This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization algorithm introduced by Markowitz and multi-factor models for risk decomposition. A sample portfolio designed to track the Russell 1000G stock index is constructed that minimizes tracking error while satisfying constraints on the exposure of the portfolio to particular factors (growth and market capitalization).

A gestão de riscos e continuidade de negócios em pequenas e médias empresas são negligenciadas na literatura brasileira e internacional. Na Serra Gaúcha, as pequenas e médias empresas correspondem a 96,6% do total de 3088 empresas do setor, caracterizando-se ainda por fornecerem seus serviços a grandes empresas locais, que correspondem a 3,4% do total de empresas do setor. Devido a isso, é necessário entender o modo que os empresários dessas organizações pensam e agem em relação à identificação e gestão de riscos empresariais, como um mecanismo para proteger seus ativos. Elege-se descrever, como objetivo central desta investigação, a forma como essas empresas realizam o processo de identificação e a gestão de seus riscos a fim de garantir a continuidade dos negócios. Como objetivos específicos foram selecionados: a) caracterizar o setor e as empresas que compõem o estudo; b) identificar e analisar o conceito de risco empresarial na perspectiva dos dirigentes das empresas em estudo; c) analisar como estas empresas identificam seus riscos empresariais; d) identificar os riscos que as empresas em estudo estão expostas e classificá-los, conforme a literatura; e) analisar como as empresas estudadas estão gerenciando seus diferentes tipos de riscos; f) identificar crises ou interrupções de negócios que estas empresas sofreram nos últimos anos. Como procedimento metodológico foi selecionado o estudo de casos múltiplos, como estratégia de metodologia principal, foram escolhidas duas empresas de pequeno porte e uma de médio porte, que atuam no setor metalmecânico da Serra Gaúcha. Essas empresas caracterizam-se por fabricar produtos tendo o aço e o plástico como matéria-prima. Além disso, essas mesmas empresas fornecem esses itens para abastecer grandes empresas da região. No que diz respeito à revisão da literatura, esta pesquisa aborda a origem e a evolução dos conceitos centrais ligados à gestão de riscos e continuidade de negócios, as diferentes tipologias de gestão de riscos e as principais normas e modelos de gestão de riscos. Para isso, foram tomados como referência os quadros teóricos desenvolvidos pela ABNT (2009, 2013), BCI (2011), COSO (2007), FERMA (2014), FNQ (2009), Frigo e Anderson (2011, 2014), Herbane (2013), Herbane, Elliott e Johnson (2010), Hiles (2012), IBGC (2007), Kaplan e Mikes (2012), Orange Book (2004). Entre os resultados do estudo, verificou-se que a preocupação dos empresários, em termos de planejamento e preparação para lidar com situações de risco, é restrita principalmente aos riscos de natureza operacional e estratégica. No entanto, não há ferramentas sistemáticas de gerenciamento baseadas na prática, para responder às crises provocadas por riscos que eram suscetíveis de serem geridos com ferramentas de gestão de risco, de modo a não comprometer a continuidade dos negócios. / neglected in Brazilian and international literature. In Serra Gaúcha, the small and medium companies account for 96.6 % of the total of 3088 companies in the field; it is characterized also by providing their services to large local companies, which account for 3.4 % of all companies in the sector Due to this, it is necessary to understand the way that entrepreneurs on these organizations think and act in relation to the identification and management of business risks, as a mechanism to protect their assets. It has been chosen to describe, as a main purpose of this research, how these companies perform the process of identifying and managing their risks in order to ensure business continuity. Specific objectives have been selected as follow: a) characterize the sector and the companies in the study; b) identify and analyze the concept of company risk from the perspective of business leaders in the study; c) analyze how these companies identify their business risks; d) identify risks that companies, in the study, have been exposed and classify them, according to literature; e) analyze how, the studied companies, have been managing their different types of risks; f) identify crises or business interruptions that these companies have suffered in recent years. As a methodological procedure, it has been selected a case study, as main methodology strategy, it has been chosen two small and a midsize companies, operating in the metalmechanic sector of Serra Gaúcha. These companies are characterized by manufacturing products with steel and plastic, as their raw material. In addition, these companies provide these items to supply large companies in the region. Regarding literature review, this research addresses the origin and evolution of main concepts related to risk management and business continuity, different types of risk management and main standards, and risk management models. To that end, it has been taken as reference the theoretical frameworks developed by ABNT (2009, 2013), BCI (2011), COSO (2007), FERMA (2014), FNQ (2009), Frigo and Anderson (2011, 2014), Herbane (2013), Herbane, Elliott and Johnson (2010), Hiles (2012), IBGC (2007), Kaplan and Mikes (2012), Orange Book (2004). Among the results of the study, it has been found that the entrepreneurs’ concern, in terms of planning and preparation to deal with situations of risk, is restricted mainly to the risk of operational and strategic nature. However, there is no systematic management tools based on practical, to respond to crises caused by risks that were likely to be managed with risk management tools, so as not to jeopardize business continuity.

