Dissertations / Theses on the topic 'Risk management and enterprise value'
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Farrell, Mark Andrew. "Enterprise risk management : maturity progression, value creation & future evolution." Thesis, Queen's University Belfast, 2016. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.706462.
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It is critical to determine whether ERM creates value to ensure that the significant resources deployed in ERM programmes result in tangible corporate value. This thesis analyses the valuation implications of ERM maturity using The Risk and Insurance Management Society Risk Maturity Model (RIMS RMM) data collected from 2006 to 2011 using a 5-point maturity scale. The results, measured by Tobin’s Q, suggest that firms that have reached mature levels of ERM exhibit higher firm values, demonstrating a statistically significant positive relation to the magnitude of 25 percent. Upon decomposition of the maturity score, the most meaningful aspects of ERM relate to top-down executive engagement and the resultant cascade of ERM culture throughout the firm. In addition to serving as one of the first studies to establish strong empirical evidence for ERM increasing firm value, the thesis extends its contribution to examine the firm performance implications of ERM maturation under different models, specifically identifying characteristics that engender or inhibit the aforementioned valuation implications. A discussion of how an ERM programme could significantly affect an organisation’s policies and relationship with stakeholders is also explored. ERM is theoretically projected to be a means to help strengthen the relationship that companies have with regulators, reinforce or repair relationships with shareholders, strengthen interactions with supply chain stakeholders, enhance reputational relations with clients and improve auditor partnerships. The thesis concludes by arguing that ERM has now reached a critical mass, such that further adoption and development of the ERM discipline is now inevitable.
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Settembrini, Daniele. "Value and risk based management in small and medium-sized enterprises." Thesis, University of Surrey, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.590804.
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The value based management approaches aim primarily at listed major corporates. Through the equity cost rate they are linked to the capital market theory (CAPM) and portfolio theory. Medium-sized enterprises in the sense of the present research are never listed on stock markets, but are owned by an entrepreneur, a few companies or, as the case may be, further family members as well. Considering the very low application rate of value based concepts in SMEs, despite their large macro economical importance and the significant untapped potential, there is a clear demand in theory and praxis for a holistic integrated framework that better considers the constitutive SME characteristics and identified requirements regarding the implementation in medium-sized enterprises (SMEs). The research method applied to develop such a framework is on one side exploratory, i.e. logic-deductive. The theoretical basis constitutes the shareholder value approach, the stakeholder theory, the intellectual capital management theory, as well as the business economics of SMEs. On the other side, to fulfil the practical objective the research project is based on a second pillar. Within the scope of the dissertation, an empirical case study of a typical medium-sized enterprise is conducted. The case study findings affirm the practical relevance and value adding, the applicability and relability of the implemented framework. Furthermore, concrete practical recommendations are given for the implementation of the developped risk and value based management framework in SMEs. The risk and value based management framework, considering the normative, methodological and instrumental perspectives, brings together elements of shareholder theory, stakeholder theory and intellectual capital concepts applied to the actual findings in SME research. This has significant practical implications for managers and entrepreneurs. Management and entrepreneurs can break down the overall target of value creation to single intellectual capital (IC) or stakeholder related events. Such a value-oriented management concept provides a basis for top management and entrepreneurs, and serves as starting point for a differentiated operational control and early warning system that identifies and quantifies value and risk drivers for managing employee, customer and supplier capital, or from an IC perspective, structural, relational and human capital, all in a value-oriented and quantitative way. Additionally, as the premises, i.e. the conceptual underpinnings of valuation, have radically changed, the impact on valuation practice is consequently significant, as it opens the possibility for valuation practitioners to develop corresponding specialised valuation approaches, e.g. focusing on IC or stakeholder valuation, not only for (unlisted) SMEs.
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Arias, Arellano Liliana. "L'impact de la Solvabilité II et de l'Enterprise Risk Management sur le pilotage des sociétés d'assurance." Thesis, Orléans, 2015. http://www.theses.fr/2015ORLE0502.
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L’implémentation de Solvabilité II constitue une révolution pour les sociétés d’assurance car elle entraine d’importants changements dans leurs pratiques de gestion. Plusieurs inquiétudes ont été soulevées quant aux impacts de la calibration de la formule standard sur les investissements des assureurs et l’économie en général. A cela s’ajoutent les exigences sur la gouvernance et la gestion des risques qui vont modifier la culture de risques des entreprises et qui vont encourager l’adoption d’une approche ERM. Cette thèse a donc pour objectif d’analyser les impacts des exigences de Solvabilité II et de l’ERM sur la gestion d’actifs et la gestion des risques des assureurs.Une première partie traite des effets potentiels de Solvabilité II sur les investissements obligataires. Nous analysons la pertinence du SCR obligataire et le comportement du couple rendement-SCR. Les résultats montrent que la mesure de risque réglementaire est globalement satisfaisante pour les obligations à faible risque mais qu’elle est surestimée (sous-estimée) en période d’absence de crise (en période de crise) pour les obligations à risque élevé. Nous montrons également que la calibration de Solvabilité II favorise les obligations à faible duration et notamment, les obligations high yield. Une deuxième partie porte sur les facteurs déterminants de l’état d’avancement de l’ERM et ses bénéfices. Notre principale contribution est la construction d’un indice continu sur l’ERM qui permet de déterminer l’état d’avancement de l’ERM pour les assureurs. Nos résultats montrent que le statut de mutuelle, la taille de l’assureur et sa localisation géographique influencent l’état d’avancement de l’ERM, et qu’une relation positive et significative existe entre l’état d’avancement de l’ERM et la rentabilité des assureursSolvency II implementation constitutes a revolution for insurance companies because it leads to major changes their management practices. Solvency II propositions have thus become a major concern for the insurance sector, especially regarding the potential impact of the standard formula on insurers’ investments and on the economy. Aditionnally, Solvency II governance and risk management principles will modify insurers’ risk management culture and will encourage them to adopt ERM practices. This thesis analyses the impact of Solvency II requirements and ERM on insurer’s management practices.A first analysis focuses on the effects of Solvency II calibration on insurance companies’ bond investments. We analyse the adequacy of bond SCR and the behaviour of the return-SCR couple. The results show that the regulatory risk measure for low risk bonds is overall adequate, but that it is overestimated (underestimated) for high risk bonds in non-crisis periods (in crisis periods). We also show that Solvency II calibration encourages investments in low duration bonds and especially high yield bonds. A second analysis focuses on understanding the determinants of ERM adoption and its benefits. Our main contribution is the creation of a continuous ERM index that measures the level of development of insurance companies’ ERM program. We conclude that insurers’ mutual status, size, and geographical location are determinants of ERM state of progress and that there is a positive and significant relationship between ERM state of progress and companies’ profitability
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Etges, Ana Paula Beck da Silva. "Análise do impacto corporativo de riscos a partir de um modelo de gestão de riscos orientado a ambientes inovadores." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2015. http://hdl.handle.net/10183/127879.
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Empresas orientadas à inovação são submetidas a inúmeras incertezas e riscos. Porém, modelos de Gestão de Riscos que mensurem resultados econômicos e financeiros em ambientes inovadores ainda são escassos na literatura e no âmbito prático. Influenciada por esse contexto, esta dissertação propõe, testa e valida um modelo de Gestão de Riscos em processos de inovação que permite mensurar indicadores econômicos de impacto de riscos. A partir destes, discute-se o efeito dos riscos identificados a partir do processo de inovação na gestão corporativa da empresa. Para isso, estruturou-se a pesquisa em três etapas: (i) identificação dos principais eventos de risco inerentes ao ambiente inovativo, através de uma Revisão Sistemática da literatura, seguida de uma pesquisa empírica com empresas de Parques Tecnológicos brasileiros; (ii) proposição de modelo protótipo de Gestão de Riscos orientado a processos inovadores elaborado a partir das principais técnicas de análise e identificação de risco utilizadas em processos de inovação, identificadas através de Revisão Sistemática da literatura; e (iii) teste e validação do modelo protótipo em um ambiente real através da realização de um Estudo de Caso em uma empresa com estratégia inovadora instalada em um Parque Tecnológico brasileiro, permitindo a discussão do impacto corporativo dos riscos analisados a partir do processo de inovação. Entre as ferramentas que embasam o modelo, destaca-se o uso da análise probabilística de riscos, através da Simulação de Monte Carlo, relacionada ao custo do processo de inovação, calculado a partir do método ABC de custeio. Entre as principais contribuições acadêmicas deste trabalho tem-se: a sugestão de um indicador econômico, traduzido através do Value at Risk, para o processo de inovação em uma empresa, o que ainda é escasso na literatura; e a consolidação dos principais eventos de risco inerentes ao ambiente inovativo. No que diz respeito à contribuição ao meio prático, o modelo proposto indica ferramentas modulares e sequenciais para que empresários possam replicá-lo em diferentes situações.Companies with innovation-oriented strategy are subject to uncertainties and risks, which lack the management practices for the use of quantitative indicators and especially in currency format. In this sense, risk management models that measure economic and financial results in innovative environments are still scarce in the literature and the practical field. Influenced by this context, this work proposes, tests and validates a risk management model oriented to innovation processes that allows us to measure economic indicators of risk impact. From these, is discussed the effect that the risks identified from the innovation process refer to the corporate management of the company. To achieve this result, structured the analysis in three steps: (i) identification of major risk events that are tangent innovative environment through a systematic literature review, followed by a survey of Brazilian Technology Parks companies; (ii) search for the main techniques of analysis and identification of risk used in innovation processes, from a systematic literature review and prototype model proposition risk management oriented innovative processes; and (iii) testing and validation of the prototype model in a real environment with innovative strategy -company installed in a Brazilian-Technology Park, by conducting a Case Study, allowing discussion of the business impact that the risks analyzed from the process innovation refer. Among the tools that support the model, there is the use of probabilistic risk analysis through Monte Carlo simulation related to the cost of the innovation process, calculated from the implementation of Activity-based Costing method. Contributes academically by the suggestion of an economic indicator, translated through the Value at Risk, to the process of innovation in a company, which is still scarce in the literature. With regard to the contribution to the practical environment, the model indicates sequential modules and tools for businesses it can replicate in different environments.
