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An application of the generalised autoregressive score model to market risk modelling

  • Authors: Kamika, Mbuaya Grace
  • Date: 2019
  • Subjects: Autoregression (Statistics) , Econometric models , Risk management
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/456837 , uj:40485
  • Description: Abstract: This study makes use of different statistical techniques to estimate unconditional and conditional market risk measures. The unconditional measures are calculated by using three traditional Value at Risk techniques namely the Historical Simulation (HS), Variance-Covariance (VC) and Monte Carlo simulation (MCS). However, for the conditional market risk measure, this study employs a novel technique known as the Generalized Autoregressive Score (GAS) model. This technique allows us to overcome the unrealistic assumption often used in empirical studies that argue that the score of the empirical distribution when computing the conditional Value at Risk measures; is constant over time. The technique used in this study allows us to relax this assumption and let the score of the empirical distribution to evolve over time. The study begins by removing the effect of autocorrelation and heteroskedasticity in the returns series by applying an Autoregressive Moving Average Generalized Autoregressive Conditional Heteroscedasticity (ARMA-GARCH) process. Thereafter, the filtered returns are fitted to a GAS process in order to estimate the evolving score of the empirical distribution of the returns to be used in the conditional Value at Risk computation. The study uses a sample data of daily log returns of four stock market indices: - the South African ALSI, the UK FTSE 100, the Chinese Hang Seng and the U.S. S&P 500 spanning from the 22 September 2003 to 5 November 2019. Firstly, the results of the unconditional Value at Risk measures are found to be around 3%, 5% and 2% for the HS, VC and (MCS) techniques, respectively. Secondly the estimated parameters of all the specified ARIMA-GARCH models used to filter the return series were found to be statistically significant including the leverage which suggests that bad news have a higher volatility than good news in the respective stock markets. Finally, the resulting standardized residuals were used to estimate the evolving score (parameters) of the GAS process. The estimated parameters from the GAS model show that the scores of the empirical distribution are significant and that the current score of the empirical distribution are explained by their previous score values. The market risk measures obtained with the GAS model are found to be more reliable than the ones obtained with traditional conditional Value at Risk model that assume constant score. To validate our results, the study implements three back test techniques namely, the unconditional coverage test, the conditional coverage test and the three zone test. The results support our abovementioned findings. , M.Com. (Financial Economics)
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Cyber risk management frameworks for the South African banking industry

  • Authors: Koto, Caroline
  • Date: 2019
  • Subjects: Computer crimes , Cyberspace - Security measures , Business - Data processing - Security measures , Business enterprises - Computer networks - Security measures , Risk management , Banks and banking - South Africa
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/403209 , uj:33776
  • Description: Abstract : Information technology (IT) has proven to be critical in the operation of businesses today. The banking industry is one of the industries that are most reliant on IT. The banking industry has enjoyed greater efficiency and effectiveness in their operations owing to the widespread use of IT. However, due to IT and continuous technological advancements, new threats such as cyber risk have surfaced, and the banking industry has experienced the most cybercrime incidents. In addition to the banking industry being the most targeted by cyber-criminals, cybercrime incidents have detrimental impacts on the industry. As a result, it is crucial for banks to employ effective cyber risk management processes. The South African banking industry is required by the South African Reserve Bank (SARB) to align their cyber risk management processes to the cyber resilience guidance document issued by the Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO). The CPMI–IOSCO cyber resilience guidance contains guidelines that should be addressed within a bank’s cyber risk management framework. This study seeks to establish whether the Improving Critical Infrastructure Cybersecurity (ICIC) framework addresses the guidelines contained in the CPMI–IOSCO cyber resilience guidance. The ICIC framework is effective for managing cyber risk and allows an organisation to modify it to suit its specific needs and objectives. The objective of the study is to recommend to the South African banking industry, a framework for managing cyber risks that is effective and that addresses the CPMI–IOSCO cyber resilience guidelines. The results were gathered by analysing the ICIC framework and mapping it against the CPMI–IOSCO cyber resilience guidelines. The results revealed that the ICIC framework addresses up to 71 percent of the CPMI –IOSCO cyber resilience guidelines. The study therefore recommends that instead of building a new cyber risk management framework, the South African banking industry should adopt the ICIC framework and modify it by adding the 29 percent of the CPMI –IOSCO cyber resilience guidelines not addressed by the ICIC framework. All the guidelines contained in the CPMI–IOSCO cyber resilience guidance will then be addressed within the modified ICIC framework. South African banks will also achieve effective management of cyber risks through the ICIC framework. , M.Com. (Computer Auditing)
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Impact of systemic risk measure on portfolio diversification : evidence from the JSE Limited

