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Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel

- Goosen, Eugene

Authors: Goosen, Eugene
Date: 2012-08-28
Subjects: Risk assessment , Pricing , Portfolio management
Type: Thesis
Identifier: uj:3352 , http://hdl.handle.net/10210/6752
Description: M.Comm. , ffntroduction Measuring and evaluating risks are essential in a dynamic derivative market to minimize risks. The management of risks in the derivative market is complex due to the non-linear properties of option pricing Method of study The a first step of the study analyzed the "greek" derivatives of a single option contract (e.g. delta, gamma, vega, theta). The next step was to combine and analyze the derivatives of various option contracts. The study pointed out that the risk profile can be amended by combining option contracts. A risk measurement and evaluation model was constructed by creating a table that will simulate option prices at different time horizons and at different market prices. The model will also simulate all the derivatives of options in a table form at different time horizons and at different market prices. The model finally used the tables to reflect the results graphically. Findings The last section of the study was devoted to scenario simulation to identify risks. Firstly the management of the delta was analyzed, and the use of the gamma to identify delta sensitivity was illustrated. The management of the vega was addressed next. The study showed that a combination of options can minimize the risk of vega. The effect of theta or the time value of a option was illustrated and linked to both gamma and vega. The study demonstrated that the results of volatile movements in the market can be simulated by combining the derivatives of options (e.g. add the deltas of options together), and to stress test the strategy. "What if' scenarios can be simulated to illustrate the effect on a current position combined with some amendments.
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Die invloed van die heropbou- en ontwikkelingsprogram op die strategiese bestuur van Suid-Afrikaanse ondernemings en die invloed daarvan op die Suid-Afrikaanse ekonomie

- De Jongh, M.

Authors: De Jongh, M.
Date: 2012-08-13
Subjects: Reconstruction and Development Programme (South Africa) , Strategic planning-South Africa. , Business enterprises-South Africa-Management.
Type: Thesis
Identifier: uj:9059 , http://hdl.handle.net/10210/5521
Description: M.Comm. , Die hoofprobleemstellings behels die volgende : Sal 'n handhawing van die Heropbou en Ontwikkelingsprogram oor die algemeen as katalisator of stremmer van ekonomiese welvaart in Suid-Afrika dien? Water aspekte of onderafdelings van die Heropbou- en Ontwikkelingsprogram se toepassing sal as katalisators en water sal as stremmers van ekonomiese groei dien? Ook, met inagneming van die opinies verkry van ondernemingsbestuurders, ekonome en ander gesaghebbendes op die bogemelde probleemvrae, word die volgende van hulle bepaal : Word daar nog ruimte gelaat of sal daar nog duidelik omskrewe parameters bestaan waarbinne bestuurslui effektief strategies kan beplan vir hul ekonomiese voortbestaan? Sal Suid-Afrikaanse ondernemings dit nog moontlik vind om in terme van hul strategiese planne steeds te kan dien as die ekonomiese ontwikkelaars van Suid-Afrika? Sal handhawing van die Heropbou- en Ontwikkelingsprogram ondernemings se strategied om groeiende winste te lewer teenwerk of belemmer, en indien wel, tot water mate? Die vraag mag nou waarskynlik gevra word wat die doel daarvan is om te bepaal hoe die Heropbou- en Ontwikkelingsprogram die strategiese beplanning van ondernemings sal beinvloed?
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`n Operasionele bestuursmodel vir die nie-geprogrammeerde opknapping van goedere treintrokke

- Briel, A.Z.A.

Authors: Briel, A.Z.A.
Date: 2012-08-16
Subjects: Railroads -- Cars -- Maintenance and repair -- Planning , Railroads -- Cars -- Maintenance and repair -- Management , Operations research , Transwerk (Firm : South Africa)
Type: Thesis
Identifier: uj:9466 , http://hdl.handle.net/10210/5898
Description: M.Comm. , Operational management is to plan and control the transformation process that converts the requirements of customers into a product or a service. The non programmed refurbishing of railway wagons at Transwerk (Germiston) is a very difficult task for the operational manager. The number of wagons and what to repair on each wagon, only become known when the wagon arrives at Transwerk. The planning and scheduling of resources like labour, material, facilities, equipment and cash flow are therefor not so easy. To overcome the difficulties of the planning and scheduling of resources, and to refurbish the wagons according to the customer's requirements and satisfaction, it is necessary to have an operational management model or system. This system comprises of functions like aggregate planning, production scheduling, planning for fixed and variable capacities, inventory planning, design of the operational process itself as well as the control of the whole system. All of this must be set in a framework of the company's overall strategy as well as the financial and operational strategies. The first part of this study deals with the heories of operational management. It is important that the operational manager is familiar with the types of decisions to be made and what concepts are available to optimise his decisions. He also needs to know which product positioning strategy and which process positioning strategy to take. In the case of Transwerk a make-to-order product positioning strategy will be used to refurbish the wagons, and a make-to-stock strategy to manufacture the components that are needed to repair the wagons. A job-shop process positioning strategy will be used, because no fixed process flow can be followed to repair the different wagons. In the second part of this study an empirical research was done. The frequency and number of the different types of wagons that were sent to Transwerk, as well as the occurrence of the repair types on the wagons, were researched. Four years (1992 to 1995 book year) of information were used. The number of wagons and when the wagons might come in for repairs in 1996, as well as what types of repairs to do, are forecasted by using quantitative techniques as time series decomposition and weighted moving averages. The forecast or aggregate plan is the starting point of any operational model. Finally the operational model is designed. The model starts with the business- and operational strategies followed by the production plan. The production plan, derived from the forecast, shows the wagons that are expected to be built for the next five years. Transwerk should check the major available resources to assure that the production can be met. After the production plan is authorised by the executive manager the operational manager can do the master schedule. This schedule shows by model level which wagon types are expected to be repaired per day per month. This information also comes from the forecast that was done. Out of the master schedule, the material- and capacity plans can be drawn up. Production can start once the operational manager finds the planning to be correct. It is important that every step in the model is controlled and that the plans are changed if necessary. A well defined operational management model will help Transwerk on the way to be a world class company.
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Logistical support : an evaluational study at Alusaf Hillside

- Venter, Herman J.