Konsumtion av etiska livsmedel tycks ha fått ett rejält uppsving under senare år och många sträcker sig så långt att de talar om en ny grön våg. Det konsumeras allt mer ekologiska, Fairtrademärkta, KRAV-märkta och närproducerade livsmedel. Men vad är skälet till att vissa konsumenter väljer att i princip uteslutande handla etiska matvaror medan andra är till synes likgiltiga, och kan det ha ett samband med hur hög grad av oro konsumenter hyser inför framtida konsekvenser av sitt köpbeteende?Vi har studerat hur studenters uppfattning av risk kan kopplas till deras köpbeteende i samband med etiska matvaror. Vår huvudfråga lyder ”Konsumenter som väljer etiska varor är mer oroliga för framtida konsekvenser av att inte förändra sin konsumtion än icke-etiska konsumenter.” Vi ville se om oro för framtida konsekvenser, i stil med miljöförstöring och hälsoproblem, kan kopplas till en ökad konsumtion av etiska produkter i syfte att ge en ny infallsvinkel till marknadsföring av dessa produkter.Vår studie tar stöd i en generell modell över risk kopplat till konsumentbeteende, framtagen av Åsa Boholm, vilken vi sedan har tillämpat på just konsumtion av etiska livsmedel. Modellen tar upp fyra strategier konsumenter använder sig av för att hantera risk; kalkylerad risk, förebyggande, förtroende och undvikande. Med hjälp av en webbenkät undersöktes studenter vid tre institutioner vid Högskolan i Borås.Vi fann att studenter vid Högskolan i Borås oroar sig för miljön, detta gäller dock inte enbart etiska konsumenter, överraskande nog oroade sig merparten av studenterna för miljön. Majoriteten hade också en mycket låg tilltro till livsmedelsproducenter. Vi ser att etiska konsumenter är något mer hälsomedvetna än mindre etiska konsumenter. Sammantaget visar vår studie på att många av dessa studenter troligtvis har potential att bli etiska konsumenter, om de bara övertygas om att de kan göra skillnad. / Program: Civilekonomprogrammet