  • Authors: Kitenge, Kipupi
  • Date: 2019
  • Subjects: Foreign exchange rates , Risk management , Portfolio management , Diversification in industry , JSE Limited
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/456838 , uj:40484
  • Description: Abstract: This study develops a framework for the diversification of a domestic portfolio exposed to systemic risk within a common financial market. The developed framework intends to examine the optimal allocation problem and the investors’ risk tolerance in two financial market uncertainty regimes obtained from the systemic risk measure. To this end, the study makes use of the Conditional Value at Risk (CVaR) based on the Extreme Value Theory (EVT) and the Generalized Autoregressive Heteroscedasticity (GARCH) model. The CVaR is thereafter used to create two sub-portfolios; i.e., the Adverse Returns Portfolio (ARP) and the Favorable Returns Portfolio (FRP). The ARP1 and the FRP2 represent the set of portfolio returns observed during a financial crisis due to systemic risk, and during normal financial market period respectively. A quadratic Mean-Variance portfolio optimization problem is then applied to these two types of portfolio returns in order to identify investment allocations and performances during financial crisis resulting from a systemic risk and during normal financial market period. Using a sample of daily log return series of nine Johannesburg Stock Exchange (JSE) sector indices; the findings of this study show that JSE sectors that are positively correlated with the benchmark index (All-Share Index: ALSI) tend to contribute more in maximizing the ARP while the sectors that are negatively correlated with the ALSI tend to maximize the FRP. Investors who are aware of the behavior of these two portfolios can protect their investment capital during financial crisis resulting from a systemic risk. Furthermore, the study finds that the efficient ARP has better performance measures than the benchmark. However, the inverse is true for the FRP. These findings are consistent with different levels of risk aversion considered in this study. , M.Com. (Financial Economics)
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An integrated approach to disaster risk management

  • Authors: Baloyi, Vukosi Thomas
  • Date: 2018
  • Subjects: Disasters - Risk assessment , Emergency management , Risk management , Hazard mitigation
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/293845 , uj:31960
  • Description: M.Ing. (Engineering Management) , Abstract: Even in developed countries, natural hazards triggers major disasters. It gets worse in developing countries, where natural hazards building codes and standards are not integrated from planning phases when constructing structures. With sustainable development under threat from the impact of disasters, urgent need to strengthen capacity for the realization and management of community and constructed structural resilience is critical. With the World facing disaster challenge, this research seeks to research, identify, and recommend an implementable Disaster Risk Management (DRM) Best Practice (DRMBP) with the objective to substantially reduce disaster risk. The endless occurrences of natural disasters throughout the World motivate the significant shift from disaster management to DRM. DRM aims to substantially minimize the loss of human lives and economy by mitigating potential damages from disasters. While disasters are inevitable; through preparedness and mitigation measures, their rising devastating impact can be reduced. Promotion and support of science and technology-based methodologies to bridge technology gap in order to build effective DRM processes that can substantially reduce the loss of lives and economy is necessary. Currently, it is of concern that disaster losses are on the rise while science and engineering inspired systems, devices, and processes designed for mitigation impact from disasters are operational. The Sendai Framework for Disaster Risk Reduction (2015-2030) (SFDRR) emphasize the four Priorities for Actions to reducing the losses and damages and ensure the building of resilience. To realize these, SFDRR recommend amongst many parameters technological measures for intervention in order to increase preparedness level (including early warning systems and evacuation plans) and prevention of new and existing disaster risk. The disruptive technologies of Industry 4.0, the Internet of Things (IoT), is encouraging innovation in different sectors. This Information and Communication Technology (ICT) solution has completely reinvented, transformed, and addressed most challenges faced in the World. Considered a technology breakthrough as regarded as an industrial revolution; IoT enables the transformation of an ordinary device to a smart Thing. While ordinary device remains working in silos and depend on human interaction, IoT infrastructure establish an interoperability environment where smart Things communicate and constitute real-time decision analytics...
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Investigating the factors, risks and challenges impacting cloud computing services adoption rate across all the sectors

