Browsing by Subject "risk management"

Now showing 1 - 4 of 4
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    Open Access
    Estimating Long Term Equity Implied Volatility
    (2019) Crawford, Danielle Ana; Mahomed, Obeid
    Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid tradable derivatives. In this case, practitioners have to estimate the implied volatility surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techniques considered include statistical and time-series techniques, non-parametric techniques and three potential methods which use the local volatility model.
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    Open Access
    Preparing for the fourth industrial revolution: Investigating the relationship between leadership 4.0, innovative management practices and organisational performance capabilities
    (2020) Pienaar, Yandri; Schlechter, Anton
    Background It is believed that the fourth industrial revolution (4IR) will bring about unprecedented change to the world, ultimately having such a deep impact that some argue it may change human life at its core. It is believed that many organisations will not survive the radical disruption that will ensue. On the contrary, some authors have argued that the 4IR will bring about many benefits and opportunities for organisations, as with previous revolutions, provided it is managed effectively by business leaders. Rationale for the research study There is a growing consensus that existing leadership styles and management practices may not be suitable for organisational performance for the 4IR. It has, therefore, been suggested that different theories, models or approaches to leadership will be required if organisations are to remain competitive and sustainably successful in a business context that will look very different to what leaders have been accustomed to. It is argued here that Leadership 4.0 and innovative management practices, may have merit in this context. Aim of the study This present study was an exploratory attempt to investigate the relationship between Leadership 4.0, innovative management practices and organisational performance capabilities for the 4IR. For the purposes of this study, 1) a range of leadership theories/models/approaches/styles, including Transactional Leadership, Transformational Leadership and Leadership 4.0; 2) innovative management practices, including human resource management, organising and information sharing, risk management and stakeholder management as they compare to the old and new economy; and 3) organisational performance capabilities, including human capital, digital risk management and business model value creation were investigated. Research Design, Sampling and realised sample An exploratory research design was followed, utilising a mixed method approach. A crosssectional approach was taken to data collection, with a composite questionnaire designed for the purpose of this study utilised to collect data. A realised sample of n=61 respondents, mainly 4 from local, privately owned, knowledge-intensive organisations was obtained using a convenience sampling approach. Statistical analyses Pearson correlation and hierarchical multiple regression were utilised to estimate the relationships among the abovementioned constructs. Mediation analyses utilising the PROCESS macro was employed to test whether the relationship between Leadership 4.0 and organisational performance capabilities was mediated through innovative management practices. Results Statistically significant positive relationships were found between Leadership 4.0, Innovative Management Practices and Organisational Performance Capabilities. A regression model indicated that Leadership styles statistically significantly predicted the most variance in Organisational Performance Capabilities. Results further determined that Transactional Leadership explained a unique variance in risk management and digital risk management. Lastly, the test for mediation indicated that innovative management practices partially mediated the relationship between Leadership 4.0 and organisational performance capabilities. Findings: Findings from the results supported various discussions and studies in the literature and in practice that leadership, specifically Leadership 4.0, is an important element to navigating the uncertainties and challenges presented by the 4IR. Further evidence was also found in support of contingent leadership theories. Managerial Implications The findings of the present research study holds a practical implication for organisations in that the findings support the literature suggesting that leadership is a key element in organisational performance capabilities, specifically for survival and sustainability for the 4IR. The findings further contributes to a growing body of knowledge surrounding the 4IR, leadership, innovative management practices and organisational performance fields of research.
