and other behaviours that may have led to a respondent being arrested. Given South Africa's unique population, a further objective ofthis study was to examine the degree to which the results from the study would be in line with those reported in so-called Western, Educated, Industrialised, Rich and Democratic (WEIRD) societies. The sample consisted of 683 respondents, all second-year students from a bilingual (Afrikaans and English) university in Johannesburg. There were 142 men and 538 women in the sample. Three of the respondents' gender was unknown. There were 425 White respondents, 120 Black respondents, 83 Indian respondents, 46 Coloured respondents and nine respondents who did not specify any population group. Respondents' mean age was 20.99 years with a standard deviation of5.10 years. The sample was not representative ofthe South African population, with men being underrepresented and White respondents overrepresented in comparison to other population groups. A multivariate technique, Descriptive Discriminant Analysis, was used to analyse personality differences across groups. The groups were formed based on the frequency with which individuals engaged in the different risk-behaviours. Post-hocanalyses allowed for a close rexamination of group differences. The results revealed that a single, statistically significant discriminant functionemergedfor all ten of the risk variables with the exceptionof one, for whichtwo possible discriminant functions were identified. This showed that different combinations of the five personality factors were, to some extent, able to account for group separation on each of the risk variables. Considering the results as a whole, some interesting findings were revealed: It became evident that no single personality structureexists across the different risk-variables of this study. It was clear that some personality factors were more important, whereas others were less important, depending on the type of risk-behaviour being considered. Despite these seeming differences, important patterns of personality emergedacross the risk-variables. Conscientiousness, and in particular, Extraversion were identified as the most salient predictors of the risk-behaviours in this study, although important contributions were also made by the remaining personality factors: Conscientiousness was further found to be the most important predictor of health-risk behaviours such as smoking, alcohol consumption, and druguse. In general, Opennessto Experience, Agreeableness, and Neuroticism appeared to be more selectively associated with specific risk-behaviours when compared to Extraversion and Conscientiousness. Overall, the findings reported in this study were largely in line with those reported in so called WEIRD countries. The results of this study further supported the generalisability of prior research regarding the relationship between personality and risk-taking. It also demonstrated the utility of the five factor model as a promising predictor of risky behaviour. For future research it is recommended that the facet-scale level of the BTl be used to further investigate the personality-risk relationship.

M.Com. (Business Management) / Risk management is an important factor in ensuring business and project success. Thus, risk management methodologies are constantly being developed and improved. In order to define the goals, specify the process and manage progress, it is necessary to have a clear view of the enterprise‟s current approach to risk, as well as a definition of the intended destination. Benchmarking offers the opportunity to determine the current maturity capability against agreed frameworks, and also provides a structured route to improvement. A generally accepted framework is needed in order for an organisation to benchmark its current maturity and capability in managing risk, and this framework should also assist in defining progress towards increased maturity. Being an assessment tool, a risk maturity model is designed to measure risk management capability and to provide objectives for improvement The purpose of the research is to identify, adapt and recommend a sound risk maturity model, together with an easily applicable and effective questionnaire for use to measure the risk capability maturity of a Life Insurer (“Liberty Life”). To achieve this aim, six risk management maturity models were identified through a literature review and the proposed model was further supported with long-term insurance specific attributes of risk management as advocated by leading corporate governance codes and regulations such as King III and the newly proposed Financial Services Board (FSB) Solvency Assessment and Management (SAM) regime. Despite the widening consensus on the value of risk management, effective implementations of risk processes into organisations are not common. The benefits of mature risk management have been discussed in Chapter 2. By adopting an exploratory approach, the researcher conducted a qualitative research project, in the form of an in-depth case study, on a multinational financial services organisation. Unstructured face-to-face interviews were held with senior executives and risk managers in order to gather data regarding what they perceive as key attributes, including acceptable measurement criteria, of a risk maturity model appropriate and effective for implementation in their organisation.