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Gerber, Guillaume. "An investigation of the effect of risk management on the economic value of JSE listed companies." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97324.
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Thesis (MBA)--Stellenbosch University, 2015.ENGLISH ABSTRACT: When it comes to risk management, academic opinion is divided into two camps. There are those who argue that risk management is a waste of resources and time, and that in spite of all the effort invested, it does not add any economic value to an organisation. On the other hand, there are those who believe that risk management not only safeguards, but also actively contributes to the value of an organisation. This study was an attempt to obtain empirical evidence from the South African sector to support one of the two abovementioned arguments. In doing so the study addresses the research problems of whether risk management and specifically Enterprise Risk Management, creates value for an organisation, and whether the fact that a company has a risk management program in place should influence investor decisions The study was conducted in the following way: Measurements of the maturity of the risk management systems and the implementation dates of these systems were obtained from the senior managers of a number of organisations by means of a questionnaire. This data was then compared with annual measurements of the value of these organisations that were taken between 2000 and 2013. To determine if there was a relationship between the value of an organisation and the risk management maturity tests were conducted to look for the following: i. A statistically significant relationship between the most recent measure of organisational value and the maturity of risk management. ii. A statistically significant relationship between risk management maturity and the most recent rate of organisational value increase. iii. A discernible difference between the rate of organisational value change before and after the implementation of an Enterprise Risk Management system. iv. A statistically significant relationship between risk management maturity and organisational value subsequent to the introduction of an Enterprise Risk Management system. The study found evidence of a significant gain in the rate of organisational value increase directly subsequent to the introduction of an Enterprise Risk Management system, but also that the increased rate was not sustained. Other tests yielded contradictory or indecisive results that did not lead to clear conclusions, but illuminated future research directions.
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Němec, Vojtěch. "Implementace CRM IS v prostředí malé až střední společnosti poskytující služby." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77782.
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Diploma thesis reviews a topic of Customer Relationship Management information system implementation from a managerial point of view. Theoretical part describes strategies for a Customer Relationship Management in a field of a small and middle enterprise business. It contains a description of technological options and a market situation in information systems business. Author describes a topic of information systems and their value added and is focused on a process of implementing the Customer Relationship Management information system. In a practical part there is a specific implementation project being analyzed. The analysis is based on the feedback of customers of a company and users of a new system. This part describes a specific implementation project, highlights possible failures and finds possible options to avoid them.
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Mikes, Anette. "Enterprise risk management in action." Thesis, London School of Economics and Political Science (University of London), 2006. http://etheses.lse.ac.uk/2924/.
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The new Basel regulatory initiatives and a burgeoning risk management literature signify the rise of enterprise risk management (ERM) in the financial services sector. However, very little is known of the roles that risk management plays in organizations and how it obtains organizational significance. This study, utilising case study material from seventy-five in-depth interviews with senior managers at two large banking groups, is a first step in exploring ERM in action. Apart from the field material, the study draws on the normative- practitioner literature of risk management, as well as on a long strand of organisationally grounded studies of management control. ERM appears to be an assembly of four risk management ideal types (Risk Silo Management, Integrated Risk Management, Risk and Value Management, Strategic Risk Management), all of which aspire to be 'enterprise-wide', and together constituting the 'risk management mix' in a given organisation. Three distinct types of risk managers emerged in both organisations, displaying characteristic aspirations and alliances (risk silo specialists, risk capital specialists, senior risk officers). The case study analysis compared and contrasted the observed two ERM assemblies, and emphasised the alternative patterns of organizational significance displayed by the risk management functions. Under the first model (value-based ERM) risk management was integral to the formal planning and performance measurement process, while remained neutral in the discussions of discretionary strategic decisions. Under the second model (strategic ERM) risk management was incidental to formal planning and control, however, senior risk officers exercised agenda-setting power to influence the discussion of key strategic uncertainties. The study explains the observations in terms of firm-specific factors and institutional pressures. The politics of risk control and the presence of different calculative cultures in the organisations were tampered by contemporary corporate governance imperatives, such as the shareholder-value drive and the risk-based internal control imperative.
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Постол, В. О. "Enterprise risk management system formation." Thesis, Чернігів, 2020. http://ir.stu.cn.ua/123456789/20040.
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Postol, V. O. Enterprise risk management system formation=Формування системи управління ризиками підприємства : дипломна робота : 073 Менеджмент / В. О. Постол ; керівник роботи Дука А. П. ; Національний університет «Чернігівська політехніка», кафедра публічного управління та менеджменту організацій. – Чернігів, 2020. – 83 с.The work is devoted to the theoretical and practical aspects of revealing the essence of the formation of the enterprise risk management system in market conditions. The work consists of three sections, introduction and conclusions. The introduction substantiates the relevance of the topic, purpose and objectives of the thesis. The first section reveals the theoretical foundations of the concept of risk, highlights the issues of risk management of the enterprise. The system of measures of formation of the risk management system of the enterprise is considered. The second section considers the methodological aspects of forming a risk management system. This section contains a description of the tools for forming a risk management system in the enterprise, highlights the organizational structure of the risk management system in the enterprise, describes a system of indicators for assessing the risks of the enterprise. The third section contains proposals for building a risk management algorithm on the example of innovation, recommendations for the implementation of risk management system of innovation in the enterprise. The conclusions contain generalizations of the problems of the enterprise, measures to solve the problems of the enterprise.
Робота присвячена теоретичним та практичним аспектам розкриття сутності формування системи управління ризиками підприємства в умовах ринку. Робота складається з трьох розділів, вступу та висновків. У вступі обґрунтовується актуальність теми, мета і завдання дипломної роботи. У першому розділі розкриті теоретичні основи поняття ризиків, висвітлені питання управління ризиками діяльності підприємства. Розглянуто систему заходів формування системи управління ризиками підприємства. У другому розділі розглянуто методичні аспекти формування системи управління ризиками. У цьому розділі міститься характеристика інструментів формування системи ризик-менеджменту в діяльності підприємства, висвітлені питання організаційної структури системи ризик-менеджменту в діяльності підприємства, описана система показників оцінки ризиків діяльності підприємства. Третій розділ містить пропозиції щодо побудови алгоритму ризик-менеджменту на прикладі здійснення інноваційної діяльності, наведені рекомендації з впровадження системи ризик-менеджменту інноваційної діяльності на підприємстві. У висновках містяться узагальнення проблем підприємства, заходів щодо вирішення проблем діяльності підприємства.
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Сема, І. М. "Enterprise risk management system formation." Thesis, Чернігів, 2020. http://ir.stu.cn.ua/123456789/20042.
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Sema, І. М. Enterprise risk management system formation=Формування конкурентної стратегії розвитку підприємства : дипломна робота : 073 Менеджмент / І. М. Сема ; керівник роботи Дука А. П. ; Національний університет «Чернігівська політехніка», кафедра публічного управління та менеджменту організацій. – Чернігів, 2020. – 76 с.The work is devoted to theoretical and practical aspects of revealing the essence of formation of competitive strategy of enterprise development. The work consists of three sections, introduction and conclusions. The introduction substantiates the relevance of the topic, purpose and objectives of the thesis. The first section reveals the theoretical foundations of the concept of competition, competitiveness. The system of measures of formation is considered. The questions of formation of competitive strategy of the enterprise are covered. In the second section the methodical aspects of formation of competitive strategy for the enterprise are considered. Features of application of competitive advantages according to M. Porter are revealed. Based on the generalization of the agricultural sector in Ukraine, the position of the enterprise is analyzed, the PEST-analysis of the formation of market advantages is carried out. general characteristics of risk management. This section contains a description of the activities of the enterprise, covers issues of economic activity of LLC agro-industrial enterprise "RESSKI". The third section contains proposals for the formation of a competitive strategy for the development of LLC, recommendations for the implementation of a competitive strategy for the company. The conclusions contain generalizations of the problems of the enterprise, measures to solve the problems of the enterprise.
Робота присвячена теоретичним та практичним аспектам розкриття сутності формування конкурентної стратегії розвитку підприємства. Робота складається з трьох розділів, вступу та висновків. У вступі обґрунтовується актуальність теми, мета і завдання дипломної роботи. У першому розділі розкриті теоретичні основи поняття конкуренції, конкурентоспроможності. Розглянуто систему заходів формування висвітлені питання формування конкурентної стратегії підприємства. У другому розділі розглянуто методичні аспекти формування конкурентної стратегії для підприємства Розкриті особливості застосування конкурентних переваг за М. Портером. На основі узагальнення аграрної сфери в Україні, проаналізовано позизії підприємства, здійснено PEST-аналіз формування переваг на ринку. загальної характеристики управління ризиками. У цьому розділі міститься характеристика діяльності підприємства, висвітлені питання особливостей господарської діяльності ТОВ агропромислового підприємства «РЕССКІ». Третій розділ містить пропозиції щодо формування конкурентної стратегії розвитку ТОВ, наведені рекомендації з впровадження конкурентної стратегії для підприємства. У висновках містяться узагальнення проблем підприємства, заходів щодо вирішення проблем діяльності підприємства.
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Rodriguez, Eduardo. "Knowledge management applied to enterprise risk management." Thesis, Aston University, 2010. http://publications.aston.ac.uk/15785/.