  • Authors: Shisane, Fanie
  • Date: 2018
  • Subjects: Cloud computing , Cloud computing - Management , Risk management
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/286053 , uj:30946
  • Description: M.Phil. (Engineering Management) , Abstract: It is anticipated that in the next five years almost all aspects or services of Information Technology (IT) will definitely be dynamic, movable, and interactive. This refers to data accessibility, workload, and all other computing needs including resources. IT companies and organizations will be migrating IT infrastructure, services, data, and software applications to Cloud services rapidly. Manufacturing and engineering companies will definitely seek to optimize their Information Technology (IT) environments and reduce high operational costs by adopting Cloud computing services at a rapid rate. Moreover, it is projected that customers and end users will store and access hundreds of gigabytes of data. Cloud computing is considered to be the best recent technology invention to fast track this gap. Cloud services provide efficient IT services and facilitate on-demand access to shared pools of various computing resources. As a result of these profound changes, all aspects of traditional Information Security (IS), control standards and performance will be challenged, especially engineering systems (Manufacturing, electronic, electrical, and control), engineering services, engineering processes, legacy applications and on–premises systems. Furthermore, there are factors and risks impacting Cloud computing services adoption rate that needs to be considered rigorously. The primary objective of the study mainly focuses on investigating the factors affecting Cloud computing adoption rate and risks associated with Cloud computing services adoption across board including engineering and manufacturing sectors or domains. Furthermore, the study assesses the impact this has on Information Technology (IT) services, engineering systems (Manufacturing, electronic, electrical and control), process instrumentation and engineering services. The study begins by introducing Cloud computing concept, and provides the background of Cloud computing. Secondly, it introduces the research problem, objectives and maps the dissertation outline. In line with the main objective, this research study also reviews existing information security policies, control standards and guidelines that should be adopted to secure IT systems and Cloud services. The study was mainly guided by literature review of previous studies (Peer reviewed articles, books, journals, reports and surveys). Therefore, an extensive systematic literature review research methodology method was applied on research articles that reported on factors affecting adoption of Cloud computing services and the risks impacting Cloud computing implementation to collect and analyse data. Moreover, Cloud computing’s reports prepared by reputable organizations are derived as part of other sources. These reports are then selected and evaluated to determine the current status of Cloud computing adoption and establish factors slowing Cloud adoption rate with an aim to assist potential Cloud services adopters.
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Schedule risk analysis of railway projects using monte-carlo simulation

  • Authors: Mabeba, Motlatso
  • Date: 2018
  • Subjects: Risk management , Railroads - Management , Monte Carlo method
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/286098 , uj:30951
  • Description: M.Ing. (Engineering Management) , Abstract: Railways have been used throughout history for the transportation of goods. Even though the inception of rail improved civilization, due to its inefficiencies, road transport is dominating the freight and logistics industry. Company A, which has the largest market share in rail has embarked on projects in an attempt to improve rail efficiencies by moving more volumes of freight timeously. Most of the projects of Company A have failed largely due to the poor planning of the projects in the feasibility stages. Most of the planning schedules are overoptimistic and thus unreliable. The scope of this study is to investigate the way in which planning schedules of Company A are developed by undertaking a schedule risk analysis and using Monte Carlo simulation to validate the schedule. If projects of Company A can be planned better, using schedule risk analysis, projects can become more successful in terms of delivering projects on time and then execute the projects on time.
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Supply chain performance and customer service in the mining explosives industry

