Der Vortrag „Enterprise Risk Management“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Operational Risk“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
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... It conveys that an organization has a vision to identify, measure and manage all types of risks in an integrated ...
... ERM Framework: Institutionalize methods for risk management, measurement, aggregation and monitoring across the org. Calculate diversified Economic Capital and use it for different applications. Move towards ICAAP. Value-chain optimization ...
... ability of a firm to invest in good opportunities (called as 'underinvestment' problem). Enables to identify retain core risks that it can manage while hedging for the rest. Leads to management of risks throughout the firm in a decentralized fashion by business managers. ...
... under (e.g. market based value of firm Vs. GAAP networth, cashflow at risk vs. earnings at risk). Economic measures focuses on present and future cashflows while Accounting measure focuses on volatility of earnings. ...
... Market and Operational Risk reduces the aggregated Economic Capital. Correlations play an important role since it can provide diversification benefit or may even lead to an increase ...
... Risk management philosophy & culture. Risk Limits Organization and Culture. Execution. Risk (event) identification. Risk evaluation. Risk response. Risk Assessment Process. Information infrastructure. Common reporting metrics. Information reports. ...
... plan/budget for capital for future periods. Correct pricing of risks by taking into account expected and unexpected losses. Risk based limits management system that ties customer funding to risk that ...
... other exposures over a given time period, at a statistical confidence interval. Risk Analysts (CRO office) oversees sufficiency of this form of capital. Economic Capital (Driver of Shareholder return): Amount of shareholder investment in a bank/FI which is either at risk in a ...
... limitations such as: Creates potential for regulatory arbitrage. It fails to account for diversification benefits or perils of concentration when aggregating risks. Fails to account for group companies that may ...
... of revenue stream (Diversification of Income Risk). However, empirical evidence suggests that diversification benefits do not necessarily mean lower economic risks. Risks could increase because of the following reasons: Increase in correlations once 'silos' ...
... Credit Risk Portfolio, Market Risk Portfolio, P&C Portfolio, etc.). Decrease at the level of Business Line (Level 2). -Example combining asset, liability and operating risks in P&C or life insurance line of business. ...
... If there is an excess accumulation of economic capital then there is a failure of existing management. As new projects are picked up, then the probability of financial distress increases. If the risk of financial distress ...
...Which of the following statements are most likely correct: i. Market risk models are primarily driven by historical data, whereas operational risk models often incorporate more qualitative information. ii. Backtesting is generally a more useful form of validation for market ...
... and stocks, correlation estimates for market and credit risk can be derived using equity returns if Merton's model for the pricing of debt holds. ii. If correlations between highly adverse market, credit, and operational outcomes are high, there is diversification across risk ...