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Risk and knowledge are two concepts and components of business management which have so far been studied almost independently. This is especially true where risk management (RM) is conceived mainly in financial terms, as for example, in the financial institutions sector. Financial institutions are affected by internal and external changes with the consequent accommodation to new business models, new regulations and new global competition that includes new big players. These changes induce financial institutions to develop different methodologies for managing risk, such as the enterprise risk management (ERM) approach, in order to adopt a holistic view of risk management and, consequently, to deal with different types of risk, levels of risk appetite, and policies in risk management. However, the methodologies for analysing risk do not explicitly include knowledge management (KM). This research examines the potential relationships between KM and two RM concepts: perceived quality of risk control and perceived value of ERM. To fulfill the objective of identifying how KM concepts can have a positive influence on some RM concepts, a literature review of KM and its processes and RM and its processes was performed. From this literature review eight hypotheses were analysed using a classification into people, process and technology variables. The data for this research was gathered from a survey applied to risk management employees in financial institutions and 121 answers were analysed. The analysis of the data was based on multivariate techniques, more specifically stepwise regression analysis. The results showed that the perceived quality of risk control is significantly associated with the variables: perceived quality of risk knowledge sharing, perceived quality of communication among people, web channel functionality, and risk management information system functionality. However, the relationships of the KM variables to the perceived value of ERM are not identified because of the low performance of the models describing these relationships. The analysis reveals important insights into the potential KM support to RM such as: the better adoption of KM people and technology actions, the better the perceived quality of risk control. Equally, the results suggest that the quality of risk control and the benefits of ERM follow different patterns given that there is no correlation between both concepts and the distinct influence of the KM variables in each concept. The ERM scenario is different from that of risk control because ERM, as an answer to RM failures and adaptation to new regulation in financial institutions, has led organizations to adopt new processes, technologies, and governance models. Thus, the search for factors influencing the perceived value of ERM implementation needs additional analysis because what is improved in RM processes individually is not having the same effect on the perceived value of ERM. Based on these model results and the literature review the basis of the ERKMAS (Enterprise Risk Knowledge Management System) is presented.
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Agarwal, Ruchi. "Implementation of Enterprise Risk Management practices." Thesis, University of Edinburgh, 2017. http://hdl.handle.net/1842/25823.
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The existence of complexity, uncertainty and ambiguity in current business environment promotes corporates need to establish good risk governance. Enterprise Risk Management (ERM) has been considered as a way to achieve good risk governance to deal with both upside (e.g. exploit opportunities) and downside (e.g. reduce insolvency) of risk and uncertainty. ERM holistically treats all risk to achieve organisation objective in normal, volatile and crisis situations. The thesis tackles issues in the implementation of ERM and how it has been adopted and implemented in Indian and UK insurance market. Mixed research methods have been employed from a qualitative stand point to explore the research issues, consisting of two surveys in UK and India, over 50 interviews and two case studies in the Indian and UK insurance markets. The research revealed that there is an ambiguity in the understanding of the definitions of ERM and risk appetite across both countries. Major issues in ERM implementation in Indian insurance market are fraud, under-risk reporting and insufficient resources to develop an appropriate risk culture. In the UK insurance market issues are related to customer complaints, fines/penalties, over-risk reporting and lack of capital efficiency. Regulatory risk seen as a major risk in both market, though, in the Indian market lack of regulation is the issue whereas in the UK insurance market lack of clarity in insurance regulation has been emphasised. From intuitional theory and strategic change perspective, the research presents cross-country comparative case studies highlighting four emerging ERM strategies based on the different state of development and maturity of companies: ‘Rudimentary’, ‘Anticipatory’, ‘Resilient’ and ‘Transformatory’ strategies. The case studies highlight the issues within the two insurance companies both internally and externally in a nascent and a mature market. Before companies can adopt a transformatory strategy, both companies require a fundamental understanding of strategic change that eventually can pave the way to good risk governance. Adopting the cognitive lens of strategic change will not only enhance company specific risk-based capabilities but it will improve industry risk-based capabilities through development of professional competence.
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Reslová, Monika. "Podpora implementace strategie s využitím IS/ICT." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-316936.
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The target of the thesis is to propose an appropriate information system that ensures the implementation of the business strategy for the garden division of the company AGRO CS a.s. Specifically it targets evaluating the use of enterprise information systems and the application of business intelligence according to the information base describing the company's business strategy. The thesis is divided into three parts. The first one is the theoretical part that outlines the methods used for analysing the business strategy and the theory background about business strategy itself. It also contains information system theory. The second part, the analysis part, presents the company and is based on the theoretical part. It also implements methods used for analysing the business strategy and analysing the appropriateness of the use of EIS systems or business intelligence applications. In the last part, the proposal part, an appropriate EIS or BI system is chosen based on consultations, requirements and targets that are the outcome of the previous part.
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Misiura, Anna. "Enterprise risk management in the airline industry : risk management structures and practices." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/11087.
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This thesis expands on the literature in the under-researched field of airline risk management by exploring organisational structures and practices of airline risk management systems and their technical and institutional drivers. In particular, it focuses on the phenomenon of Enterprise Risk Management (ERM) and its alignment to the requirements of airline business contexts. The theoretical framework informing this study combines structural contingency theory with two strands of institutional theory, namely old institutional economics and new institutional sociology. In this thesis, the phenomenon of risk management is investigated in situ as an organisational practice through a two-stage empirical study. Firstly, an exploratory field study was undertaken in a panel of ten international airlines. Secondly, the field study was complemented with findings from two explanatory case studies. This study explains how in developing risk management systems airlines balance the sometimes conflicting technical and institutional demands of their respective task and institutional environments. The adoption and implementation of ERM in airlines are found to be driven primarily by coercive and normative pressures, and expectations of improved organisational effectiveness and efficiency. This study additionally improves general understanding of the nature of ERM and its coupling and fluidity in the organisational settings of airlines. It lends evidence for systematic variations in roles, uses, and organisational design choices of ERM systems. It shows the interdependent nature of airlines’ ERM systems and other management systems. The study also demonstrates that the adoption of ERM in airlines drives development of new institutions, rules, and routines for comprehensive management of risks. Consistent with the tenets of contingency theory, this study conveys lack of a universally appropriate design of an airline ERM system. The main contribution of this thesis is to assess airline risk management systems, identify core drivers of effective risk management practice, and provide a framework with the aim of guiding airlines in the development of enterprise-wide risk management approaches aligned with the requirements of their institutional and technical contexts. Furthermore, this research overcomes the limitations of previous, mostly quantitative studies of ERM coupling and dynamics in organisations, as it explores and explains the structures, practices, and rationales of airline risk management systems within wider organisational contexts through the use of qualitative methodologies.
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Ewers, Robin B. "Enterprise Risk Management in Responsible Financial Reporting." Thesis, Walden University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10637579.
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Despite regulatory guidelines, unreliable financial reporting exists in organizations, creating undue financial risk-harm for their stakeholders. Normal accident theory (NAT) identifies factors in highly complex integrated systems that can have unexpected, undetected, and uncorrected system failures. High-reliability organization (HRO) theory constructs promote reliability in complex, integrated systems prone to NAT factors. Enterprise risk management (ERM) integrates NAT factors and HRO constructs under a holistic framework to achieve organizational goals and mitigate the potential for stakeholder risk-harm. Literature on how HRO constructs promote ERM in responsible integrated financial systems has been limited. The purpose of this qualitative, grounded theory study was to use HRO constructs to identify and define the psychological factors involved in the effective ERM of responsible organizational financial reporting. Standardized, open-ended interviews were used to collect inductive data from a purposeful sample of 13 reporting agents stratifying different positions in organizations that have maintained consistent operational success while attenuating stakeholder risk-harm. The data were interpreted via transcription, and subsequent iterative open, axial, and narrative coding. Results showed that elements of culture and leadership found in the HRO construct of disaster foresightedness and mitigation fostered an internal environment of successful enterprise reporting risk management to ethically achieve organizational goals and abate third-party stakeholder risk-harm. The findings will contribute to positive social change by suggesting an approach for organizations to optimize strategic objectives while minimizing stakeholders’ financial risk-harm.
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Lategan, Neil. "Epirismm: an enterprise information risk management model." Thesis, Nelson Mandela Metropolitan University, 2006. http://hdl.handle.net/10948/541.
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Today, information is considered a commodity and no enterprise can operate without it. Indeed, the information and the supporting technology are pivotal in all enterprises. However, a major problem being experienced in the business environment is that enterprise risk cannot be managed effectively because business and information-related risk are not congruently aligned with risk management terminology and practices. The business environment and information technology are bound together by information. For this reason, it is imperative that risk management is synergised in the business, ICT (Information and Communication Technology) and information environments. A thorough, all inclusive, risk analysis exercise needs to be conducted in business and supporting environments in order to develop an effective internal control system. Such an internal control system should reduce the exposure of risk and aid the safeguarding of assets. Indeed, in today’s so-called information age, where business processes integrate the business and ICT environments, it is imperative that a unary internal control system be established, based on a holistic risk management exercise. To ensure that the enterprise, information and ICT environments operate free of the risks that threaten them, the risks should be properly governed. A model, EPiRISMM (Enterprise Information Risk Management Model) is proposed that offers to combine risk management practices from an ICT, information, governance, and enterprise perspective because there are so many overlapping aspects inherent in them. EPiRISMM combines various well-known standards and frameworks into one coherent model. By employing EPiRISMM, an enterprise will be able to eliminate the traditional segmented approach of the ICT department and thus eliminate any previous discontinuity in risk management practices.
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Hays, Douglas C. "Enterprise risk management solutions a case study /." Monterey, Calif. : Naval Postgraduate School, 2008. http://handle.dtic.mil/100.2/ADA483512.
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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2008."Advisor(s): San Miguel, Joseph ; Summers, Don. "June 2008." "MBA professional report"--Cover. Description based on title screen as viewed on August 8, 2008. Includes bibliographical references (p. 41). Also available in print.
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Benjamin, Nicolas James. "A systematic approach to enterprise risk management." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96939.
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Thesis (MEng)--Stellenbosch University, 2015.ENGLISH ABSTRACT: In the current economic climate where credit crises, fluctuating commodity prices, poor governance, rising unemployment and declining consumer spending exist, risk management is of utmost importance. Proclaiming the existence of a risk management strategy is not enough to ensure that an enterprise achieves its objectives. The implementation of a holistic enterprise-wide risk management framework is required in order to execute strategies and achieve objectives effectively and efficiently Two types of risk management have emerged in industry, namely quantitative and qualitative risk management. On the one hand, qualitative analysis of risk can be done quickly and with minimal effort. However, these methods rely on the opinion of an individual or group of individuals to analyse the risks. The process may be highly subjective and does not fully consider the characteristics of the enterprise. This renders qualitative risk analysis as an ineffective singular strategy although it has been shown to be effective when the risks are well understood. Quantitative analysis, on the other hand, is particularly effective when the risks are not well understood. These methods have been shown to provide substantially more information regarding risks compared to qualitative analysis. However, many quantitative risk management methods presented in literature are studied in isolation and not within the context of a holistic risk management process. Furthermore, quantitative methods tend to be complex in nature and require a reasonable understanding of mathematical and statistical concepts in order to be used effectively. In view of this, there is a need for an enterprise risk management framework that emphasises the use of qualitative methods when the risks are well understood and quantitative methods when in-depth analyses of the risks are required. In this study, a systematic enterprise-wide risk management framework that incorporates both quantitative and qualitative methods was developed. The framework integrates these methods in a logical and holistic manner. The quantitative methods were found be to be largely practical while the qualitative methods presented are simple and easy to understand.
