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Risk Appetite, Tolerance, Capacity and Limits Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 One of the most challenging parts of ORSA is trying to understand the differences between risk appetite, risk tolerance and risk limits. Some of the …

Exploring Risk Appetite and Risk Tolerance Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 Enterprise risk management (ERM) has become a critical practice in organizations that are dedicated to managing uncertainty and its effect on achieving …

Risk appetite in the financial services industry Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 This paper provides a brief recap of the evolution of the risk appetite concept in the banking industry. The main focus, however, is the practical …

Risk appetite frameworks: How to spot the genuine article Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 An effective Risk Appetite Framework has been identified as a critical component of an effective risk management and governance framework and …

Rising interest rates, lapse risk, and the stability of life insurers Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 These slides examine the interest rate sensitivity of a life insurer's liquidity and solvency - with particular focus on an …

Lapse risk in life insurance: Correlation and contagion effects among policyholders' behaviors Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 The present paper proposes a new methodology to model the lapse risk in life insurance by integrating the …

Credit risk transfer and contagion Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have suggested that they may be …

Modeling Policyholder Behavior for Life Assurance and Annuity Products Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 The Financial Reporting Section and Committee on Life Insurance Research announce the release of a new report examining current …

Cross-Border Bank Contagion Risk in Europe Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 Contagion across banks is widely perceived to be an important element in banking crises and thus a major systemic stability concern. This special feature …

Model risk of risk models Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent …

A New Approach to Assessing Model Risk in High Dimensions Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 A central problem for regulators and risk managers concerns the risk assessment of an aggregate portfolio defined as the sum of d individual …

Model risk - illuminating the black box Submitted by TheSecretariat on Mon, 27/05/2019 - 16:59 This paper presents latest thinking from the Institute and Faculty of Actuaries' (IFoA) Model Risk Working Party and follows on from their Phase I work, Model …