  • Authors: Buthelezi, Thandeka Zamashenge
  • Date: 2018
  • Subjects: Business logistics , Risk management , Customer services , Explosives industry , Consumer satisfaction
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/292134 , uj:31742
  • Description: Abstract: In the mining industry that is plagued with increased competition and low profitability, gaining a competitive advantage is a mammoth task as the mining customers are faced with decreasing profit margins due to declining commodity prices and increases in critical cost drivers. Thus, there has been increased focus on more profitable production, which has meant an increased focus on a reliable supply of cost effective input materials such as explosives. Therefore, an explosives supplier should aim to offer a product and service which will optimise the mine’s costs. However, there is limited competitive advantage that can be derived from cost strategies (Naoui, 2014), thus many have opted to look for differentiation strategies through enhanced customer experience (Gonzalez, 2017). This research is aimed at investigating how the supply chain performance of an explosives supplier affects the quality of service rendered to mining customers. The study is also aimed at determining what supply chain risk mitigation strategies can be used to improve the performance of the supply chain and the customer service thereafter. The research hypothesis is that “Supply chain risk management leads to a positive customer service experience” The hypothesis was to be proved by showing the effective management of supply chain risk increased supply chain performance which leads to an improvement in customer service experience. The research was conducted using a single method qualitative approach, where the qualitative primary data was derived from interviews with personnel from four distinct groupings within the explosives supply chain, which consisted of production and supply chain personnel, sales representative and customers. The interviews were aimed at determining the critical customer service attributes that represented the various service quality elements that the customers deem important to their business performance. The reader will benefit from the research as it highlights the risks that are inherent in the supply chain and shows how these risks can be mitigated with the implementation of supply chain performance measures to drive improved customer service experience. It provides insights into how to ensure improved customer service in stringent, highly regulated, supply chains and ultimately achieve competitive advantage. , M.Com. (Business Management)
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The importance of project risk management process in Information Technology projects

  • Authors: Mtshali, Sophie Nomusa
  • Date: 2018
  • Subjects: Project management , Risk management , Information technology - Risk management
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/272610 , uj:29028
  • Description: M.Com. (Business Management) , Abstract: Risk management has increasingly become a crucial aspect of project success in the Information Technology industry. Risks are no longer seen from the narrow perspective of physical harm; but the narrative has evolved to include unforeseen circumstances and effects on all stakeholders and planned outputs of the project. In financial terms, it was reported that 13.8 billion SA Rands were lost to failed projects in 2011. In light of the aforementioned, this research focuses on Project Risk Management (PRM) and how it can help reduce and better manage risks inherent in all project works. Since it is expected that effective project risk management (PRM) seeks to minimize the risks inherent to projects in order for the project manager to make better-informed decisions, which will contribute to overall project success, this research asks the fundamental question: ‘is there any positive relationship between PRM and project success in the IT industry?’ To answer the research question, this study takes a pragmatic approach using the quantitative method of data collection. Surveys were distributed among 100 project managers and coordinators within the IT environment in South Africa, 65 valid responses were received. Descriptive analysis was conducted on the findings and the results are presented in themes according to the objectives of the study. One of the research conclusion is that the most significant factors limiting the use of PRM methodologies with the respondents is not organisational culture as expected, rather ‘lack of subject matter expertise in project management’ on the part of the project managers. It was ultimately concluded that there is a strong relationship between PRM and project success. If risks can be reduced in a project, the chances of success increases. Lastly, it was seen that within the scope of the research, PRM has a positive impact with project being completed on schedule (or earlier) and within or below budget. The research is however not without its own inherent limitations; one of which is the fact that the study is a once-off experience and cannot envisage changes in the IT project success while using different project management strategies. A longitudinal study would have helped prevent against this.
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The role of information technology in the risk management of businesses in South Africa