AFRIKAANSE OPSOMMING: In die huidige ekonomiese klimaat waar krediet krisisse, wisselende kommoditeitspryse, swak bestuur, stygende werkloosheid en dalende verbruikersbesteding bestaan, is risikobestuur van die uiterste belang. Die verkondiging van die bestaan van 'n risiko bestuurstrategie is nie genoeg om te verseker dat 'n onderneming sy doelwitte bereik nie. Die implementering van 'n holistiese ondernemings- breë risikobestuursraamwerk is nodig om strategieë en doelwitte doeltreffend en effektief te bereik. Twee tipe risikobestuur het na vore gekom in die bedryf, naamlik kwantitatiewe en kwalitatiewe risikobestuur. Aan die een kant , kan kwalitatiewe ontleding van risiko vinnig en met minimale inspanning gedoen word. Hierdie metode is gewoontlik die mening van 'n individu of 'n groep individue wat die risiko ontleed. Die proses kan hoogs subjektief wees en nie ten volle die eienskappe van die onderneming in ag neem nie. Kwalitatiewe risiko-analise kan dan gesien word as 'n ondoeltreffende enkelvoud strategie maar dit is wel doeltreffend wanneer daar verstaan word wat die onderneming se risiko is. Kwantitatiewe analise, aan die ander kant, is veral effektief wanneer die risiko's nie goed verstaanbaar is nie. Hierdie metode het getoon dat daar aansienlik meer inligting oor die risiko's, in vergelyking met kwalitatiewe ontleding, verskaf word. Daar is egter baie kwantitatiewe risikobestuur metodes wat in literatuur verskaf word, wat in isolasie bestudeer word en nie binne die konteks van 'n holistiese risikobestuur proses nie. Verder is, kwantitatiewe metodes geneig om kompleks van aard te wees en vereis 'n redelike begrip van wiskundige en statistiese konsepte sodat kwantitatiewe analise effektief kan wees. In lig hiervan, is daar 'n sterk behoefte vir 'n onderneming om 'n risikobestuursraamwerk in plek te het. Die risikobestuursraamwerk sal beide die gebruik van kwalitatiewe metodes, wanneer die risiko goed verstaan word, en kwantitatiewe metodes, wanneer daar in diepte-ontledings van die risiko is, beklemtoon. In hierdie studie was 'n sistematiese onderneming-breë risikobestuursraamwerk ontwikkel wat beide kwantitatiewe en kwalitatiewe metodes insluit. Die raamwerk integreer hierdie metodes in 'n logiese en holistiese wyse. Die kwantitatiewe metodes is gevind om grootliks prakties te wees, terwyl die kwalitatiewe metodes wat aangebied word, eenvoudig en maklik is om te verstaan.
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Wyma, Kaleb Matthew. "Enterprise Risk Management Strategies for Organizational Sustainability." ScholarWorks, 2019. https://scholarworks.waldenu.edu/dissertations/7777.
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The purpose of this single case study was to explore enterprise risk management strategies that nonprofit business leaders used to maintain and improve organizational sustainability. The study population included 3 executive leaders from a rehabilitation and social services nonprofit agency located in the northeastern United States. The Committee of Sponsoring Organizations integrated enterprise risk management framework was the conceptual lens used in this study. Data were collected through semistructured interviews with the 3 executive leaders of the client organization and review of internal, external, and publicly available documents. Data and information from documents and interviews were manually coded. Findings were validated through data triangulation and member checking to help ensure accuracy, consistency, and credibility. Several overarching themes emerged from data analysis related to managing risk for sustainability: a commitment to culture and the mission, vision and values; operational efficiencies to build a financially strong organization; engagement of executive staff and board members; and addressing staffing needs for ongoing operations to meet client needs. Findings from this study might contribute to positive social change by providing nonprofit leaders with enterprise risk management strategies and processes to maintain and improve organizational performance, thereby helping to ensure leaders’ ability to serve and improve their communities.
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Amien, Ishtiaq. "Learning from risk : facilitating organisational learning through enterprise risk management." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86517.
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Thesis (MPhil)--Stellenbosch University, 2014.ENGLISH ABSTRACT: Modern business environments are characterized by rapid changes and organizations that are able to survive and to thrive in such environments must be able to adapt and respond to this environmental change. Risk management is an activity that strives to continuously evaluate and deal with changes to the environment. Organisational learning is the capability of organizations to evaluate stimuli from the environment, to interpret the signals and to learn. Organisational learning can thus be seen as the capability to adapt to environmental change. First the thesis considers the concepts of risk and risk management by looking at its historical development as a discipline. The concept is situated in a broader societal perspective of the risk society in which the individual is expected to carry a much greater burden of risk, where self-criticism is an inherent feature of life and risk management is essential for everyone. Current risk management practice has seen the establishment of enterprise-wide risk management as an extension of traditional risk management practice, which seeks to manage all the risks facing the organization, but also to manage it in an integrated manner. Increased regulation and policies, as a result of organizational failures such as Enron, has called for organizations to better manage risk in order to establish more resilient organizations and to protect shareholder value in an increasingly turbulent business environment. As a result we see development of enterprise risk management frameworks and standards. Most of these standards and frameworks recommend similar risk management activities, such as objective and context setting; risk assessment (risk identification, analysis and evaluation); risk treatment or response determination; and risk communication, monitoring and reporting. Next the thesis considers some of the defining features of organizational learning, such as the differences between organizational learning and learning organizations, the individual and organizational perspective on learning, and the role of the individual in organizational learning. Selected organizational learning models are described that focus on scanning, interpreting and learning, and the aspects that have an impact on organizational learning, including organizational memory and mental models, organizational culture, uncertainty and ambiguity, single and double loop learning, and tacit and explicit knowledge. Lastly the thesis identifies points of convergence in theory and practice between enterprise risk management and organizational learning. It is shown that principles and processes governing enterprise risk management activities and techniques can be utilized as management activities to formalise and support organizational learning.
AFRIKAANSE OPSOMMING: Die moderne besigheidsomgewing word deur vinnige veranderinge gekenmerk en organisasies wat in staat is om te oorleef in sulke omgewings moet noodwendig op omgewingsverandering kan reageer en aanpas. Risiko-bestuur is 'n aktiwiteit wat probeer om veranderinge in die omgewing deurlopend te monitor en daarop te reageer. Organisatoriese leer is die vermoë van organisasies om stimuli uit die omgewing te kan opmerk, evalueer en interpreteer ten einde te leer. Organisatoriese leer kan dus gesien word as die vermoë om by omgewingsverandering aan te pas. Die tesis oorweeg ten eerste die konsepte van risiko en risiko-bestuur deur na die historiese ontwikkeling van die dissipline te kyk. Die konsep word gesitueer in 'n breër samelewingsperspektief, naamlik die risiko samelewing wat gekenmerk word deur 'n groter risiko las vir individue, waar self-kritiek 'n inherente kenmerk van die lewe is en risikobestuur vir almal relevant word. Huidige risiko-bestuurspraktyk sluit die vestiging van ondernemingswye risiko-bestuur as 'n verlengde van tradisionele risiko-bestuur, wat poog om alle risikos waaraan 'n onderneming blootgestel is op 'n geïntegreerde manier te bestuur. Toenemende regulasie en strenger beleid, as 'n gevolg van organisatoriese skandale soos Enron, vra van organisasies om risiko beter te bestuur en sodoende meer volhoubare organisasies te bewerkstelling en aandeelhouers se waarde te beskerm in turbulente besigheidsomgewings. Die resultaat was die ontwikkeling van ondernemingsrisiko-bestuur raamwerke en standaarde. Die meeste van hierdie raamwerke en standaarde stel soortgelyke risiko-bestuursaktiwiteite voor, soos doel- en kontekstelling, risiko identifikasie, -analise, en –evaluasie, risiko behandeling of responsbepaling, en risiko kommunikasie, -monitering, en –verslagdoening. Die tesis oorweeg van die uitstaande kenmerke van organisatoriese leer, soos die verskil tussen organisatoriese leer en die lerende organisasie, die individuele en organisatoriese perspektiewe op leer, en die rol van die individu in organisatoriese leer. Geselekteerde organisatoriese leer modelle word beskryf wat fokus op skandering, interpretasie en leer, en die aspekte wat impak het op organisatoriese leer, insluitend organisatoriese geheue en wêreldbeelde, organisasie kultuur, onsekerheid en dubbelsinnigheid, enkel- en dubbellusleer , en versweë en eksplisiete kennis. Laastens word sameloopspunte in die teorie en praktyk tussen ondernemingsrisiko-bestuur en organisatoriese leer geïdentifiseer. Daar word getoon hoe beginsels en prosesse wat ondernemingsrisiko-bestuur se aktiwiteite en tegnieke onderlê, ook gebruik kan word as bestuurspraktyke om organisatoriese leer te formaliseer en te ondersteun.
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Pillay, Levina. "Risk practitioner experiences of enterprise risk management in financial institutions." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52296.
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The ability of financial institutions to strengthen enterprise risk management following the global financial crisis has been challenging. The uncertainties of the external environmental within which these organisations operate and the complexity and speed of internal operations required to respond have continued to evolve. As a result, focus on the discipline of enterprise risk management has emerged, within academia and industry, to determine the broader risk implications to which financial institutions are exposed.
A qualitative study was undertaken with 16 risk practitioners engaged in daily risk management activities within financial institutions. The purpose of this research was to explore their experiences of enterprise risk management. This research intended to obtain a view of their involvement in various key components of the discipline, and to determine the challenges experienced with respect to effective management of enterprise risk, according to perception.
