Description: When companies engage in risk management activities, they can be seen as modifying their distributions of future outcomes. Often, this takes the form of trading off a sure cost for a decrease in some potential risk of loss. Companies may carry out these activities with several goals in mind, such as reduction in earnings volatility or preservation of capital. This paper will demonstrate a method for evaluating possible strategies by dividing the effects on costs and risks into three tranches: earnings, impact and estate. The tranches can be associated with different interests of the various stakeholders. This trifurcation analysis can help to explain the risk-reward trade-offs of different risk treatment alternatives and can aid in risk-related decisionmaking.

Description: We demonstrate an integrated enterprise risk management (ERM) solution to optimize the risk portfolio, identify natural hedges, create an optimal risk treatment plan, enhance risk culture, and facilitate risk reporting throughout the organization.

Description: The paper applies a back‐testing validation methodology of economic scenario generating models and introduces a new D‐statistic to evaluate the robustness of the underlying model during a specified validation period. The statistic presented here can be used to identify the optimal model by repeating calibrations with changing initial parameters. It can compare between calibration methods, be used to rank between models, and provide a single concise reporting metric for ongoing model monitoring.

Description: This paper provides a description of a system using statistical spatial methods for measuring, analysis, and managing ERM losses. An example of its application to a delinquency rate in a residential mortgage portfolio analysis demonstrates how this methodology can help decrease a company’s exposure in high-risk areas and increase exposure in low-risk areas.

Description: Operational risk is likely one of the most significant risks faced by an organization. This article defines operational risk and how a company or organization can effectively manage this risk, including types of management tools, metrics and measurement, and governance, risk, and compliance compliance (GRC) systems.

Description: Session 1C informal discussion

Description: Abstract: Over the last century, the assumption usually made was that causes of death are independent, although it is well-known that dependencies exist. Recent developments in econometrics allow, through Vector Error Correction Models (VECM), to model multivariate dynamic systems including time dependency between economic variables. Common trends that exist between the variables may then be highlighted, the relation between these variables being represented by a long-run equilibrium relationship. In this work, VECM are developed for causes-of-death mortality. We analyze the five main causes of death across ten major countries representing a diversity of developed economies. The World Health Organization website provides cause-of-death information over about the last 60 years. Our analysis reveals that long-run equilibrium relationships exist between the five main causes of death, improving our understanding of the nature of dependence between these com peting risks over recent years. It also highlights that countries had usually different past experience in regards to cause-of-death mortality trends and thus, applying results from one country to another may be misleading.