Authors: Venter, Herman J.
Date: 2012-09-11
Subjects: Alusaf Hillside -- South Africa , Aluminum industry and trade -- South Africa , Business logistics -- South Africa -- Case studies
Type: Mini-Dissertation
Identifier: uj:10009 , http://hdl.handle.net/10210/7400
Description: M.Comm. , During the design and development of a system, it can easily happen that the elements directly associated with the prime mission statement receive the most attention. The life-cycle support of the system is neglected , which leads to unnecessary financial burdens because: the cost of the system life-cycle support contributes to a large proportion of the overall system life-cycle cost. the cost of the system life-cycle is largely dependent on choices made during the earlier design stages of the system life-cycle (Blanchard & Fabrycky 1981: 448). In order to minimize the system life-cycle support cost, it is important to optimize the system life-cycle support cost as soon as possible in the project life-cycle. According to Ronald (1992:Xiii), the logistical support of a system can contribute to as much as 30 percent of the product cost. The level of logistical support has to be compared to the logistical support cost. Logistical support analysis (LSA) is used to optimize the logistical support plan. The overall goal is to design for supportability. Each subsystem and possible problem area has to be identified, and an optimal support plan has to be developed. According to a study conducted by Anderson Consulting and the Chair of Logistics at the University of Pretoria, businesses across South Africa are turning to logistics to answer the problems they face in respect of rising costs, greater competition, changing customer needs and the application of technology (Productivity SA 1995:21). This illustrates the importance of optimizing the logistical support system. It also indicates the ability of an optimal support plan to reduce overall operating costs.
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The purpose and transparency of the repurchase agreement in the South African financial system

- Steenkamp, Juanita.

Authors: Steenkamp, Juanita.
Date: 2012-08-17
Subjects: Repurchase agreements - South Africa. , Monetary policy. , Monetary policy - South Africa , Inflation (Finance)
Type: Thesis
Identifier: uj:2625 , http://hdl.handle.net/10210/6072
Description: M.Comm. , Under the previous accommodation system the monetary policy of the South African Reserve Bank failed to operate by means of open market transactions, and interest rate movements was solely the discretion of the South African Reserve Bank and was driven by means of the traditional Bank rate. The need for a more efficient and transparent accommodation system that is based on open market transactions and determined by demand and supply of liquidity was evident, and therefore the introduction of the repurchase agreement system in March 1998 was unavoidable. The ultimate objective of monetary policy is to achieve price stability, i.e. to ensure that the Reserve Bank has a goal of maintaining inflation at a level that would be more or less in line with the average rate of inflation in the economies of South Africa's major trading partners and international competitors. It is important that the Reserve Bank enhances transparency for the effective operation of an inflation-targeting framework. Transparency introduces predictability and helps to ensure that market expectations are consistent with the objective of price stability. The level of interest rates in a country can influence price stability directly. A transparent monetary policy will mean that changes in short-term interest rates should not surprise the market. Markets should anticipate decisions taken by the Reserve Bank and therefore transparency should promote the predictability of monetary policy. Since its implementation, the current accommodation system (repurchase agreement) has raised some concerns regarding transparency. The government's new monetary policy framework of inflation targeting also has some limitations that can influence the achieving of such targets. The one influences the other, and if interest rates and inflation is not managed transparently, it will have a severe impact on the overall efficiency of monetary policy in South Africa.
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The optimal re-engineering of business processes in Spoornet's infrastructure department

- Niehaus, Johannes Hendrik

Authors: Niehaus, Johannes Hendrik
Date: 2012-09-13
Subjects: Reengineering (Management)
Type: Thesis
Identifier: uj:10331 , http://hdl.handle.net/10210/7695
Description: M.Comm. , For many decades transport in this country was largely provided by South African Railways and Harbours (SAR&H), a government body which controlled everything - from the state airline, South African Airways (SAA), to harbours and pipelines. In 1990 the South African Transport Services (SATS), as it was later called, received company status. A company representing the vast transportation network was later formed and was appropriately called Transnet. Spoomet, the largest of all the divisions in Transnet and providing by far the major portion of Transnet's turnover, transports freight, containers, bulk goods like ore and coal, and passengers by rail. It's assets are spread throughout Southern Africa and its railway technology is comparable to the best in the world. Southern Africa's development is to a large extent determined by the achievement in the manufacturing industry, mining and agricultural sectors. The cost of products and their competitiveness on the world market is largely dependent on efficient transport. This is particularly the case for freight and bulk commodities because of the long distances between the industrial and mining areas and the coast. As the largest, most diverse and efficient rail transport organisation in Southern Africa, Spoomet can be a key player in the creation of wealth, employment, contribution to national budgets, international trade and general economic development in the region. Because of the deregulation of the transport industry, fierce competition is already contributing to greater efficiency and ongoing innovation.
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