Advanced ERM Session 7: Economic capital and Managing other risks

This presentation is based on a part of an academic course on Advanced Enterprise Risk Management (Advanced ERM) titled ‘Economic capital and Managing other risks’ and covers topics such as: economic capital, economic capital models, RAROC and Economic Value Added (EVA), measuring, managing and mitigating other risks (i.e. not market, credit, operational or liquidity orientated risks), counterparty risk (including reinsurance credit risk), strategic, business and political risk, sovereign risk, accounting risk, reputational risk, insurance risk, demographic, pension and healthcare risk, contagion and group risk

1Session 7: Economic capital and Managing other risks
2Session 7: Economic capital and Managing other risks
3Economic capital
4Determining economic capital for given risk tolerance
5Alternative definitions
6Economic vs. Regulatory and Rating Agency Capital
7Reasons for focusing on economic capital
8Applications (1)
9Applications (2)
10Methods for computing economic capital (1)
11Methods for computing economic capital (2)
12Session 7: Economic capital and Managing other risks
13RAROC (1)
14RAROC (2)
15RAROC (3)
16Economic value added (EVA)
17RAROC: Example calculation
18RAROC: Possible approaches to setting RAROC rate
19RAROC: practical issues
20Capital allocation
21Product margin will depend on
22Designing an economic capital model
23Running an economic capital model
24Session 7: Economic capital and Managing other risks
25Counterparty risk
26Collateralisation, e.g. with derivative contracts (1)
27Collateralisation, e.g. with derivative contracts (2)
28Strategic, business and political risk
29Political risk
30Reinsurance credit risk
31Sovereign risk (1)
32Sovereign risk – historical perspective
33Accounting risk
34Reputational risk
35Insurance risk
36Demographic, pension and healthcare risk
37Clarity / transparency and coverage
38Governance challenges for pension funds include
39Proposed IORP II Directive
40Contagion risk
41Group risk (1)
42Group risk (2)
43Session 7: Agenda covered
44Important Information

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