2007 ERM Symposium Scientific Papers
The 2007 Enterprise Risk Management Symposium Monograph has been published and is now available via the Society of Actuaries Web Site.
Nine papers were presented at the 2007 ERM Symposium, with another 14 papers submitted. Three of the papers presented at the Symposium received awards.
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Presented Papers:
Scientific Paper Session 1
2007 PRMIA Institute Award for New Frontiers in Risk Management
Multivariate Models for Operational Risk
By Klaus Böcker and Claudia Klüppelberg
A Group Cognitive Approach to Operational Risk Identification and Evaluation
By Dr. Michael P. McGrath, BSC, MBA, MIEI, DBA
2007 ERM Research Excellence Award
Security Market Response to Firms Hiring of Chief Risk Officers
By Mark Beasley, Don Pagach, and Richard Warr
Scientific Paper Session 2
2007 Best Paper - Practical Risk Management Applications
Capital Allocation by Percentile Layer via Conditional Exceedance Probability
By Neil M. Bodoff, FCAS, MAAA
Integrated Risk Measurement for Portfolio of Equities and Fixed Income Products
By Ng Kah Hwa and Ma Lanfang
Pricing Capital Costs
By Yingjie Zhang
Scientific Paper Session 3
Measuring the Risks of Thrifts: A Business Model Approach
By Thomas S. Y. Ho, Ph.D.
Bringing Investor Confidence Back to Alternative Investments: How ERM is the Answer
By Yan Olszewski
Apples and Pears? The Comparison of Bank Economic and Prudential Capital
By Alistair Milne and Mario Onorato
Additional Papers Submitted for the Symposium
The Fundamentals of Designing an Integrated Model of Financial Risk and
Operational Risk within an Enterprise Risk Management Framework: Findings of an Empirical Study
By Madhusudan Acharyya
General Re-rating Formula
By Muhamed Borogovac Ph.D.
ERM and the Failure of Risk Management: an Asian Perspective
By Ran Fuchs
A Conditional Lower Partial Moments-framework for Corporate Risk Measurement
By Håkan Jankensgård
Integrated Analyses and Assessment of Operational Risk: An Influence Diagrams Approach Based on Topological Data Model
By Zhang Qinghong and Zhao Lei
The Basel II Framework Implementation and Securitisation
By Marie-Florence Lamy
Effective Enterprise Risk Management – Quantifying operational risks and selecting efficient risk mitigation measures
By Nils Loehndorf, Dr. Erhard Petzel and Thomas Portmann
Group Behaviour in Unfamiliar Problem Domains
By Dr. Michael P. McGrath, BSC, MBA, MIEI, DBA
Integration of Financial Risk with Efficiency Measurement: Case of Summer 2006 in Electricity Sales Business in Poland
By Dariusz Michalski PhD, and Marcin Wisniowski
Efficient Project Portfolio as a tool for Enterprise Risk Management
By Valentin O. Nikonov
Liquidity Risk Financial Disclosure: The Case of Large European Financial Groups
By Abderrahim Boussanni, Jean Desrochers, and Jacques Préfontaine
Competitive Intelligence Approach to Financial Risk Management in Banking
By Froilan Sia
Operational Risk Management in Local Chinese Securities Companies
By Wei Wang