Advancements in medicine and technology have led to an increasing number of cancer survivors. The development of a second primary cancer is one of the most severe sequelae of a cancer diagnosis, particularly for cancers that lack an effective screening tool as with ovarian cancer. Breast and ovarian cancer are major causes of morbidity and mortality in women; in the U.S., breast cancer has the highest incidence in women and ovarian cancer is the most fatal of gynecological cancers. Further, these two cancers have been found to co-occur. Along with possible treatment effects of the first cancer, shared risk factors, shared genetics, and interactions between these two have been hypothesized to contribute to their co-occurrence. Research on shared risk factors for second cancers is lacking and being able to identify potentially modifiable factors associated with second primary cancer could improve clinical recommendations for cancer survivors. Therefore, this dissertation examined risk factors for the development of double primary breast and ovarian cancer (DPBOC) in three parts 1) a comprehensive review of the literature to identify studies assessing risk factors for DPBOC, 2) a case-control study assessing the association between three potentially-modifiable risk factors (oral contraceptive (OC) use, parity, and breastfeeding), and risk of second primary ovarian cancer following breast cancer (BR-OV), second primary breast cancer following ovarian cancer (OV-BR), single primary ovarian cancer (OV), and single primary breast cancer (BR), and 3) a cohort study assessing OC use, parity, and breastfeeding and risk of BR-OV, OV, and BR. The comprehensive review identified few studies assessing epidemiologic risk factors for the development of DPBOC and most of the findings were not statistically significant. The majority of studies focused on treatment of breast cancer and risk of second primary ovarian cancer. While most of the findings on chemotherapy, radiotherapy, and Tamoxifen were heterogeneous and lacked statistical significance, hormone therapy for breast cancer may be associated with an increased risk of second primary ovarian cancer. The majority of studies on genetic risk factors for DPBOC looked at BRCA1/2 mutations or a crude measure of family history. Both BRCA1/2 and family history were consistently associated with risk of DPBOC, but studies varied on the extent of this risk due to differences in study design, exposure and outcome definition, and statistical power. No studies were identified examining DNA methylation and risk of DPBOC. The case-control study used data from the three clinic-based sites of the Breast Cancer Family Registry (BCFR) which consisted of women from breast and ovarian cancer families. We observed an inverse association with both OC use (OR=0.38, 95% CI: 0.22, 0.60) and breastfeeding (OR=0.52, 95% CI: 0.31, 0.87) and risk of DPBOC, but a positive association with parity (≥2 full-term pregnancies: OR=5.78, 95% CI: 2.82, 14.58), regardless of diagnosis order (BR-OV or OV-BR). We found similar associations for our OV and BR outcomes as well. When we examined differences between high and average risk women (using BRCA1/2 mutation status and predicted lifetime risk of breast or ovarian cancer), the inverse association with OC use only remained in women at average risk while the inverse association with breastfeeding only remained in women at high risk. As the positive association with parity and all of our outcomes disagreed with our hypothesis we conducted several sensitivity analyses to explore this finding. Survivor bias may have influenced our results as we observed differences in our findings between cases diagnosed ≤2 or ≤5 years before the baseline interview (pseudo-incident) and cases diagnosed >2 or >5 years before the baseline interview (prevalent). Specifically, the inverse association with OC use and all of our outcomes, and the positive association with parity and all of our outcomes were attenuated in the pseudo-incident group. To address concerns of selection and information bias in our case-control study, we conducted a cohort study using data from The Breast Cancer Prospective Family Study Cohort (ProF-SC). In contrast to our case-control findings, we observed a suggestive positive association between OC use and risk of BR-OV (HR=1.62, 95% CI: 0.91, 2.90) which became stronger in women at high risk, and an inverse association between having two or more full-term pregnancies compared to nulliparous and risk of BR-OV (HR=0.47, 95% CI: 0.22, 0.97) which did not vary by underlying risk of breast and ovarian cancer. However, our BR-OV results may have similarly been influenced by survivor bias as we observed differences in our results between our pseudo-incident and prevalent BR-OV cases; the association between OC use and BR-OV only remained in the prevalent cases. In summary, the results of this dissertation highlight the methodological challenges in the study of second primary cancers and the importance of considering survivor bias in a cohort of cancer survivors being followed for second cancers. Further, our results are suggestive of a discordant effect of OC use on first primary versus second primary ovarian cancer which should be explored in future studies.

Although there are several solutions available in the industry to manage the vendor risk confronting corporate purchasers in their practices of traditional procurement mechanism, they are not widely accepted among industries practicing the traditional procurement mechanism. Moreover, they are unfeasible to be implemented in the eProcurement mechanism. They rely heavily on self-assessment data provided by vendors or transaction records from purchasing departments, and there is a lack of a systematic approach to accumulate the collective experience of the corporation in vendor risk management. / Moreover, the risk cause taxonomy identified in this study lays out the theoretical grounds for the development of any software applications relating to the deployment of risk perceptions held by procurement professionals and practitioners. / Recently, electronic procurement or eProcurement has gradually acquired wide acceptance in various industries as an effective, efficient, and cost-saving mechanism to search for and contact potential vendors over the Internet. However, it is also a common situation that purchasers do not have handy and reliable tools for the evaluation of the risk deriving from their choices of selecting seemingly promising but unfamiliar vendors, identified through the eProcurement mechanism. The purchasing corporations need to implement a systematic framework to identify, and assess the risks associated with their vendor choices, that is, the vendor risk, and even to memorize their collective experience on risk analysis, while they try to gain benefits from the practice of the eProcurement strategy. / The structure for the establishment of the semantic application identified in this study can be generalized as the common framework for developing an automatic information extractor to acquire Internet content as the support for making important business decisions. The structure is composed of three basic components: (1) an information collection method to identify specific information over the Internet through the deployment of semantic technology, (2) an ontology repository to associate the collected data and the specific data schema, and (3) a scheme to associate the data schema with the analytical methods which would be deployed to provide decision support. / This study proposes the establishment of the Vendor Risk Analysis (VRA) system to assist procurement officers in vendor risk analysis as a support to their decision of seeking promising vendors over the Internet. The VRA system adopts a Semantic-Assisted Risk Analysis (SARA) framework to implement an innovative approach in the implementation of risk assessment. The SARA framework deploys the collaboration of a knowledge-based Expert System and several emerging semantic technologies, including Information Extraction, a Community Template Repository, and a Semantic Platform for Information Indexing and Retrieval, to enhance the capability of the VRA system in the capability of acquiring sufficient risk evidence over the Internet to provide timely and reliable risk assessment support to vendor choice decisions. / Chou, Ling Yu. / "July 2007." / Advisers: Vincent Sie-king Lai; Timon Chih-ting Du. / Source: Dissertation Abstracts International, Volume: 68-12, Section: A, page: 5128. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 178-186). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

