Description: This paper considers the ERM problem as an adaptation and stability problem of complex system development. The basic approach of W. Ross Ashby and its development by S. Beer are applied. The author advances the cybernetic functional feedback model as applied to the integrated ERM structural mechanism. Such formulation of the ERM problems seems promising to correctly detail and structurally integrate the various issues, including operational and financial systems linkage, key adaptation parameter of time and its different periods, optimal activity and others.

Description: This paper measures the extent to which specific firms have implemented ERM programs and assesses the value implications of these programs. We find a positive relation between firm value and the use of ERM. The ERM premium is statistically and economically significant and approximately 17 percent of firm value.

Description: In the copula literature there are many bivariate distribution families but very few higher dimensional ones. Moreover, most of these are difficult to work with. Some of the bivariate families can be extended to more dimensions but in general the construction of distribution functions with more than two variables is a difficult problem. This paper introduces a construction method that is straightforward to implement and can produce multivariate distribution functions of any dimension.

Description: There is nothing like a serious financial crisis to see if your risk management process works or not. The depth and breadth of the financial crisis in 2008 identified the strengths and more importantly exposed the weaknesses of the risk management process at Lincoln Financial. Enterprise Risk Management is tasked with understanding all the key risks inside a company and preparing the company to respond to those weaknesses. Lincoln Financial was exposed to multiple stress points as a result of the financial crisis and found themselves with insufficient resources to weather the storm. Ultimately the risk management process at Lincoln Financial was not fully capable of dealing with the depth and scope of the financial stress. Without access to government support it can be argued that Lincoln would not have survived the most profound financial crisis of the modern era. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper suggests that Asian financial institution openly exhibit problems and attitudes that in other regions may be buried under the surface. Therefore, becoming familiar with Asian instituions can help risk professionals unearth problems that otherwise might remain hidden in our own territoriies. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: This paper sets out to demonstrate that the economic capital, risk drivers, and business model are intricately integrated, and that this has broad implications on enterprise risk management for financial institutions. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: Individuals face many risks during different phases of their financial life cycle. These risks in turn have major financial implications on their wealth creation, wealth preservation and wealth distribution aspirations. Traditionally risk taking is viewed negatively in relation to the personal financial-planning domain. In fact, most of the studies linking risk management to personal financial-planning focus primarily on investment and insurance related risks. In contrast, enterprise risk management (ERM) takes a portfolio view of risks right from the personal level to the organization level. The existing literature on ERM is seen as an essential feature of corporate world and there is not much literature available that explicitly addresses the issue of aligning ERM framework to the whole spectrum of personal financial planning. In this backdrop, it seems logical to develop an in-depth study on aligning an ERM framework to a personal-financial planning domain. Accordingly, this conceptual paper, avoiding mathematical jargon, extensively examines the extent to which ERM can be aligned to the personal-financial planning domain. The Study concludes by suggesting how individuals should identify, aggregate, evaluate and address risks across the whole spectrum of personal financial planning domain

Description: Scenario analysis and stress tests based on consideration of shock events and their possible repercussions can provide useful information to management and regulators on a company’s resiliency through a chain of events, as well as support the consideration of a firm’s operations as an integral part of a wider financial system. We discuss how scenario analysis and stress testing can be used to define a company’s risk appetite, which is at the core of a well-embedded ERM framework. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: The author will show that risk management is more than combining several processes and methods it is much more a company wide approach that enables an open dealing with chances and risks, requiring a change in culture, governance and decision rules across the whole organizations.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.