Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in risk management.

Description: Recurring column that lists recent publications in risk management of note to readers.

Description: Short for Chartered Enterprise Risk Analyst, this new international credential encompasses the most comprehensive and rigorous validation available for enterprise risk management.

Description: In a Q&A format, two actuaries talk about the challenges for smaller companies in moving to a PBR world.

Description: Industry briefings and SOA news

Description: This article discusses business risks in the National Football League - “NFL” - and the author describes a model his firm developed to address the risks of a player’s salary exceeding the value of the player, and the risks of the negative impact of off field behavior. The author refers to this as the Negate Failure and Legal, or “N-F-L,” player selection and pricing model, effectively a risk management tool for NFL teams.

Description: This article will further discuss decentralized and centralized model development frameworks and provide tips and rationale for transitioning toward centralized model development.

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: This article explores the impact of the tsunamis which hit the shorelines of nine countries in Southeast Asia on December 26, 2004.

Description: Discussion of an inaugural survey of the International Network of Actuarial Risk Managers to identify their view of the top five emerging risks.