This document discusses enterprise risk management and business continuity. It begins with an introduction of the speaker and his background. The rest of the document covers: how the world is becoming riskier; the evolution of enterprise risk management from siloed risk management to a holistic approach; the relationship between ERM and business continuity planning; keys to successful ERM and BCP implementation like management support and communication; and concludes that modern times are defined by better managing risk.
This document discusses innovations in finance from the 1950s to today. It begins by outlining conventional wisdom from the 1930s that focused on picking individual winners and holding concentrated portfolios. It then summarizes several seminal works and developments that helped shift the field: James Tobin's separation theorem emphasized diversification; William Sharpe developed the single-factor capital asset pricing model relating risk and return; Eugene Fama developed the efficient market hypothesis asserting that markets accurately reflect information. This led to the development of index funds by John Bogle, providing low-cost, passive investment options. Overall, the document outlines major theoretical and practical innovations that professionalized the field of finance and emphasized diversification, risk-adjusted returns, and passive investing.
The document discusses the performance of various model investment portfolios from 1973-2010. It provides the annualized compound returns and annualized standard deviations for 5 model portfolios over this period. The model portfolios had varying allocations to US and international stocks, bonds, and emerging markets. Model portfolio 5, which had the most diversified allocation, achieved the highest annualized return of 11.65% and relatively low standard deviation of 11.26% compared to the other portfolios.
Hedging or market timing? selecting the interest rate exposure of corporate d...Stephan Chang
1. The document examines how firms choose the interest rate exposure of newly issued debt. It analyzes whether firms are hedging interest rate risk or timing the market.
2. Empirical analysis of debt issuances by chemical firms from 1994-1999 finds that firms' cash flow sensitivity to interest rates does not predict their choice of fixed or floating rate debt.
3. Firms are more likely to issue floating rate debt when yield spreads are higher, indicating they are timing the market rather than hedging firm-specific risks. The findings suggest firms manage macroeconomic and industry risks rather than hedging internal risks.
This document provides a quarterly market review for the fourth quarter of 2011. It summarizes the performance of various asset classes including stocks and bonds in US and international markets. Stocks posted strong returns in the quarter but were mostly negative for the full year. US stocks significantly outperformed international developed and emerging market stocks. Real estate investment trusts and bonds had mixed performance compared to other asset classes.
Bad Beta, Good Beta
By John Y. Campbell And Tuomo Vuolteenaho
Presentation by Michael-Paul James
Cash flow and discount rate betas estimates stock market risk factors
more efficiently than CAPM over time.
○ Cash flow news
■ Stock returns covariance with cash flows news
○ Discount rate news
■ Stock returns covariance with discount rate news
● “Bad” cash flow beta (risk) demands higher premiums than “good”
discount rate beta (risk).
● Value and small stocks have higher cash flow betas than growth and
large stocks on average.
● High average returns on value and small stocks are appropriate
compensation for risk, not an unrealized benefit to ownership.
● Overweighting small and value stocks benefit low risk aversion equity
investors
● Underweighting small and value stocks benefit high risk aversion
equity investors
● Model offers strong explanatory power in the cross section of asset
returns with theoretical values
● ICAPM outperforms the CAPM in empirical research
This document provides an overview and agenda for a presentation on successful planning strategies for life and investments. It discusses Barry Mendelson's background and experience in financial services. It also summarizes Just Plans Etc., the firm he founded, which provides financial planning and investment management. The presentation agenda covers investment planning, personal planning, and charitable giving strategies.
The document discusses key concepts related to risk and return in investments. It defines return as the motivating force for making investments, while risk refers to uncertainty in future cash flows. There are different types of returns such as historical returns and expected returns. Risk is measured using concepts like variance, standard deviation, and beta. The Capital Asset Pricing Model relates risk and return, with expected return equal to the risk-free rate plus a risk premium based on systematic risk. Diversification can reduce unsystematic risk but not systematic risk. Understanding the risk-return relationship is important for investment decision making.
Pembroke North american-update-dec-2018-englishHarmony Kan
This document provides a summary of global market performance in 2018 and an outlook on Canadian markets. It notes that most global markets had negative returns for the year due to multiple compression. Canadian markets are attractively valued relative to US markets and Pembroke Canadian portfolios are selling at a discount to recent history. Despite disappointing returns, the fundamentals of Pembroke's Canadian holdings remain strong and continued growth is expected, supporting above-market long-term performance for Pembroke's strategies.
This document discusses innovations in finance from the 1950s to today. It begins by outlining conventional wisdom from the 1930s that focused on picking individual winners and holding concentrated portfolios. It then summarizes several seminal works and developments that helped shift the field: James Tobin's separation theorem emphasized diversification; William Sharpe developed the single-factor capital asset pricing model relating risk and return; Eugene Fama developed the efficient market hypothesis asserting that markets accurately reflect information. This led to the development of index funds by John Bogle, providing low-cost, passive investment options. Overall, the document outlines major theoretical and practical innovations that professionalized the field of finance and emphasized diversification, risk-adjusted returns, and passive investing.
The document discusses the performance of various model investment portfolios from 1973-2010. It provides the annualized compound returns and annualized standard deviations for 5 model portfolios over this period. The model portfolios had varying allocations to US and international stocks, bonds, and emerging markets. Model portfolio 5, which had the most diversified allocation, achieved the highest annualized return of 11.65% and relatively low standard deviation of 11.26% compared to the other portfolios.
