Handouts and Recordings

Below you will find handouts and free audio recordings for the 2009 ERM Symposium, held April 29–May 1, in Chicago IL. Please note that some sessions have multiple handouts from different authors/presenters. Some handouts and audio recordings are not available for certain sessions.

Wednesday, April 29, 2009

Seminar 1–A Benchmark Approach to Quantitative Finance
Ken Seng Tan, Eckhard Platen

Seminar 2–Banks and Insurers: Separate Paths, but a Common Destination
Robert Mark, Max Rudolph, David Ingram, Prakash Shimpi, Prodyot Samanta, Gary Nan Tie, Christopher Bohn, Dan Rosen, Dan Galai, Wayne Fisher, Michael Crouhy, Larry Moews

Seminar 3–Valuation Risk Management: Challenges and Practices
Alex Kreinin, Dan Rosen, Dmitri Rubisov, Douglas Summa,Gregory Frank, Markets; Luis Seco, Niall Whelan

Thursday, April 30, 2009

9:45–11:00 a.m. Concurrent Sessions 1

D1–How are Companies Adding Value via ERM? Details on Recent Global Insurance Industry ERM Studies

Judy Wong, Linda Chase–Jenkins, Cathy Jourdan

RI1–Risk of Mispricing and Rogue Trading

Jean–Pierre Berliet, Alexander Shipilov, Basil Rabinowitz

Q1–Advances in Credit Risk Quantification

Dan Rosen, Thomas M. Farina, Michael Pykhtin

RA1–Risk Regulations–Learnings from the Industry

Valentina Isakina, Kurt Karl, Cathy Lemieux

B1–How Risky is your Risk Information? The Importance of Enterprise Risk Information Management

Dilip Krishna, Robert Mark

R1–Research Paper Session: A Capital Allocation Based on a Solvency Exchange Option

Mary Hardy, Joseph Kim, John Manistre

T1–ERM Roundtable Discussion
Aaron Halpert, William Kokontis

11:15 a.m.–12:30 p.m. Concurrent Sessions 2

D2–Enabling ERM 2.0 with Technology

David Ingram, Curt Burmeister, Laura Taylor

RI2–How to Spot Emerging Enterprise Risks

Sim Segal, Neil Allan, Neil Cantle

Q2–Advanced Economic Capital

Hubert Mueller, John Manistre

RA2–Lessons from the International Regulatory Systems: What has Worked and What Hasn't?

Allan Brender, Sabeth Siddique, Samuel Keller

B2–A Global Perspective on Risk Management Structure and Governance for the Insurance Sector

Thomas Fineis, Terri Dalenta, Adam Politzer

R2–Research Paper Session: Extreme Value Approach to Hedging Portfolio Downside Risk with VIX Futures

Ser-Huang Poon, Dan Rodriguez

T2–ERM Roundtable Discussion
Robert Kolb, Bill Panning

12:30–1:45 p.m. Keynote Luncheon

Group (Risk) Therapy–Cultural Theory and the Current Market Crisis
David Ingram

1:45–3:00 p.m. Concurrent Sessions 3

D3–Optimization of Multiple Risk Strategies

Matthew Clark, James Bachman, Luyang Fu

RI3–Talent Management: Identifying, Measuring, and Mitigating Risks

Terry Fobbs, Erwin Janush

Q3–Property / Casualty Aspects of ERM

Chris Suchar, Frank Sommerfeld, Wayne Blackburn

RA3–Call for Papers: Aspects of Credit Risk

Dan Rosen, David Saunders , Stephen D'Arcy, James McNichols, Xinyan Zhao

B3–The Role of the Board in Providing Effective ERM Oversight

Mary Bahna-Nolan, Michael Mahaffey, Robert Rosholt, Maryellen Coggins

R3–Research Paper Session: Impact of Correlation Crises in Risk Theory

Glenn Myers, Stephane Loisel

T3–ERM Roundtable Discussion
Jessica Leong, John Dodson

Friday, May 1, 2009

9:45–11:00 a.m. Concurrent Sessions 4

D4–ERM: Is There Anything Beyond the Hype?

David Ruhm, Mark Homan

RI4–Current Topic: Influenza Pandemic

Max Rudolph

Q4–Advances in Opertational Risk Quantification

Carl Groth, Daniel McKinney, Soubhagya Parija

RA4–Global Insurance Regulations, Risk Management and Credit Crisis Implications

Michel Rochette, Frank Sommerfeld,; Robert Klein

B4–Call for Papers: Differing Risk Perspective
David Ingram, Etti Baranoff,Thomas Sager, Larry Rubin, Randy Tillis, Michael Lockerman, Xiaokai Shi

R4–Research Paper Session: New Framework for Macrofinancial Risk Analysis and Applications to the Sub–Prime Crisis

Dale Gray, Karim Pakravan, Steve Lindo

T4–ERM Roundtable Discussion
Mark Abbott, Stephen Hiemstra

11:30 a.m.–12:45 p.m. Concurrent Sessions 5

D5–Risk–Based Financial Management of Insurance Companies

Anson J. Glacy, Jr., Dominique Lebel, Thomas McIntyre

RI5–Emerging Risks

Max Rudolph, Beverly Barney

Q5–Economic Capital with Applications in View

Ellen Cooper, David Schraub, Stuart Silverman, Yevgenia Zemlyakova

RA5–Solvency II Framework and its Implication for the Mexican Insurance Market

Angeles Yañez, Jorge Luis Lopez Araiza, Massashi Kikuchi

B5–Call for Papers: Advanced Risk Modeling Concepts

John Manistre, Spencer Gluck, Gary Venter, Klaus Böcker

R5–Research Paper Session: I–Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities under a Benchmark Approach, II–New Ways of Valuing Defined Benefit

Deborah Lucas, Eckhard Platen, John Birge

Pension Liabilities and the Implications for Hedging

T5–ERM Roundtable Discussion

David Koenig, Neil Strauss

12:45–2:00 p.m. Keynote Luncheon
Are You a Stock or a Bond? Create Your Own Pension Plan for a Secure Financial Future
Moshe Milevsky