  • Authors: Schutte, B. , Marx, B.
  • Date: 2018
  • Subjects: Information technology , Risk management , Risk management of IT
  • Language: English
  • Type: Article
  • Identifier: http://hdl.handle.net/10210/289677 , uj:31434 , Citation: Schutte, B. & Marx, B. 2018. The role of information technology in the risk management of businesses in South Africa.
  • Description: Abstract: Information Technology is a dynamic and constantly evolving field which has dramatically changed the way in which businesses operate. Organisations now have to ensure that information technology is incorporated into their risk management processes and the strategies to mitigate those risks. This study investigated the role of information technology in risk management processes, focusing on the type of information technology risks and threats that affect organisations. An empirical study of the integrated reports of the top 40 companies listed on the Johannesburg Securities Exchange was conducted to investigate the information technology risk management disclosure practices. The study was completed in 2016, before the King IV Code of Corporate Governance for South Africa became effective and accordingly, focused only on the King III principles of information technology governance and risk management. The study found that companies are mitigating information technology risks and have included information technology into their risk management processes. The results also revealed that awareness of information technology risk may be industry-driven, as companies operating in information technology environments were more likely to be exposed to information technology risk.
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A risk-based approach to the assessment and certification business processes at tertiary educational institutions

  • Authors: Van Zyl, Marthinus Petrus
  • Date: 2017
  • Subjects: Risk management , Diplomas - Evaluation , Accreditation (Education) - Standards , Education, Higher
  • Language: English
  • Type: Doctoral (Thesis)
  • Identifier: http://hdl.handle.net/10210/262226 , uj:27672
  • Description: Ph.D. (Business Management) , Abstract: Poisson and Hallak (2007:111) make the statement that “Universities are seen de facto as meritocratic Institutions that can be trusted to provide fair and impartial testing. However, when their testing mechanisms break down (for example, in China) or are subject to corrupt practices (for example, India), their image [reputation] is significantly weakened”. In the South African context, high profile cases like those of Shamim Shaik and Pallo Jordan come to mind. Universities place a high premium on their assessment processes and the qualifications (certificates) issued. However, the assessment and certification processes of these Institutions are exposed to various uncertainties (risks) that can affect the organisations’ right of existence. To circumvent and limit the risks associated with the assessment and certification processes, a management process is required which starts with the design, implementation and continuous monitoring of these processes. This then is the focus of this research, to apply a risk-based approach to the assessment and certification business processes at Universities. The methodology applied in this research is action research. Action research is a systematic research approach that enables individuals and organisations to find effective solutions to everyday problems. This systematic approach provides action research with its scientific base. The research is qualitative in nature and makes use of a pilot study to determine the limitations and gaps in current assessment and certification processes and the risks associated with these processes. A pilot study, which identified the gaps in the assessment and certification business process, provided guidance in the development of the interview schedule that was used in collecting empirical data. The pilot study was based on the assessment and certification processes at the University of Johannesburg (where the problem that needed to be solved was identified). Guided by the pilot study, the population under investigation was interrogated to develop a best practice solution at tertiary education institutions (Universities) in South Africa. Data was collected by means of structured interviews guided by an interview schedule consisting mainly of open-ended questions. The study found that accepted (best practice) business process design and risk management practices are not used or taken into consideration in the design and...
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IT risk management disclosure in the integrated reports of the top 40 listed companies on the JSE limited

A theoretical review of risk identification : perspective of construction industry

