Description: This paper demonstrates that extreme value theory (EVT) can be used as a tool to model policyholder behavior in the extreme tail. This paper applies EVT to the study of variable annuity dynamic lapse behavior in the extreme tail. It illustrates a process whereby a company can fully model policyholder behavior, including the extreme tail, with existing data. No judgment about the extremal behavior is necessary.

Description: There have been continual advances in the modeling of financial series but most are aimed at the pricing of derivatives. Different criteria are needed for development of scenarios for risk management. Some recent methods will be reviewed with an eye on risk-management applications, including using the simulated method of moments to parameterize multifactor models, fractional differencing and other methods to model series with persistent autocorrelation, and models to flatten out the volatility smile, such as jump-diffusion models. These methods will be illustrated with applications to inflation, interest rates, equity prices and exchange rates.

Description: This article sees enterprise risk management as a specific application of knowledge in Order to control deviations from strategic objectives, shareholders’ values and stakeholders’ relationships. Before and after a modeling process it is necessary to find insights into how the application of knowledge management processes can improve the understanding of risk and the implementation of enterprise risk management. The article presents a proposed methodology to contribute to providing a guide for developing risk modeling knowledge and a reduction of knowledge silos, in order to improve the quality and quantity of solutions related to risk inquiries across the organization.

Description: The intent of this paper is the analysis of the influence of risk that took place during winter and summer 2006 on economic results of utilities selling power to final customers. Efficient risk management requires the restructuring of the approach to company management. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: The article is devoted to risk management in the business process of materials supply for industrial enterprises. The goals of the business process are considered, and the risks of the failure to achieve goals are identified. Probabilities and influence of negative events are estimated. The risk treatment is considered on critical risks, including forming of insurance supplies of materials. The calculations of insurance supplies of materials, taking into account risks, are conducted on the basis of statistical information.

Description: This paper recommends the practical application of new portfolio risk/return measurements to achieved and back tested stock portfolio performance. This new risk measurement process addresses the issue of infinite variances empirically observed in most stock return distributions. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: This study presents a new framework which can measure integrated marked risk and credit risk for portfolios consisting of various assets through continuous time horizons. In a simulation, the study shows that asset type, initial rating, time horizon and asset return distribution assumptions are all significant factors to influence the portfolio value distributions and hence the integrated VaRs. 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: Enterprise risk management ERM is for the measurement and the management of all significant risks of the business holistically irrespective of types and sources. The study offers significant advances in the current debate on the performance of enterprise risk management, in particular, minimizing the existing gap between the academic understanding and practitioners’ experience on the topic.

Description: This paper outlines a risk measurement framework in which risk measures are derived by qualifying cash-flow-based risk measures on the state of the firm's debt capacity. This risk framework overcomes some of the weaknesses of the popular 'at-risk' framework. From 2007 Enterprise Risk Management Symposium, M-AS07-1.