The modern supply chain is long, complex, interconnected and global, and plays a fundamental role in business competitiveness. These conditions, along with various supply chain management trends in recent years have increased risks in supply chains which threaten supply chain performance. Greater impact, especially on cost, from an increased threat of supply disruptions is one area of particular concern. Companies today are struggling to find effective means to manage this increased risk and avoid adverse financial impacts. An approach to managing supply disruption risk in supply chains based on the minimization of the total cost of ownership (TCO) of the supply chain is explored in this thesis. Insights are provided into an appropriate view of supply chain risk and a general four step risk management process to guide the design and evaluation of a new risk management tool based on such an approach. A prototype of the new total cost-based, modeling and simulation tool was created in partnership with ProModel Corporation and a government contractor that requested to remain anonymous. A preliminary assessment of the effectiveness of this tool in minimizing TCO and providing an interface useable by non-modelers is provided. This study also reviews and compares a sample set of current supply chain risk management methods and tools and compares them with the new tool for relevance in aiding users in managing supply disruption risk. Based on literature findings and preliminary feedback from pilot contextual demonstrations of the tool, the total cost approach to risk modeling appears promising, although the execution needs to be improved with further enhancements made to the prototype tool. In this preliminary study and evaluation, sufficient evidence is not available to determine that the new prototype tool is any more effective than other currently available risk management tools to provide necessary information to make supply chain risk management decisions that minimize TCO of a supply chain. Suggestions for further development of the tool, especially for improvement of the total cost approach, are provided as well as a preliminary evaluation procedure and survey instruments for a more robust evaluation of the new tool.

Today's mortgage industry is constantly changing, with adjustable rate mortgages (ARM), loans originated to the so-called "subprime" market, and volatile interest rates. Amid the changes and controversy, lenders continue to originate loans because the interest paid over the loan lifetime is profitable. Measuring the profitability of those loans, along with return on investment to the lender is assessed using Actuarial Present Value (APV), which incorporates the uncertainty that exists in the mortgage industry today, with many loans defaulting and prepaying. The hazard function, or instantaneous failure rate, is used as a measure of probability of failure to make a payment. Using a logit model, the default and prepayment risks are estimated as a function of interest rate. The "optimal" interest rate can be found where the profitability is maximized to the lender.

Projects are important to society, and yet they often fail. This is despite the application of widely accepted project management standards, training, and processes. In this context, there is growing awareness that projects are often highly complex and therefore cannot be managed effectively solely by using process-based project management techniques. An alternative approach is now emerging, and that is recognising and dealing with the dynamic complexity, feedback and uncertainty inherent in most large projects today. When a project does fail, it follows that there has also been a failure in the management of risks to the project. Given this, it is possible to obtain insight into failures in complex projects by investigating how risk is managed. During this research, the management of internally generated risks in projects was of particular interest. These are the risks that projects create for themselves by the way they are set up or operate. If it is established that such risks are common, important and not well managed, it could provide valuable insight into why projects fail. Nine complex projects were investigated to identify, document and analyse internally generated risks to their success. Using data gathered from workshops and confidential interviews, five hypotheses were tested to understand the role played by internally generated risks in projects. A key part of the research method was the use of risk maps, an adapted form of cause-and-effect diagrams, as the basis for the dialogue necessary to create a shared understanding of each risk. Statistically significant results were obtained to support the conclusion that internally generated risks are common in complex projects, have the potential to significantly impact upon project success, and yet are generally poorly managed. It was also concluded that internally generated risks are important as a class of project risk, with potentially large impacts upon the success or otherwise of complex projects. Given this, further research to better understand how such risks arise and how they can be recognised and managed is appropriate.