  • Authors: Renault, B. Y. , Agumba, J. N. , Ansary, N.
  • Date: 2016
  • Subjects: Construction industry , Risk management
  • Language: English
  • Type: Conference proceedings
  • Identifier: http://hdl.handle.net/10210/214956 , uj:21346 , Citation: Renault, B.Y., Agumba, J.N & Ansary, N. 2016. A theoretical review of risk identification : perspective of construction industry.
  • Description: Abstract: Managing risks in construction projects has been acknowledged as an essential management process in order to accomplish the project objectives in terms of time, cost, quality, safety and environmental sustainability. However, up to now most studies have concentrated on some aspects of construction risk management rather than using a systematic and comprehensive approach to identifying risks and analyse the probability of occurrence and impacts of these risks. Risk management consists of identifying risks, assessing risks either quantitatively or qualitatively, selecting the appropriate method for handling risks, and then monitoring and documenting risks. By identifying risks in an early stage of planning and assessing their comparative significance, project managers can identify techniques employed to reduce risks and allocate the best people to mitigate them. Thus, this research focuses on risk identification, as opposed to other processes of risk management. This research is mainly a literature review and was conducted through accredited academic and Professional journals, books, the internet, theses, and dissertations. The reviewed literature revealed that the entire risk management process is not only limited to solving problem in advance but also for the occurrence of any unexpected future problems. The study further shown that issues with possible threats envisaged in a project are not only a means to reduce losses within the project, but also a means to transfer risks into opportunities, which can lead to economic profitability, environmental and other advantages. This paper is of value to managers and decision makers involved in managing risks where it is intended to boost their knowledge regarding the importance of risk identification as a crucial stage of the process to managing risks.
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Comparative analysis of the impacts of risks on bonded and unbonded construction projects

  • Authors: Oke, Ayodeji
  • Date: 2016
  • Subjects: Construction projects , Risk management
  • Language: English
  • Type: Article
  • Identifier: http://hdl.handle.net/10210/223633 , uj:22493 , Citation: Oke, A. 2016. Comparative analysis of the impacts of risks on bonded and unbonded construction projects.
  • Description: Abstract: Despite the introduction and adoption of various techniques and innovative practices geared towards improving the delivery of construction projects, some notable problems of cost overrun, time delay, low quality, dissatisfied clients, etc. still persist. One of the notable practices in the construction industry is the use of bonds and guarantees. Construction bond was introduced as an instrument to protect or indemnify its recipients against risks and problems associated with construction projects but the challenge over the years lies in the practical enforcement of bonding conditions and its overall benefits to the construction industry. This research therefore evaluate the risks that are associated with bonded and unbonded projects with a view to ascertaining their effects on overall construction projects success. Primary data were collected through administration of questionnaires on identified construction bond stakeholders namely: clients of public projects: quantity surveying and architectural firms; and construction firms. Questionnaires were administered on 337 respondents out of which 242 were returned while 236 were certified fit for analysis. Mean item score was used for ranking the identified factors while Kruskal-Wallis and Mann-Whitney tests were employed to examine relationship and differences in sample means of different groups of respondents respectively. The study revealed that financial soundness of the issuer also known as credit risk has major effect on projects with bond while for projects without bond, liquidity risk requires the most attention. The identified bond risks are more inherent in bonded projects except for liquidity and volatility risk. In view of this, special attention should be accorded the activities of guarantors, that is banks and insurance companies, shouldered with the responsibilities of issuing bonds in an attempt to reduce their influence on construction bond process. This will enhance value for money for contractors seeking the bonds and eventually lead to success of construction project.
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Evaluating the use of risk-identification techniques in the South African construction industry