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    Open Access
    Risk management and financial performance: empirical evidence from the Nigerian banking industry
    (2025) Elisha, Douglas Enahoro; Alhassan, Abdul Latif
    The banking industry is an important sector of any economy because banks are primarily tasked with the intermediation role of channeling funds from the deficit unit to the surplus unit through deposit mobilization and the creation of risk assets (Loans and Advances). This intermediation process is fraught with inherent risks, including credit, operational, liquidity, and solvency risks. In ensuring that banks function efficiently, they are obligated to manage these risks to ensure the creation of value for shareholders and other stakeholders. Risk management is critical to the Nigerian banking industry's system architecture. This dissertation sought to examine the relationship between risk management practices, proxied by its various components, including solvency risk (CAR), liquidity risk (LDR), credit risk (NPL), operational risk, and profitability. The study employed a sample of 12 banks, representing 97.0% of the banking industry's total assets over 11 years, from 2012 to 2022. The random and fixed effect panel technique was employed in estimating the static panel model to examine the impact of risk management on the performance of banks. The regression analysis results indicate a strong adverse effect of credit and operational risks on return on assets, suggesting that higher returns on assets are associated with lower loan loss provisions and operational losses. This indicates the importance of asset quality and risk management practices in banks' delivery of quality financial performance. On the contrary, capital ratio and liquidity risks positively affect returns on assets and equity. The study revealed a negative coefficient for banks' ages and profitability, indicating that older banks tend to have lower profitability, primarily due to Nigeria's rapidly evolving banking landscape, creating discriminating advantages for the new-generation banks. However, ownership type does not exhibit statistically significant coefficients with banks' profitability, suggesting that their direct impact on bank profitability may be limited in the context of the variables considered in the analysis Based on the findings, banks are encouraged to design data-driven policies on the capital adequacy ratios with the twin objectives of meeting the regulatory hurdle of 15% and pursuing loan book expansion. This will support the growth of the overall economy when credits are channeled to the productive sectors of the economy; moreover, expanded loan books will create interest income that ultimately enhances the profitability of banks. The study also demonstrated that banks are susceptible to time decay. Older banks underperform newer banks; therefore, banks must undertake frequent periodic analyses of their processes, strategies, and supporting infrastructure to adapt to the changing environment and landscape. Based on the findings, banks are encouraged to design data-driven policies on the capital adequacy ratios with the twin objectives of meeting the regulatory hurdle of 15% and pursuing loan book expansion. This will support the growth of the overall economy when credits are channeled to the productive sectors of the economy; moreover, expanded loan books will create interest income that ultimately enhances the profitability of banks. The study also demonstrated that banks are susceptible to time decay. Older banks underperform newer banks; therefore, banks must undertake frequent periodic analyses of their processes, strategies, and supporting infrastructure to adapt to the changing environment and landscape.
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    Open Access
    Term structure models with unspanned factors and unspanned stochastic volatility
    (2018) Backwell, Alexander; Ouwehand, Peter
    Certain models of the term structure of interest rates exhibit unspanned stochastic volatility (USV). A model has this property if it involves a source of stochastic variation — called an unspanned factor — that does not affect the model’s interest rates directly, but does affect the extent to which future interests are liable to change (that is, interest-rate volatility). This thesis is concerned with these models, from a variety of perspectives. Firstly, the theoretical foundation of the USV property is addressed. Formal definitions of unspanned factors and USV are developed, generalising ones tentatively proposed in the literature. Several results from these definitions and the accompanying framework are derived. Particularly, the ability to hedge general claims (i.e., the completeness or lack thereof) of these models is examined in detail. Examples are given to illustrate the features of the proposed framework and the necessity of the generalised definitions. Secondly, the empirical issue of whether USV models are necessary to plausibly represent observed interest-rate markets is interrogated. An empirical derivative-hedging approach is adopted, the results of which are contextualised by also treating data simulated from models with USV and non-USV versions. It is shown that hedging effectiveness is relatively robust to the presence of USV, which resolves the apparent conflict between the two studies that have taken a hedging approach to this question. Despite the cross-sectional hedging effects being surprisingly minor, further regression results show that USV models are needed to model the time series of market interest rates. Finally, the thesis addresses a certain class of models that exhibit USV: those with one spanned factor (driving interest-rate variation) and one unspanned, volatility-related factor. Being the simplest non-trivial USV models, these bivariate USV models are fundamental, and — like onefactor models in general settings — are helpful in introducing and comparing higher-factor models when simple ones are insufficient. These models are shown to exist (contradicting a claim in the literature); to share a particular affine form for their bond pricing functions; and to necessarily exhibit a short-term interest rate with dynamics of a certain type. A specific bivariate USV model is then proposed, which is analysed and compared to others in the literature.