Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Many top-performing businesses aren’t just risk aware, but rather risk intelligent. Such a posture helps prepare companies for a major event and can demonstrate to a regulator or auditor that an appropriately strong control framework is in place. Better still, companies gain real strategic value from a “risk adjusted” understanding not only of their threats and vulnerabilities, but also the upside opportunities associated with various risks. It starts with having both qualitative and quantitative information to identify, assess and manage risks. Strategic risk management, at its core, is about creating value by increasing transparency and accountability, and quality of information. More than a mere compliance exercise, effective risk management enables more informed strategic decision making, increased accountability and transparency, a greater likelihood of organizational success, and – ultimately – competitive advantage, as borne out by many studies that correlate risk management and financial results.

Description: The author summarizes the content of a seminar entitled “Integrated Approaches to Risk Management in the Financial Services Industry,” including a description of the papers presented.

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.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

Description: Editorial for the October/November 2012 edition of The Actuary magazine discussing risk and uncertainty as two different concerns.

Description: An exploration of risk management challenges in the Middle East, including historical overcapitalization, inadequate data and governance issues.

Description: Most reasonable risk mitigation strategies provide benefit in some circumstances, but come at a cost that adversely affects results in other scenarios. A research paper by the authors considers the view of multiple stakeholders to answer this question, resulting in a process they call Trifurcation.

Description: The article has formulas for calculating the geometric return of a portfolio using the arithmetic return and the variance

Description: Recent advances in mortality modeling have enabled applicant-specific quantification of mortality risk in life insurance applicants using laboratory and physical measurements. Relative to more conventional underwriting, this approach identifies a small population of significantly under-priced policy and a much larger, cross-subsidizing group whose risk is presently overestimated. Applicants placed in the highest percentile by this scoring methodology are more than 10X as likely to die in a given period as their demographic peers, and represent approximately 5% of short-term claims. Implications for product design are substantial in both the short- and long-term, as the possibilities for adverse selection grow, and the opportunity for fully individualized pricing raises the more distant prospect of products with as many rate classes as applicants.