Description: This paper demonstrates the use of Quantile Regression in the development and understanding of conditional value at risk (VaR) models for enterprise risk management.

Description: This paper demonstrates the use of Quantile Regression in the development and understanding of conditional value at risk (VaR) models for enterprise risk management.

Description: Full version of Risk Management, November 2004, Issue No. 3.

Description: In this article, the author compares risk identification to the computer game, FreeCell.

Description: This displays the content data in a full screen editor of the fix(MyData) command.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This presentation discusses how real world Grey Swan scenarios are excellent choices for stress and resiliency testing. In addition, an example is provided of a set of Grey Swan scenarios which correspond to the RBC C-3, Phase II.

Description: This paper defines Distributable Earnings as the generalized pricing and valuation framework for financial contracts containing the requirement to hold capital or reserves in support of the obligations. It examines the Market Value paradigm and its foundation arising from the pricing of fixed income securities. It reconciles these two methods, showing that market value methods ignore mandatory capital and reserve requirements, which carry both risk and cost. The paper makes the case for the Distributable Earnings framework, not Market Value, as the true basis for economic value for these financial contracts. Finally, it concludes that this framework must be employed in risk-management processes, else fail to recognize a significant source of risk.

Description: As a life reinsurer, understanding mortality risk is mission critical. Superior models of mortality risk lead to more competitive pricing in profitable market segments and more efficient use of capital. Surprisingly, modern statistical tools such as predictive modeling have not previously been used to model mortality data to gain this edge. In this paper, we present the use of a predictive modeling technique called projection pursuit regression PPR to model mortality data. We first describe the process of creating a PPR model using inter-company mortality data collected by the Individual Life Experience Committee of the Society of Actuaries, and present the resulting model. We then discuss the process of using this model as a starting point for creating a more detailed PPR model of internal company mortality data.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: Spreadsheet of sample calculations for extreme value theory. Extreme value analysis seeks to assess, from a given ordered sample of a given random variable, the probability of events that are more extreme than any observed prior.