Description: This abstract describes a paper that studies the probability of a systemic event occurring within a financial network.

Description: This article is about a session held at the October 1996 annual meeting, which focused on how actuaries can move beyond traditional employers.

Description: Feature article discussing Nassim Taleb’s black swan theory. Taleb points out that banks keep their loans at full value - anchored to the book value of the loan. The solution to the problem is to use mark-to-market reporting and have volatility instead of having no volatility and then experiencing a Black Swan event.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. In this paper, a multivariate quasi-negative binomial distribution is proposed to model frequency dependence among different risk types. The operational risk diversification effect is illustrated through frequency dependency modeled by the bivariate quasi-negative binomial distribution under a framework of Monte Carlo simulation.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: Risk management and capital budgeting are two critical components of the corporate decision process. They often need to be considered jointly at the corporate level because of their natural interaction through the dependent risk exposures and other synergetic relationships within an intricate corporate structure in a dynamic business environment. . This paper develops an integrated framework that aligns these two important corporate strategies across business divisions to optimize the streamlined enterprise strategic goal in a multi-period setting. The proposed integrated framework can serve as a practical guideline for corporate executives to optimally coordinate capital budgeting and risk management at the enterprise level.