The results of the study identified a need for key components of enterprise risk management within financial institutions to be more effective in terms of; framework adoption, risk committee oversight, chief risk officer capabilities, and risk practitioner and business stakeholder education and coordination of risk.
The main findings identified the need for an evolved enterprise risk management model that acknowledged these key components and which were incorporated into an existing model. The results of this research provided additional insight to enhance the development of the enterprise risk management discipline within financial institutions.Mini Dissertation (MBA)--University of Pretoria, 2015.
vn2016
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
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Sithipolvanichgul, Juthamon. "Enterprise risk management and firm performance : developing risk management measurement in accounting practice." Thesis, University of Edinburgh, 2016. http://hdl.handle.net/1842/20949.
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The current extremely volatile business world requires firms to deal with a wide range of risks that pose threats to their organisations. The poor practices of risk management, based on Traditional Risk Management (TRM), was cited time and time again in the aftermath of the recent Global Crisis. Enterprise Risk Management (ERM) has been advocated as a solution to the problems of TRM. The aim is to centralise the management of risk within the organisation and ensure that the board deals with the risk. Hence strategic, external, internal, operational, compliance and reputational risk are dealt with jointly. In doing so, it is expected that ERM will bring value creation to firms. One of the main limitations facing researchers is the lack of a good standardised measurement of ERM implementation; therefore, it has not been possible to establish whether ERM does actually bring benefit to firms. In addition, many companies have set up ERM initiatives, but they lack a clear understanding of the factors that will lead to successful ERM implementation. The remaining unanswered problematic situation has led to two unanswered questions that will determine whether the solution to ERM implementation is avoiding potential pitfalls and improving business sustainability. Firstly, does ERM implementation have an impact on firm performance? And secondly, which is the firm-specific characteristic that leads to better ERM implementation level? This thesis answers the aforementioned questions by proposing a reliable ERM measurement method, and then testing whether firms that adopt ERM actually improve financial performance and determine the influential factor of ERM implementation. The proposed method for measuring ERM implementation is based on the components developed from the current ERM frameworks, where contribution scoring can be standardised to measure ERM implementation level. To demonstrate its viability, data was collected from publicly listed firms in Thailand and was then compared to three alternative methodologies: cluster analysis (CA), principal component analysis (PCA) and partial least squares (PLS). The results show that the proposed method did well compared to the alternatives, both statistically and in prediction performance. The relationship between the proposed ERM measurement and firm performance is then considered by taking appropriate control variables into account, such as the firm’s size and characteristics, industry effects, sales growth and the external environment: technology, market uncertainty, as well as economic factors. By using data from the Thailand Stock Exchange, it was found that implementing ERM could improve firm performance in term of Tobin's Q, ROE and ROA. The results show that ERM and firm performance are related. For the influential factor of ERM implementation, the empirical results show that a firm’s size and economic factors have a statistically positive relationship with a high level of ERM implementation, while lower ERM scores show more revenue volatility than those who have well-implemented ERMs. Furthermore, technology and growth are positively related to each ERM in the scoring system considered.
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Novák, Martin. "Value at Risk models for Energy Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-71889.
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The main focus of this thesis lies on description of Risk Management in context of Energy Trading. The paper will predominantly discuss Value at Risk and its modifications as a main overall indicator of Energy Risk.
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Bach, Štěpán. "Standardy v oblasti Enterprise Risk Managementu." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3662.
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Faktory, jako například rostoucí globalizace, technologický vývoj, Internet a zvyšující se nároky vlastníků na vedení organizací v oblasti řízení rizik, vedly organizace ke změně jejich přístupu k řízení rizik. Nový přístup se označuje jako ?Enterprise Risk Management? (ERM). Podstatou ERM je efektivně řídit všechna rizika, kterým organizace čelí, a to na všech úrovních organizace jednotným a integrovaným způsobem. Práce charakterizuje ERM včetně důvodů vzniku, vývoje, definice obecného ERM procesu, současné situace a trendů. Podrobně jsou popsány vybrané čtyři nejvýznamnější standardy a rámcové publikace v oblasti ERM včetně jejich srovnání.
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Malik, Muhammad Farhan. "Enterprise risk management and firm performance: Role of the risk committee." Thesis, Queensland University of Technology, 2017. https://eprints.qut.edu.au/110348/1/Muhammad%20Farhan_Malik_Thesis.pdf.
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This thesis examines the impact of enterprise risk management (ERM) on firm performance. It also seeks to investigate whether this relationship is strengthened or weakened by the structure and composition of the risk committee. The sample comprises of 260 firm-year observations from FTSE-350 companies in the UK that have implemented ERM processes and established board-level risk committees during the study period from 2012 to 2015. The results show that ERM significantly and positively affects firm performance. Further, the number of financial experts and female members in the risk committee strongly strengthen this relationship. However, risk committee size, meetings, and independence weaken the impact of ERM on firm performance.
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Tseng, Chih-Yang. "Internal control, enterprise risk management, and firm performance." College Park, Md. : University of Maryland, 2007. http://hdl.handle.net/1903/7287.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2007.Thesis research directed by: Business and Management: Accounting & Information Assurance. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Hager, Peter. "Corporate Risk Management : Cash Flow at Risk und Value at Risk /." Frankfurt am Main : Bankakademie-Verl, 2004. http://www.gbv.de/dms/zbw/378196367.pdf.
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Melinder, Daniel, and Mia Jervelius. "Att verka inom ramarna : riskhanteringsramverk samt Enterprise Risk Management." Thesis, Uppsala University, Department of Business Studies, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8004.
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Den omgivning organisationer idag ställs inför blir alltmer krävande. En allt hårdare reglering, hot från nya teknologier, samt de företagsskandaler som härjat i media, har lett till att dagens organisationer ser på risk på ett nytt sätt. En utveckling som nyligen skett inom riskhantering är Enterprise Risk Management (ERM). Denna uppsats undersöker den roll ERM, och i synnerhet ett nyutvecklat ramverk som används för att implementera ERM, har i en organisations riskarbete. Ramverket, COSO:s ERM, består av åtta kontrollpunkter som enligt ramverket bör finnas i en organisation som utför sitt ERM-arbete på ett korrekt sätt.
Studiens syfte är att undersöka likheter och olikheter mellan en organisations riskarbete och COSO:s riskhanteringsramverk samt den teoribildning som skapats kring Enterprise Risk Management. En fallorganisation studerades med hjälp av intervjuer och analyseras efter förekomsten av ramverkets kontrollpunkter samt ERM-teori.
Författarna fann att ramverkets alla kontrollpunkter till viss mån kunde utläsas i fallorganisationens riskarbete, men inte fullt ut. Under varje punkt kunde element utläsas som var i likhet med ramverket, men även element där fallorganisationen arbetade annorlunda. De största olikheterna mot ramverket var att en integrering mellan riskaptit och strategisättning inte kunde utläsas, att fallorganisationen inte använde sig av ramverkets fyra målområden samt att kommunikationen av risk inte förmedlades ut i organisationen.
Förutom de olikheter som uppmärksammats anser författarna att fallorganisationen till stor del skapat ett riskarbete präglat av ERM. En implementering av COSO-ramverket skulle inte nödvändigtvis resultera i bättre riskhanteringsrutiner, men skulle däremot kunna bidra till en tydligare struktur i arbetet.
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Павленко, O. M. "Formation of a risk management system at the enterprise." Thesis, Чернігів, 2020. http://ir.stu.cn.ua/123456789/20039.
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Pavlenko, O. M. Formation of a risk management system at the enterprise=Формування системи управління ризиками на підприємстві : дипломна робота : 073 Менеджмент / О. М. Павленко ; керівник роботи Філіпова Н. В. ; Національний університет «Чернігівська політехніка», кафедра публічного управління та менеджменту організацій. – Чернігів, 2020. – 52 с.The purpose of the final qualification work is to investigate and improve the risk management system at PE "Night Express" Achieving the goal necessitated the solution of the following tasks: - to analyze the essence of risk as an economic category and its role in the management process; - consider the procedure for making management decisions in terms of risk, identify factors that affect the risk of management decisions; - analyze methods for determining the degree of risk when making management decisions; - to develop an economic and mathematical model for risk assessment and identification of opportunities for its minimization, which can actually be used in the process of making management decisions in modern trucking companies; - to consider the means of influencing the risk and methods of reducing it in accordance with the financial condition of the enterprise in modern business conditions, to improve the gradation of areas of financial stability; The object of research is the activity of PE "Night Express". The subject of research is the activity of PE "Night Express" and risk management system. To study the effectiveness of risk management, factual data from the activities of PE "Night Express" were used. The information base of the study was also scientific articles in the field of management and development of the enterprise, press materials, electronic Internet sources, internal documents, regulations and basic information about the enterprise, financial and statistical reporting, as well as the results of own research. The method of generalization, structural-logical analysis, method of comparison and integration, methods of expert evaluation, survey and method of analysis of non-quantitative indicators are used in the work; analytical graphic method. Information was collected using the method of observation, survey and analysis.
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Uwizeye, Patrick Bugabo. "Enterprise-wide risk management (EWRM) : identification, analysis and management of implementation barriers within an African telecommunications enterprise." Thesis, Heriot-Watt University, 2013. http://hdl.handle.net/10399/2628.
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This research study investigated the implementation barriers associated with the introduction of EWRM within an African telecommunications enterprise. Six research questions were developed from the literature which provided a focus for data collection. Based on MTN Group, a single case study method was adopted. Three sub-cases of MTN companies formed the main data sources. In-depth interviews were conducted with senior and middle level management of each sub-case. The research design was based on the established procedures and quality controls associated with qualitative case study method within a critical realism paradigm. Analysis was based primarily on in-case and intra-case analyzes and pattern matching for the purpose of analytic generalization about the research questions. The study concluded that to overcome the implementation barriers people need a platform where they can share knowledge and be rewarded for knowledge transfer, additionally key performance indicators (KPI’s) linked to knowledge transfer and sharing must also be created and utilized. Ultimately, this study has contributed to EWRM implementation strategies for MTN and the creation of associated KPI metrics; both the researcher and MTN consider the research and its outcomes to have been advantageous. More generally the research has also contributed to the wider risk management debate, shedding light on barriers to implementation and suggesting holistic strategies that should embed EWRM more effectively and efficiently.
