Aspects of capital allocation
- Authors: Sonnekus, Hélène
- Date: 2013-07-29
- Subjects: Financial risk management , Asset allocation , Risk - Measurement , Portfolio management
- Type: Thesis
- Identifier: uj:7703 , http://hdl.handle.net/10210/8569
- Description: M.Sc. (Statistics) , Most people in the world rely on a well-functioning and stable financial system. Problems experienced by financial institutions, such as too little liquidity or large amounts of bad debt, can easily influence companies and individuals, creating a chain reaction comparable to an avalanche. Financial institutions are faced with a very difficult constrained optimization problem - generating as much profit as possible while staying in business by limiting the amount of risk taken.
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Enterprise risk management as a business enabler
- Authors: Du Plessis, Julian Lesley Nebreska
- Date: 2012-06-05
- Subjects: Enterprise risk management , Risk management , First National Bank of Southern Africa , Financial risk management
- Type: Thesis
- Identifier: uj:2424 , http://hdl.handle.net/10210/4884
- Description: M.Phil. , The premise of this research study was to study the phenomenon of Enterprise Risk Management (ERM) in order to understand the processes and practices of risk management within First National Bank (FNB). Risk management became a favourite topic for discussion in the aftermath of the Global Financial Crisis (GFC). Some analysts, chief financial officers and observers have noted that risk management is to blame for the economic recession and myriad of bank failures that ensue. However, the intention of this research study was not to analyse the GFC or to devote itself entirely to defend risk management and risk managers.
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The effect of systematic risk factors on stock returns in a developing country : the case of South Africa
- Authors: Chawana, Munyaradzi
- Date: 2012-06-07
- Subjects: Stocks , Stocks - Rate of return , Financial risk management
- Type: Mini-Dissertation
- Identifier: uj:8693 , http://hdl.handle.net/10210/5047
- Description: M. Comm. , For many years in finance literature and practice, the Capital Asset Pricing Model (CAPM) has been recognised as the major framework for analysing the cross-sectional variation in expected asset returns. The CAPM is structured on the belief that stock returns are influenced by just one risk aspect of the macro economy, market fluctuation. With the market portfolio at the centre of the CAPM, the critical point in employing the model is the estimation of the true market portfolio. Thus, an imperfect approximation of the market portfolio leads to an imperfect measure of the risk-return relationship. With this impediment of the CAPM, the Arbitrage Pricing Theory (APT) of Ross (1976) has been proposed as an alternative to the CAPM. Based on the premise that there are multiple factors that represent the fundamental risks in the economy and involving no market portfolio, the APT has attracted a lot of attention in finance literature. However, in contrast to the voluminous research in developed markets relating stock returns to more than one source of systematic risk factors (multifactor models), research in emerging markets is scant. This study, conducted using an APT framework, investigates from a developing market perspective the relationship between stock returns of JSE Limited-listed companies and pre- specified macroeconomic variables of: economic activity, inflation, term structure and oil prices. The analysis is conducted with monthly data from the South African stock market and aggregate economy over the period January 2000 to December 2009. Following Chen, Roll and Ross (1986), the study utilises the Fama and MacBeth (1973) two step procedure. Within the scope of the methodology and data employed, the results of this study provide a different perspective for South Africa from that found for the US by Chen et al. (1986). Consistent with Martinez and Rubio (1989) for Spain and Poon and Taylor (1991) for the UK, the findings of this study suggest that none of the risk factors found to be significant in Chen et al. (1986) are priced in the South African case.
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