ERM-II Enterprise Risk Management & Economic Capital
Wednesday, 1 April 2009 | 
Risk - Research
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level
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Wayne Fisher (Enterprise Risk Management Institute, International - ERM-II) Stéphane Loisel (SAF - EA2429 - Laboratoire de Science Actuarielle et Financière - Université Claude Bernard - Lyon I) Shaun Wang (Department of Risk Management and Insurance - Georgia State University) |
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The goal of this short communication is to give an overview of the key research issues in Enterprise Risk Management that arose during the talks and the brainstorming session of the first ERMII research workshop, which was held at ISFA, University of Lyon in June 2007. To define and compute economic capital at group level, fundamental problems related for example to value creation, correlation and capital allocation are stated. The ideas gathered in this paper are not directly ours, we just collected and summarized the ones that arose during the workshop. |
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http://hal.archives-ouvertes.fr/docs/00/26/88/41/PDF/fisher-loisel-wang-ISFA-WP2047.pdf
ERM-II Website
On behalf of the Society of Actuaries, the Casualty Actuarial Society and the Canadian Institute of Actuaries, a series of essays on Risk Management: The Current Financial Crisis, Lessons Learned and Future Implications. This e-book is the result of a call for essays on the subject http://www.ermii.org/News/Essays_on_Financial_Crisis.pdf
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