2007 Enterprise Risk Management Symposium

• ERM Symposium
• March 28–30, 2007
• Chicago, IL

Overview

Second Annual Scientific Track Continues to Push the Envelope at the ERM Symposium

• Steve Siegel
• Article

Presented Papers:

Scientific Paper Session 1:

• 2007 PRMIA Institute Award for New Frontiers in Risk Management
• Multivariate Operational Risk: Dependence Modelling with Levy Copulas
• Klaus Böcker and Claudia Klüppelberg
• Abstract
• Complete Paper

• 2007 ERM Research Excellence Award
• Information Conveyed in Hiring Announcements of Senior Executives Overseeing Enterprise-Wide Risk Management Processes
• Mark Beasley, Don Pagach and Richard Warr
• Complete Paper

Scientific Paper Session 2:

• 2007 Best Paper–Practical Risk Management Applications
• Capital Allocation by Percentile Layer
• Neil M. Bodoff, FCAS, MAAA
• Abstract
• Complete Paper

• Integrated Risk Measurement for Portfolio of Various Assets at Continuous Time Horizons
• Ng Kah Hwa and Ma Lanfang
• Abstract
• Complete Paper

Scientific Paper Session 3:

• A Business Model Approach to Measure Risks
• Thomas S. Y. Ho, Ph.D.
• Abstract
• Complete Paper

• The Relationship between Risk Capital and Required Returns in Financial Institutions: Some Preliminary Results
• Alistair Milne and Mario Onorato
• Abstract
• Complete Paper

Accepted papers Not Presented at the Symposium

• The Fundamentals of Designing an Integrated Model of Financial Risk and Operational Risk within an Enterprise Risk Management Framework: Findings of an Empirical Study
• Dr. Madhusudan Acharyya
• Abstract
• Complete Paper

• General Re–Rating Formula
• Muhamed Borogovac, Ph.D.
• Abstract
• Complete Paper

• ERM and the Failure of Risk Management: An Asian Perspective
• Ran Fuchs
• Abstract
• Complete Paper

• Are At–Risk Measures Useful Measures of Risk at the Corporate Level?
• Håkan Jankensgård
• Abstract
• Complete Paper

• Integration of Financial Risk with Efficiency Measurement: Case of Summer 2006 in Electricity Sales Business in Poland
• Dariusz Michalski, Ph.D. and Marcin Wisniowski
• Abstract
• Complete Paper

• Efficient Project Portfolio as a Tool for Enterprise Risk Management
• Valentin O. Nikonov
• Abstract
• Complete Paper

• Risk: Applying a New Portfolio Risk/Return Measurement Methodology Based on Recent Advances in Quantifying Stable Paretian Fat Tailed Distributions and Investor Loss Aversion Preferences?
• Rawley Thomas
• Abstract
• Complete Paper

• Operational Risk Management in Local Chinese Securities Companies
• Wei Wang
• Abstract
• Complete Paper

• Bank Management Using Basel II–Data: Is the Collection, Storage and Evaluation of Data Calculated with Internal Approaches Dispensable?
• Dennis Kundisch, Fabian M. Löhner, David Rudolph, Marcus Steudner, Christian Weiss
• Abstract
• Complete Paper