<p><strong>Syfte:</strong> Den geografiska aspekten hos fondsparare har inte studerats tidigare och det är därför väldigt intressant att göra en studie inom detta område. Studien görs i samarbete med en av Sveriges storbanker. Huvudsyftet med studien är att undersöka om risktagandet hos svenska fondsparande, i en av Sveriges storbanker, skiljer sig åt mellan olika län och kommuner. Jag undersöker även frågor som:</p><p>·           Vilket av könen tar störst risk? </p><p>·           Tar yngre eller äldre störst risk?</p><p>·           Tar äldre kvinnor större risk än äldre män?</p><p>·           Beror portföljvärdet på hur stor risk placeraren tar?</p><p>·           Påverkar andelsvärde av portföljens risktagande?</p><p>·           Fondsparare som har sin hemvist i en storstad (Stockholm, Göteborg och Malmö) tar dessa större risker än män/kvinnor som bor utanför storstäderna?</p><p>·           Skiljer sig risktagandet mellan åren 2001- 2007?</p><p> </p><p><strong>Metod: </strong>Den empiriska metoden multipel linjär regression, så kallad Ordinary Least Square används i studien. Jag har erhållit data från en av Sveriges storbanker och jag använder storbankens egna riskmått. Det riskmått som är av störst intresse är total risk, för att det är just detta riskmått som kunder möter.<strong></strong></p><p> </p><p><strong>Resultat & slutsats:</strong> Resultatet som följer presenteras från riskmåttet total risk. Kvinnor är mindre riskbenägna än män. Äldre är mindre riskbenägna än yngre och äldre kvinnor är mindre riskbenägna än män i samma ålder. Ju större portföljvärdet är desto mindre riskbenägen är investeraren. Ju större andelsvärdet är av portföljvärdet desto mindre är risken i just det innehavet. Individer som bor i en storstad har ett större risktagande i sitt fondsparande.</p><p> </p><p>Det är 11 län som är mindre riskbenägna och fem är mer riskbenägna än Stockholms län. Fyra av länen blev ej statistiskt signifikanta och därmed går inte att avgöra om investerare i dessa län är mer eller mindre riskbenägna än investerare i Stockholms län.</p><p> </p><p>Det är investerare i 99 kommuner som är mindre riskbenägna och 97 kommuner som är mer riskbenägna än investerare i Stockholms kommun.110 av kommunerna blev ej statistiskt signifikanta.</p><p> </p><p><strong> </strong></p><p><strong> </strong></p><p><strong> </strong></p><p><strong>Förslag till fortsatt forskning:</strong> Det skulle vara av intresse att undersöka vilka andra oberoende variabler som kan påverka risktagandet hos en investerare. Intressanta variabler som ofta förekommer i vetenskapliga artiklar är civil status, hur många köp/sälj investeraren gör, investerarens akademiska grad och religion.</p><p> </p><p><strong>Uppsatsens bidrag: </strong>Med denna studie kan vi se hur riskfördelningen är i Sverige på både läns- och kommunnivå med Stockholm som bas fall, vilket tidigare inte undersökts. Det finns många intressenter till studien speciellt branscher som bank- och försäkringsbranschen.</p>

<p>Huvudsyftet med studien är att undersöka om det finns skillnader i risktagande mellan individer som bor i olika områden inom Gävle kommun, med konsumtion av försäkringsskydd som riskmått. Gävle kommuns 18 områden är indelade i fyra regioner vilka är centrum, norr, söder-väst och öst.Delsyftet är att studera vilka individuella variabler såsom ålder, förvärvsinkomst, boende, boendeförhållande, utbildning samt sysselsättning som påverkar konsumtionen av försäkringsskydd. Vidare syftar studien till att studera hur två fenomen, adverse selection och moral hazard, vilka härrör från informationsasymmetri, påverkar konsumtionen av försäkringsskydd.</p><p>Metod: Arbetet utgår ifrån fyra stycken valda metoder vilka är klassificering, kvantifiering, hypotesprövning samt komparation. Vidare har sambandsmåttet, chi-två (χ2), använts för att antingen falsifiera eller inte falsifiera en uppställd hypotes. Vidare bygger arbetet på både sekundärkällor i form av litteratur, Internet samt uppsatser/papers och på primärkällor i form av intervjuer.</p><p>Resultat & slutsats: Av de 27 chitvå-test som genomförts var det 3 test som visade på statistisk signifikans. Testet mellan boendeförhållande och konsumtion av försäkringar visade på statistisk signifikans på nivån 2,5 %. Testet mellan sysselsättning och konsumtion av försäkringar visade på statistisk signifikans på nivån 10 %. Slutligen visade testet mellan sysselsättning och konsumtion av tilläggsförsäkringar på statistisk signifikans på nivån 0,1 %.</p><p>Förslag till fortsatt forskning: En ny undersökning av samma karaktär som denna med liknande intervjufrågor och liknande hypotesprövning. En liknande undersökning med kvantitativa variabler i stället för de något informationsfattiga variablerna på nominal- och ordinalskalenivå som detta arbete bygger på. En undersökning inom en annan kommun eller stad. En undersökning om risktagande där spel alternativt någon form av ”gambling” används som riskmått.</p><p>Uppsatsens bidrag: Först och främst en idé/metod för hur man kan undersöka risktagande bland individer. Vidare visade uppsatsen på ett beroende mellan boendeförhållande och konsumtion av försäkringar samt ett beroende mellan sysselsättning och konsumtion av försäkringar och konsumtion av tilläggsförsäkringar.</p>