ERM Library

The ERM Library is a collection of articles, papers and books related to Enterprise Risk Management. Some papers require members to log-in due to licensing restrictions.

Users can search the library by general category, specific risk category or by using the keyword search feature. Alternatively you can select all documents to browse the entire library. The library can also be filtered and sorted by using any of the headings shown below.

The ERM library has not been updated since early 2019 so

  • Papers published after 2018 will not be included
  • Some of the documents listed may now be out of date or superseded.
Title Published Author Publication Type Resource Type
Calibration of the Premium and Reserve Risk Factors in the Standard Formula of Solvency II Report of the Joint Working Group on Non-Life and Health NSLT Calibration Paper Academic
Evolution of Loss Reserve Risk Thomas Conway, ACAS, MAAA
Mark McCluskey 		Paper Commercial
One-year reserve risk including a tail factor:closed formula and bootstrap approaches Alexandre Boumezoued
Yoboua Angoua
Laurent Devineau
Jean-Philippe Boisseau 		Paper Commercial
Risk-Based Capital (RBC) Premium Risk Charges Improvements to Current Calibration Method CAS Risk-Based Capital (RBC) Research Working Parties Paper Academic
Methods for Estimating Premium Risk for Solvency Purposes Daniel Rufelt Paper Academic
Modeling Parameter Risk in Premium Risk in Multi-Year Internal Models Dorothea Diers, Martin Eling, Marc Linde Paper Academic
The one-year non-life insurance risk Ohlsson, Esbjorn & Lauzeningks Paper Academic
Analyzing Concentration Risk Diane Reynolds Paper Commercial
Single-name concentration risk in credit portfolios: a comparison of concentration indices Raffaella CalabreseUniversity College DublinFrancesco PorroUniversit`a degli Studi di Milano-Bicocca Paper Academic
Principles for the management of concentration risk MFSA Paper Commercial
Managing Concentration Risk: A Community Bank Perspective JEREMY TAYLOR, AuditOne LLC Paper Commercial
Concentration Risk Measures and De-concentration Optimization Luyang Fu, Ph.D., FCAS, MAAA Paper Commercial
Bits guide to concentration risk in outsourcing relationships BITS Paper Commercial
Correspondent Concentration Risks Federal Reserve Article Commercial
Concentration risk and the optimal numberof central counterparties for a single asset FABIEN RENAULTPayment Systems and Market Infrastructures DirectorateBanque de France Paper Commercial
Measuring Concentration Risk in Bank Credit Portfolios using Granularity Adjustment: Practical Aspects Mindaugas Juodis, Vytautas Valvonis, Raimondas Berninas, Marijus Beivydas Paper Commercial
Supervisory Letter - Concentration Risk National Credit Union Association Article Commercial
Efficient Concentration Risk Measurement in Credit Portfolios with Haar Wavelets Josep J. Masdemont and Luis Ortiz-Gracia Paper Academic
Understanding the Effect of Concentration Risk in the Banks Credit Portfolio: Indian Cases Dr. Arindam Bandyopadhyay, Associate Professor (Finance),National Institute of Bank Management (NIBM) Paper Academic
Assessing concentration risk in individual countries Yan Zilbering, David T. Kwon Paper Commercial
Concentration RiskWhere we are Miguel A Iglesias Paper Commercial
Measuring the Risk Concentration of Investment Portfolios PIERRE HEREIL AND THIERRY RONCALLI Article Commercial
Explaining extreme events of 2013 from a climate perspective Stephanie C. Herring, Martin P. Hoerling, Thomas C. Peterson, and Peter A. Stott Paper Academic
Quantifying flood risk of extreme events using density forecasts based on a new digital archive and weather ensemble
predictions 		Patrick E. McSharry, Max A. Little, Harvey J. E. Roddac and John Roddac Paper Academic
A Framework for Risk Management of Extreme Events: Evidence from Firms Howard Kunreuther Paper Academic
An Application of Extreme Value Theory for Measuring Financial Risk Manfred Gilli, Evis Kellezi Paper Academic
People Get Ready: Disaster Preparedness HOWARD KUNREUTHER
ERWANN MICHEL-KERJAN 		Paper Academic
Managing large-scale risks in a new era of catastrophes Neil A. DohertyMartin F. GraceRobert W. KleinHoward C. KunreutherErwann O. Michel?KerjanMark V. Pauly Paper Academic
Environmental prediction, risk assessment and extreme events: adaptation strategies for the developing world PETER J. WEBSTER
JUN JIAN 		Paper Academic
Flood Aid: How to Fix the System Howard Kunreuther Article Academic
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