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Ganief, Moegamad Shahiem. "Development of value at risk measures : towards an extreme value approach." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52189.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: Commercial banks, investment banks, insurance companies, non-financial firms, and pension funds hold portfolios of assets that may include stocks, bonds, currencies, and derivatives. Each institution needs to quantify the amount of risk its portfolio is exposed to in the course of a day, week, month, or year. Extreme events in financial markets, such as the stock market crash of October 1987, are central issues in finance and particularly in risk management and financial regulation. A method called value at risk (VaR) can be used to estimate market risk. Value at risk is a powerful measure of risk that is gaining wide acceptance amongst institutions for the management of market risk. Value at Risk is an estimate of the largest lost that a portfolio is likely to suffer during all but truly exceptional periods. More precisely, the VaR is the maximum loss that an institution can be confident it would lose a certain fraction of the time over a particular period. The power of the concept is its generality. VaR measures are applicable to entire portfolios - encompassing many asset categories and multiple sources of risk. As with its power, the challenge of calculating VaR also stems from its generality. In order to measure risk in a portfolio using VaR, some means must be found for determining a return distribution for the portfolio. There exists a wide range of literature on different methods of implementing VaR. But, when one attempts to apply the results, several questions remain open. For example, given a VaR measure, how can the risk manager test that the particular measure at hand is appropriately specified? And secondly, given two different VaR measures, how can the risk manager pick the best measure? Despite the popularity of VaR for measuring market risk, no consensus has yet been reach as to the best method to implement this risk measure. The absence of consensus is in part derived from the realization that each method currently in use has some significant drawbacks. The aim of this project is threefold: to introduce the reader to the concept of VaR; present the theoretical basis for the general approaches to VaR computations; and to introduce and apply Extreme Value Theory to VaR calculations. The general approaches to VaR computation falls into three categories, namely, Analytic (Parametric) Approach, Historical Simulation Approach, and Monte Carlo Simulation Approach. Each of these approaches has its strengths and weaknesses, which will study more closely. The extreme value approach to VaR calculation is a relatively new approach. Since most observed returns are central ones, traditional VaR methods tend to ignore extreme events and focus on risk measures that accommodate the whole empirical distribution of central returns. The danger of this approach is that these models are prone to fail just when they are needed most - in large market moves, when institutions can suffer very large losses. The extreme value approach is a tool that attempts to provide the user with the best possible estimate of the tail area of the distribution. Even in the absence of useful historical data, extreme value theory provides guidance on the kind of distribution that should be selected so that extreme risks are handled conservatively. As an illustration, the extreme value method will be applied to a foreign exchange futures contract. The validity of EVT to VaR calculations will be tested by examining the data of the Rand/Dollar One Year Futures Contracts. An extended worked example will be provided wherein which attempts to highlight the considerable strengths of the methods as well as the pitfalls and limitations. These results will be compared to VaR measures calculated using a GARCH(l,l) model.
AFRIKAANSE OPSOMMING: Handelsbanke, aksepbanke, assuransiemaatskappye, nie-finansiële instellings en pensioenfondse beskik oor portefeuljes van finansiële bates soos aandele, effekte, geldeenhede en afgeleides. Elke instelling moet die omvang kan bepaal van die risiko waaraan die portefeulje blootgestel is in die loop van 'n dag, week, maand of jaar. Uitsonderlike gebeure op finansiële markte, soos die ineenstorting van die aandelemark in Oktober 1987, is van besondere belang vir finansies en veral vir risikobestuur en finansiële regulering. 'n Metode wat genoem word Waarde op Risiko (WoR), kan gebruik word om markverliese te meet. WoR is 'n kragtige maatstaf vir risiko en word deur vele instellings gebruik vir die bestuur van mark-risiko. Waarde op Risiko is 'n raming van die grootste verlies wat 'n portefeulje moontlik kan ly gedurende enige tydperk, met uitsluiting van werklik uitsonderlike tydperke. Van nader beskou, is WoR die maksimum verlies wat 'n instelling kan verwag om gedurende 'n sekere tydperk binne 'n bepaalde periode te ly. Die waarde van die konsep lê in die algemene aard daarvan. WoR metings is van toepassing op portefeuljes in dié geheel en dit omvat baie kategorieë bates en veelvuldige bronne van risiko. Soos met die waarde van die konsep, hou die uitdaging om WoR te bereken ook verband met die algemene aard van die konsep. Ten einde die risiko te bepaal in 'n portefeulje waar WoR gebruik word, moet metodes gevind word waarvolgens 'n opbrengsverdeling vir die portefeulje vasgestel kan word. Daar bestaan 'n groot verskeidenheid literatuur oor die verskillende metodes om WoR te implementeer. Wanneer dit egter kom by die toepassing van die resultate, bly verskeie vrae onbeantwoord. Byvoorbeeld, hoe kan die risikobestuurder aan die hand van 'n gegewe WoR-maatstaf toets of die spesifieke maatstaf reg gespesifiseer is? Tweedens, hoe kan die risikobestuurder die beste maatstaf kies in die geval van twee verskillende WoR-maatstawwe? Ondanks die feit dat WoR algemeen gebruik word vir die meting van markrisiko, is daar nog nie konsensus bereik oor die beste metode om hierdie benadering tot risikometing te implementeer nie. Die feit dat daar nie konsensus bestaan nie, kan deels daaraan toegeskryf word dat elkeen van die metodes wat tans gebruik word, ernstige leemtes het. Die doel van hierdie projek is om die konsep WoR bekend te stel, om die teoretiese grondslag te lê vir die algemene benadering tot die berekening van WoR en om die Ekstreme Waarde-teorie bekend te stel en toe te pas op WoR-berekenings. Die algemene benadering tot die berekening van WoR word in drie kategorieë verdeel naamlik die Analitiese (Parametriese) benadering, die Historiese simulasiebenadering en die Monte Carlo-simulasiebenadering. Elkeen van die benaderings het sterk- en swakpunte wat van nader ondersoek sal word. Die Ekstreme Waarde-benadering tot WoR is 'n relatief nuwe benadering. Aangesien die meeste opbrengste middelwaarde-gesentreer is, is tradisionele WoR-metodes geneig om uitsonderlike gebeure buite rekening te laat en te fokus op risiko-maatstawwe wat die hele empiriese verdeling van middelwaarde-gesentreerde opbrengste akkommodeer. Die gevaar bestaan dan dat hierdie modelle geneig is om te faal juis wanneer dit die meeste benodig word, byvoorbeeld in die geval van groot markverskuiwings waartydens organisasies baie groot verliese kan ly. Daar word beoog om met behulp van die Ekstreme Waarde-benadering aan die gebruiker die beste moontlike skatting van die stert-area van die verdeling te gee. Selfs in die afwesigheid van bruikbare historiese data verskaf die Ekstreme Waarde-teorie riglyne ten opsigte van die aard van die verdeling wat gekies moet word, sodat uiterste risiko's versigtig hanteer kan word. Ten einde hierdie metode te illustreer, word dit in hierdie studie toegepas op 'n termynkontrak ten opsigte van buitelandse wisselkoerse. Die geldigheid van die Ekstreme Waarde-teorie ten opsigte van WoR berekenings word getoets deur die data van die Rand/Dollar Eenjaartermynkontrak te bestudeer. 'n Volledig uitgewerkte voorbeeld word verskaf waarin die slaggate en beperkings asook die talle sterkpunte van die model uitgewys word. Hierdie resultate sal vergelyk word met 'n WoR-meting wat bereken is met die GARCH (1,1) model.
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Захаркін, Олексій Олександрович, Алексей Александрович Захаркин, Oleksii Oleksandrovych Zakharkin, V. Novikov, and D. Yemelianov. "Comparative analysis of the concepts of value oriented enterprise management." Thesis, Sumy State University, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81034.
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Проведено порівняльний аналіз концепцій варгісно-орієнтованого управління підприємством в сучасних економічних умовахПроведен сравнительный анализ концепций варгисно-ориентированного управления предприятием в современных экономических условиях
The comparative analysis of concepts of varnish-oriented management of the enterprise in modern economic conditions is carried out
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Wickramasinghe, Jayantha. "The value relevance of enterprise resource planning information /." Gold Coast, Qld. : Bond University, 2007. http://epublications.bond.edu.au/theses/wickramasinghe.
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Thesis (Ph. D.)--Bond University, 2007."Submitted in total fulfillment of the requirements of the degree of Doctor of Philosophy." Includes bibliographical references (leaves 145-159). Also available via the World Wide web.
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Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.
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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value at Risk (CVaR) measures extreme risk, and is gaining popularity with the recognition that high losses are often impacted by a small number of extreme events.
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Kucuk, Yilmaz Ayse. "Airport enterprise risk management model a study on airport business management and airline management." Saarbrücken VDM Verlag Dr. Müller, 2007. http://d-nb.info/988015919/04.
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Ansaripoor, Amir Hossein. "Risk management in sustainable fleet replacement using conditional value at risk." Thesis, Cergy-Pontoise, Ecole supérieure des sciences économiques et commerciales, 2014. http://www.theses.fr/2014ESEC0006.
