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