Risk management best practices in the Department of Trade and Industry

  • Authors: Joel, Carmen
  • Date: 2016
  • Subjects: Risk management , Corporate governance
  • Language: English
  • Type: Masters (Thesis)
  • Identifier: http://hdl.handle.net/10210/225695 , uj:22801
  • Description: M.A. , Abstract: This study focused on best practice risk management frameworks (RMFs) for the sustainable implementation of risk management in the public sector, with specific reference to the role of the Department of Trade and Industry (dti). Risk management entails resources, planning, arranging, and controlling to reduce the impact of possible risks to a manageable level. The main research question addressed by this study is: What is the nature of the risk management process and which practical actions can be taken to improve risk management in the dti in order to ensure sustainable service delivery? The goal of this best practice approach to risk management as a higher-order management function is to create an industry that will reflect on how events may influence organisational objectives through the process of identifying, assessing reducing, eliminating or mitigating and monitoring the impact and likelihood of actual or prospective risks through implementing new or improved assessment practices and internal controls. As organisations increasingly focus on establishing or maturing their risk management applications, risk managers experience a range of challenges – from the start of the risk management process to ensure that the right decisions and processes are carried out, to managing the complex involvement of many different functional stakeholders to fulfil an organisation’s mission, achieve its objectives, and to add value. Many of the problems encountered while establishing or maturing a risk management approach can be prevented by using a sound risk management methodology and by compliance with the regulatory and policy frameworks. This study focused on the improvement of risk management in general and the dti in particular, and made proposals for best practice methodologies and mechanisms for effective and efficient risk management systems to develop resilience against unforeseen risks. The proposed best practice mechanisms can be applied as good governance mechanisms to mitigate risk. A qualitative research methodology was followed, whereby conceptual and documentary content analyses and benchmarking were applied as research techniques. It was based on primary and secondary sources of information which covered a wide spectrum of themes, including core regulatory and policy frameworks, concepts, theories, approaches, and the variables which influence risk management in both international and South African contexts...
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Theoretical limits to risk management models : model risk

  • Authors: Dos Santos, Marco Paulo Ferreira
  • Date: 2015-10-07
  • Subjects: Risk management , Risk perception , Business planning
  • Type: Thesis
  • Identifier: uj:14260 , http://hdl.handle.net/10210/14712
  • Description: M.Ing. (Engineering Management) , This mini-dissertation provides an overview of enterprise risk management and its components, while focusing on risk analysis and risk models. Since all entities face uncertainty with respect to the aspects that they interact with, enterprise risk management aims to maximize value to stakeholders. One of the tools used in the risk assessment component of enterprise risk management is a quantitative assessment technique called risk modelling. Risk modelling allows various risks to be evaluated by observing their effects on simulation outputs. Decision making under uncertainty has become heavily reliant on risk models, resulting in more complex models being formulated and utilized. As such, the risks associated with the modelling of risks are becoming increasingly more pervasive in risk management and whose effects are just as severe (if not more so, due to their lack of awareness). A more in depth examination of model risk is performed and discussed in order to highlight its lack of awareness, extent and implications, and theoretical limits in risk modelling. Using this background information, the analysis of models used in literature for pricing in telecommunications wireless mesh networks is conducted in order to evaluate their model risks. This analysis shows that very few publications acknowledge the shortcomings of their models, let alone evaluate or discuss them in any way. Further, this analysis shows that some of the models and their assumptions produce pointless results. A simple investigation of the risks associated with their models would have produced results that are more conclusive and substantiatable, and with less flaws. Although the model risk analysis has been performed on models that simulate certain billing aspects of telecommunication wireless mesh networks, the model risk a alysiscan just as easily be performed on any other models or risk models. The aim of this mini-dissertation is to provide an overview of model risk and its impact, and also highlight the importance of including the management of model risk in the enterprise risk management process.
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A critical evaluation of uncertainty and expectations in fixed investment decisions

'n Kwantitatiewe en kwalitatiewe waardebepaling van ondernemingsrisiko en -mislukking

Implementing risk management through change management at the Department of Justice and Constitutional Development

Risk management : a business enabler or a compliance issue?

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