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L’objet de cette thèse est d’analyser comment traiter le problème de renouvellement du parc en tenant compte de la durabilité, tout en se plaçant dans une perspective de gestion du risque. Cette thèse apporte une double contribution, au niveau de la politique de gestion du parc et à celui de la méthode utilisée pour appliquer cette politique. Au niveau de la politique, elle étudie l’effet de l’adoption de nouveaux véhicules, disposant d’une technologie de pointe, sur le risque et le coût escompté du système de gestion du parc. Au niveau méthodologique, cette thèse apporte trois contributions. Tout d’abord, elle comporte une étude de la nouvelle formulation du problème du parc en utilisant une programmation stochastique à deux étapes et à multiples étapes et une valeur à risque conditionnelle (CVaR), prenant ainsi en considération l’incertitude dans le processus de décision. En outre, elle élabore une formulation récursive de la CVaR, qui tient compte de la cohérence dans le temps, et elle examine ses propriétés de convergence, dans un cadre dynamique. Enfin, la thèse modélise l’impact sur le profit et le risque de l’utilisation des contrats à option sur le problème de remplacement du parcThe purpose of this thesis is to conduct an analysis of how the fleet replacement problem can be addressed from both sustainability and risk management perspectives, simultaneously. The contribution of this thesis has two components, in fleet management policy and in the method used to apply it. At a policy level, this thesis addresses the effect of adoption of new technological advanced vehicles on the risk and expected cost of the fleet management system. At a methodological level, this thesis presents three contributions: First, it studies the new formulation of the fleet problem by using a two stage and a multi stage stochastic programming and conditional value at risk (CVaR), which accounts for the uncertainty in the decision process. Second, it models a recursive formulation of CVaR, which takes into account the time consistency, and studies its convergence properties, in a dynamic setting. Third, it models the impact on profit and risk from using option contracts on the fleet replacement problem
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Leece, Ryan Don. "Enterprise Risk Management, Earnings Predictability and the Cost of Debt." Diss., Virginia Tech, 2012. http://hdl.handle.net/10919/37506.
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The extant academic literature considers enterprise risk management (ERM) to be the fundamental paradigm for managing the portfolio of risks confronting organizations. However, there is debate as to whether ERM actually enhances stakeholder value. This study investigates whether ERM is associated with increased earnings predictability and a lower risk of firm failure, two theoretical predications regarding ERMâ s impact on stakeholder value.
My research utilizes the Security and Exchange Commissionâ s (SEC) enhanced proxy statement disclosures as of February 28th, 2010 to measure ERM performance. Additionally, in order to quantify the operational construct, textual analysis is performed to develop a measure of ERM performance to be used in econometric analyses.
The analyses presented in this paper investigate whether key predicted benefits of ERM are observable. Results support the proposition that ERM is associated with increased earnings predictability. Specifically, earnings and accruals are found to be more persistent for firms with better ERM performance. Additionally, analystsâ earnings forecasts are more accurate in the presence of enhanced ERM performance. Results are inconclusive with regards to ERMâ s ability to influence the risk of firm failure during this studyâ s sample period (i.e., 2007-2009). One explanation for this departure, the economic volatility during the financial crisis of 2008-2009, may make it difficult to empirically detect the relationship between ERM performance and the risk of firm failure.Ph. D.
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Hügli, Martin. "Cash Value at-Risk Implications for Portfolio Management /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01651066002/$FILE/01651066002.pdf.
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List, Hans-Fredo. "Limited risk arbitrage investment management." Thesis, Imperial College London, 1996. http://hdl.handle.net/10044/1/8651.
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Parrondo, Tort Luz. "Relationship between earnings management and corporate strategies: social responsibility and enterprise risk management." Doctoral thesis, Universitat Pompeu Fabra, 2016. http://hdl.handle.net/10803/385916.
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This thesis revolves around financial transparency and its relationship with social transparency (CSR disclosure) and risk management at the managerial level. The first chapter identifies regulatory (10K) reports as the preferred disclosing channel for “social-transparent” companies (social-disclosing firms which are “high” in social activities) while “social-labeled” companies (social-disclosing firms which are “low” in social activities) choose to initiate disclosure in voluntary standalone CSR reports. The second chapter uses this identification strategy to examine whether “social-transparent” companies are also financially transparent. I find that “social-labeled” firms decrease the quality of financial information in the first period after first issuance of a CSR voluntary report. Contrarily, “social-transparent” firms increase the quality of their financial reporting after initiation of CSR disclosure on the 10K, suggesting equal financial and social transparent behavior. In the last chapter, I show how the implementation of an Enterprise Risk Management Committee (ERMC) has a negative impact transaction-based earnings management but not clear impact on accrual based earnings management.Esta tesis gira en torno a la transparencia financiera y su relación con la transparencia social (RSC) y con la gestión de riesgos a nivel gerencial. En el primer capítulo identifico las cuentas anuales (10K) como el canal de divulgación seleccionado por las empresas "socio-transparentes" (empresas divulgadoras con altos niveles previos de actividad social), mientras que las empresas "socio-etiquetadas" (empresas divulgadoras con bajos niveles previos de actividad social) optan por emitir esta información en informes voluntarios no oficiales. En el segundo capítulo se utiliza esta estrategia de identificación para examinar si las empresas socialmente transparentes son también empresas transparentes en su comunicación financiera. Los resultados sugieren que las empresas "socio-etiquetadas” incrementan la discrecionalidad contable durante el periodo inmediatamente posterior a la emisión de un informe de RSC voluntario. Por el contrario, las empresas "socio-transparentes" incrementan su calidad financiera tras iniciar la comunicación de su actividad social en las cuentas anuales, mostrando igual intención de ser transparentes tanto social como financieramente. En el último capítulo se muestra cómo la implementación de un Comité de Gestión de Riesgo Empresarial (ERMC) reduce la discrecionalidad la manipulación contable realizada a través de transacciones, pero no muestra evidencia de impacto sobre la manipulación realizada a nivel contable.
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Parrondo, Tort Luz. "Relationship between earnings management and corporate atrategies: social responsibility and enterprise risk management." Doctoral thesis, Universitat Pompeu Fabra, 2016. http://hdl.handle.net/10803/385916.
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This thesis revolves around financial transparency and its relationship with social transparency (CSR disclosure) and risk management at the managerial level. The first chapter identifies regulatory (10K) reports as the preferred disclosing channel for “social-transparent” companies (social-disclosing firms which are “high” in social activities) while “social-labeled” companies (social-disclosing firms which are “low” in social activities) choose to initiate disclosure in voluntary standalone CSR reports. The second chapter uses this identification strategy to examine whether “social-transparent” companies are also financially transparent. I find that “social-labeled” firms decrease the quality of financial information in the first period after first issuance of a CSR voluntary report. Contrarily, “social-transparent” firms increase the quality of their financial reporting after initiation of CSR disclosure on the 10K, suggesting equal financial and social transparent behavior. In the last chapter, I show how the implementation of an Enterprise Risk Management Committee (ERMC) has a negative impact transaction-based earnings management but not clear impact on accrual based earnings management.Esta tesis gira en torno a la transparencia financiera y su relación con la transparencia social (RSC) y con la gestión de riesgos a nivel gerencial. En el primer capítulo identifico las cuentas anuales (10K) como el canal de divulgación seleccionado por las empresas "socio-transparentes" (empresas divulgadoras con altos niveles previos de actividad social), mientras que las empresas "socio-etiquetadas" (empresas divulgadoras con bajos niveles previos de actividad social) optan por emitir esta información en informes voluntarios no oficiales. En el segundo capítulo se utiliza esta estrategia de identificación para examinar si las empresas socialmente transparentes son también empresas transparentes en su comunicación financiera. Los resultados sugieren que las empresas "socio-etiquetadas” incrementan la discrecionalidad contable durante el periodo inmediatamente posterior a la emisión de un informe de RSC voluntario. Por el contrario, las empresas "socio-transparentes" incrementan su calidad financiera tras iniciar la comunicación de su actividad social en las cuentas anuales, mostrando igual intención de ser transparentes tanto social como financieramente. En el último capítulo se muestra cómo la implementación de un Comité de Gestión de Riesgo Empresarial (ERMC) reduce la discrecionalidad la manipulación contable realizada a través de transacciones, pero no muestra evidencia de impacto sobre la manipulación realizada a nivel contable.
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Nöth-Zahn, Stephanie. "Enterprise Risk Management : insights on emerging risks from the German banking sector." Thesis, Edinburgh Napier University, 2017. http://researchrepository.napier.ac.uk/Output/1023156.
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IT innovations have reshaped banking and will continue to do so. They are a manifestation of indispensable progress, yet risks emerge from IT innovations. Historic data and accounts of emerging risk experiences are rather scarce. Hence, they present a special challenge to risk management as they are hard to identify. Moreover, traditional risk management practices, relying on historic data, may not be fully adequate. What solutions can be offered by risk management to manage these risks? When is an uncertainty understood as an emerging risk? Who needs to be involved in the risk management process?The research asks the seemingly obvious question, yet this important topic has been regularly neglected in academics as well as in practice. Both literature and theoretical basis have only recently developed so as of yet there is little availability of varying viewpoints and reliable theories. 70% of the banks interviewed do notactively consider emerging risks in their risk management process. The banks take a reluctant position in general, waiting to see how things develop. Only three banks have a proactive approach and manage emerging risks from IT innovation in using an enterprise-wide approach such as Enterprise Risk Management (ERM).Therefore, this work develops a conceptual framework which aims to fill the research gap between ERM as an approach to holistic portfolio risk management and the lack of academic and practical work on emerging risks. The conceptual framework explores how banks can apply ERM to manage emerging risks in the future. Researching this topical phenomenon, extending today's common application and understanding of emerging risks and ERM in practice and academia is one of the most challenging tasks confronting future risk management (Bromiley et al., 2015).To the author's knowledge, this project is one of the first to take this challenge.
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Keith, Joanna Lucyna. "Enterprise risk management : developing a strategic ERM alignment framework, finance sector." Thesis, Brunel University, 2014. http://bura.brunel.ac.uk/handle/2438/10981.
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This thesis investigates the evolutionary process of risk management practices associated with the implementation of enterprise risk management (ERM) across the finance sector. Despite the increasing number of ERM adoptions in the finance industry in recent years, ERM was still at an early stage of development and further research is recommended. The literature review identifies a gap in the ERM literature, prompting the development of a theoretical framework to investigate key organisational factors critical to effective implementation of the strategic framework. A strategic ERM Alignment Framework was developed to address key shortcomings of existing ERM practices in the industry and to provide practical guidance to academics and practitioners. The research was conducted as a two-stage empirical study in the finance sector, employing sequential mixed methods of data collection and analysis: a series of 35 semi-structured qualitative interviews with senior enterprise risk managers representing a variety of financial organisations, followed by a quantitative questionnaire survey of 115 finance industry professionals. The literature supports the industry view of continuous internal and external pressures towards ERM implementation across financial organisations. The research findings confirm that ERM is perceived to have slowly transformed from a process of compliance to a strategic tool and become a source of value creation and competitive advantage. The study also shows that aligning ERM with core organisational strategies and enterprise risk culture have been the underlying factors driving a strategic ERM framework sustainable over time. Inadequate senior management support for ERM and an insufficiently dynamic enterprise risk culture are identified as the greatest challenges to ERM sustainability. Major benefits of ERM are revealed as well informed risk-adjusted decision making and a strategic enterprise-wide view of key risks. The main contribution to knowledge of this research is the development of a strategic ERM Alignment Framework for the finance sector and practical guidelines for its effective implementation. Specifically, this research offers academics and finance industry practitioners a better understanding of organisational factors critical to the implementation of a strategic ERM Alignment Framework, supported by empirical evidence. Key limitation of the research was identified as the complexity of the ERM Alignment Framework that can be mitigated by undertaking future research to simplify the framework following its practical application. The researcher recommends that future research should focus on intangible elements and qualities of ERM that are important to the Alignment Framework, such as developing a strong and consistent enterprise risk culture, or investigating how the framework can add value to the organisation.
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Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.
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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both in a theoretical and empirical way. The main focus is on copulas, which is a way to model and construct complex dependencies. Copulas are a useful tool since it allows the user to separately specify the marginal distributions and then link them together with the copula. However, copulas can be quite complex to understand and it is not trivial to know which copula to use. An implemented copula model might give the user a "black-box" feeling and a severe model risk if the user trusts the model too much and is unaware of what is going. Another model would be to use the linear correlation which is also a way to measure dependence. This is an easier model and as such it is believed to be easier for all users to understand. However, linear correlation is only easy to understand in the case of elliptical distributions, and when we move away from this assumption (which is usually the case in financial data), some clear drawbacks and pitfalls become present. A third model, called historical simulation, uses the historical returns of the portfolio and estimate the risk on this data without making any parametric assumptions about the dependence. The dependence is assumed to be incorporated in the historical evolvement of the portfolio. This model is very easy and very popular, but it is more limited than the previous two models to the assumption that history will repeat itself and needs much more historical observations to yield good results. Here we face the risk that the market dynamics has changed when looking too far back in history. In this paper some different copula models are implemented and compared to the historical simulation approach by estimating risk with Value-at-Risk and Expected shortfall. The parameters of the copulas are also investigated under calm and stressed market periods. This information about the parameters is useful when performing stress tests. The empirical study indicates that it is difficult to distinguish the parameters between the stressed and calm market period. The overall conclusion is; which model to use depends on our beliefs about the future distribution. If we believe that the distribution is elliptical then a correlation model is good, if it is believed to have a complex dependence then the user should turn to a copula model, and if we can assume that history will repeat itself then historical simulation is advantageous.
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Suarez, Edwin R. "Business value of software reuse in the digital enterprise : an industry perspective." Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/113529.
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Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, System Design and Management Program, 2017.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 57-58).
Many companies are accelerating investments in digital technologies to streamline internal operations and create new business models. To achieve these goals, digital enterprises are adopting management and software development practices from traditional software products and service companies. Software reuse is one of those practices. Despite being a well-documented method for increasing productivity, quality, and agility, there is a lack of good empirical data to validate the business value of reuse. This research paper compares available literature on the subject of software reuse to a set of interviews with business and technology executives on the benefits they receive from software reuse and their management practices. The analysis concludes that the most valuable benefit of software reuse is competitive advantage through differentiation. Therefore, implementing software reuse is crucial for digital enterprises to protect their long-term sustainability. The more traditional benefits of reuse are important to gain financial and operational efficiency, but they are difficult to measure and validate against profit gains. To maximize the value of software reuse, digital enterprises should connect reuse with their business strategy and apply system thinking to assess the full impact of its implementation.
by Edwin R. Suarez.
S.M. in Engineering and Management
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Yan, Lu. "Risk Management Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/648.
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In order to evaluate and manage portfolio risk, we separated this project into three sections. In the first section we constructed a portfolio with 15 different stocks and six options with different strategies. The portfolio was implemented in Interactive Brokers and rebalanced weekly through five holding periods. In the second section we modeled the loss distribution of the whole portfolio with normal and student-t distributions, we computed the Value-at-Risk and expected shortfall in detail for the portfolio loss in each holding week, and then we evaluated differences between the normal and student-t distributions. In the third section we applied the ARMA(1,1)-GARCH(1,1) model to simulate our assets and compared the polynomial tails with Gaussian and t-distribution innovations.
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Shen, Chen. "Risk Management Project." Digital WPI, 2012. https://digitalcommons.wpi.edu/etd-theses/650.
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In order to evaluate and manage portfolio risk, we separated this project into three sections. In the first section we constructed a portfolio with 15 different stocks and six options with different strategies. The portfolio was implemented in Interactive Brokers and rebalanced weekly through five holding periods. In the second section we modeled the loss distribution of the whole portfolio with normal and student-t distributions, we computed the Value-at-Risk and expected shortfall in detail for the portfolio loss in each holding week, and then we evaluated differences between the normal and student-t distributions. In the third section we applied the ARMA(1,1)-GARCH(1,1) model to simulate our assets and compared the polynomial tails with Gaussian and t-distribution innovations.
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Martins, Sofia Alexandra Casanova. "ANA, SA: a risk management approach." Master's thesis, NSBE - UNL, 2010. http://hdl.handle.net/10362/10335.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn 2007, following a series of sector transformations and wanting to be up to speed on industry best practices, ANA – Aeroportos de Portugal, SA, the Portuguese airports manager, adopts an Enterprise Risk Management (ERM) model. In 2009, with a challenging new regulatory model in sight and the idea of an imminent privatization, the company reassesses and restructures the model. This case study follows this transition process, the implementation of the new ERM model and the intricacies brought by the new regulatory model.
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Heyneke, Petrus Erasmus. "Application of enterprise risk management models during new business development / P.E. Heyneke." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4473.
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Enterprise is often described as risk for reward, but it may be possible to reduce
the risk while improving returns. According to SEDA, failure rates of SMMEs in
South Africa range from 70 to 80 percent. The need for this study arose when it
was found that most SMMEs did not have a formal system in place to mitigate their
risks right from the outset in the feasibility study, the business plan design and the
start–up of the business. This lack of mitigation controls could be a result of a lack
of understanding of the enterprise risk management (ERM) methodology or an
inappropriate ERM decision–making model to assist them in a way that would
mitigate their risk and minimise financial losses.
The ERM approach can anticipate unplanned occurrences and is a systematic way
of foreseeing the future. Entrepreneurs and business owners take on risks to
pursue new business objectives within their respective risk appetites. This study
also evaluated several models of risk identification and the ERM methodology. In
this study an ERM model, ISO 31000, was applied in a business case and a
comparison was made between the risks identified in the business plan and the
ERM approach.Thesis (M.B.A.)--North-West University, Potchefstroom Campus, 2011.
49
Reynecke, Werner Nielen. "Enterprise risk management in the South African insurance industry / W.N. Reynecke." Thesis, North-West University, 2008. http://hdl.handle.net/10394/4215.
Full textAbstract:
The purpose of this dissertation is to investigate Enterprise Risk
Management (ERM) in the South African insurance industry. Firstly,
this dissertation attempts to ascertain the current composition of the
different facets of ERlVL These different facets are discussed in detail
in the dissertation.
The first of these include the insurance industry's definition of ERM
followed by the tools and techniques involved in implementing Efu\1-
driven risk management programmes. The third facet is the regulatory
measures which form part of the industry. This provides a proper link
with the fourth facet, namely that of the exponents applying ERM and
how their roles are governed by regulatory bodies. Another facet is the
training programmes that exist to educate insurance industry players
and entrants to efficiently use EM1. The sixth facet motivates why
ERM is actually used by delineating the benefits connected with Efu\1
processes.
The dissertation furthermore investigates the extent to which ER11 is
already incorporated in the South African insurance industry. A
questionnaire ,vas completed by industry members in order to obtain an
insight into the practical side of ERM that reigns in South Africa today.Thesis (M.Sc. (Risk Analysis)--North-West University, Potchefstroom Campus, 2009.
50
Sharma, Atul 1973. "A systems approach to enterprise risk management in high-tech industry." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33827.
Full textAbstract:
Thesis (S.M.)--Massachusetts Institute of Technology, System Design & Management Program, 2005.Includes bibliographical references (p. 105-106).
The high-tech industry is showing increased interest in developing an enterprise wide approach to risk management. There are three reasons for this increased interest; first as the industry has matured, as evidenced by slower growth, increasing consolidation and global competition, managing "costs" has moved to center stage; second, technology product life cycles have progressively shrunk leading to increased technology strategy risk; and third larger events such as 9/11 and corporate scandals have created an awareness of new risks to be managed. In these changed circumstances, the old days of rapid growth and localized & reactive risk management techniques need to be replaced with a capacity to understand risks and manage them effectively across the entire enterprise. Although, risk management has been practiced in the high-tech industry for some time the approaches are based on silo techniques such as insurance, finance, strategy or operations. The challenge is that these varied approaches fall short of holistic risk management and further maintain risk silos that generate additional risks to the organization. To address these silos and develop an enterprise risk management approach we have devised a "generic" and "scalable" risk management framework that could be used by a firm irrespective of its current risk management maturity to achieve a higher level of risk management sophistication. Our approach is based on a three step process; identifying the risks in each of the organizational silos, analyzing their gaps and thereafter developing common risk language and measurement capability across the whole enterprise to close these gaps. To accomplish these three steps a firm can use a 3-T knowledge management assessment framework
(cont.) and a 4-R risk management process methodology. We have also devised a risk management maturity model that helps a firm assess its current risk management sophistication, determine the level of maturity the firm would like to target and so clarify the next steps to get there. We combine these frameworks and methodologies together to create what we call Integrative Corporate Risk Management (ICRM) architecture to help high-tech firms develop a state of the art enterprise risk management capability.
by Atul Sharma.
S.M.