Hedging or market timing? selecting the interest rate exposure of corporate d...Stephan Chang
1. The document examines how firms choose the interest rate exposure of newly issued debt. It analyzes whether firms are hedging interest rate risk or timing the market.
2. Empirical analysis of debt issuances by chemical firms from 1994-1999 finds that firms' cash flow sensitivity to interest rates does not predict their choice of fixed or floating rate debt.
3. Firms are more likely to issue floating rate debt when yield spreads are higher, indicating they are timing the market rather than hedging firm-specific risks. The findings suggest firms manage macroeconomic and industry risks rather than hedging internal risks.
This document provides a quarterly market review for the fourth quarter of 2011. It summarizes the performance of various asset classes including stocks and bonds in US and international markets. Stocks posted strong returns in the quarter but were mostly negative for the full year. US stocks significantly outperformed international developed and emerging market stocks. Real estate investment trusts and bonds had mixed performance compared to other asset classes.
Bad Beta, Good Beta
By John Y. Campbell And Tuomo Vuolteenaho
Presentation by Michael-Paul James
Cash flow and discount rate betas estimates stock market risk factors
more efficiently than CAPM over time.
○ Cash flow news
■ Stock returns covariance with cash flows news
○ Discount rate news
■ Stock returns covariance with discount rate news
● “Bad” cash flow beta (risk) demands higher premiums than “good”
discount rate beta (risk).
● Value and small stocks have higher cash flow betas than growth and
large stocks on average.
● High average returns on value and small stocks are appropriate
compensation for risk, not an unrealized benefit to ownership.
● Overweighting small and value stocks benefit low risk aversion equity
investors
● Underweighting small and value stocks benefit high risk aversion
equity investors
● Model offers strong explanatory power in the cross section of asset
returns with theoretical values
● ICAPM outperforms the CAPM in empirical research
This document provides an overview and agenda for a presentation on successful planning strategies for life and investments. It discusses Barry Mendelson's background and experience in financial services. It also summarizes Just Plans Etc., the firm he founded, which provides financial planning and investment management. The presentation agenda covers investment planning, personal planning, and charitable giving strategies.
The document discusses key concepts related to risk and return in investments. It defines return as the motivating force for making investments, while risk refers to uncertainty in future cash flows. There are different types of returns such as historical returns and expected returns. Risk is measured using concepts like variance, standard deviation, and beta. The Capital Asset Pricing Model relates risk and return, with expected return equal to the risk-free rate plus a risk premium based on systematic risk. Diversification can reduce unsystematic risk but not systematic risk. Understanding the risk-return relationship is important for investment decision making.
Pembroke North american-update-dec-2018-englishHarmony Kan
This document provides a summary of global market performance in 2018 and an outlook on Canadian markets. It notes that most global markets had negative returns for the year due to multiple compression. Canadian markets are attractively valued relative to US markets and Pembroke Canadian portfolios are selling at a discount to recent history. Despite disappointing returns, the fundamentals of Pembroke's Canadian holdings remain strong and continued growth is expected, supporting above-market long-term performance for Pembroke's strategies.
FMP Market Themes and Outlook January 2013kmyoung1
This document provides a market outlook and investment themes for 2013 from FMPartners. It summarizes current economic conditions and sees modest GDP growth in the US. The main investment themes highlighted are global fiscal concerns, divergent growth between developed and emerging markets, credit dislocation, and inflationary pressures. The market outlook projects the S&P 500 will end 2013 around 1561 based on analyst forecasts. Key drivers of growth are seen as the ongoing US housing recovery, employment gains, manufacturing expansion, and domestic energy production. Equities are assessed as fairly valued currently based on dividend and debt yield comparisons. Risks in fixed income include the constrained credit environment and global deleveraging.
Foreign Exchange Exposure Management: Benchmarking the Practices of 275 Firms Proformative, Inc.
The document summarizes the findings of a global study on foreign exchange exposure management practices. Some key findings include:
- 59% of companies surveyed reported a material foreign exchange gain or loss over the past 12 months, up from 40% in 2008.
- Challenges with data integrity and exposure calculation were cited as the top issues facing FX risk management.
- A majority of companies monitored exposures monthly, but frequency alone could not overcome issues with unreliable data.
- 71% of companies hedged 80% or less of their exposure, suggesting a lack of confidence in exposure calculations.
- The document discusses market opportunities in light of current global economic conditions and asset allocation views.
- Key areas discussed include slowing US job growth, low returns requiring defensive positioning, China's bad bank debts limiting stimulus, a structurally weak South African rand, and weakening support from SA consumers.
- The document identifies opportunities in offshore property and bonds, which are highlighted as almost but not quite favorable. It provides analysis to support positive views on offshore assets and cautious views on local South African exposures.
GSM5421 Investment Analysis MBA Quick NotesAminudin Saari
This document summarizes various methods for valuing stocks and portfolios, including discounted cash flow models, relative valuation using multiples, and asset-based valuation. It discusses calculating expected returns and risks at both the portfolio and single investment level. Key factors like betas, market risk premiums, and the security market line are explained in the context of the capital asset pricing model.
Presentation steel & mining day (deutsche bank)mmxriweb
MMX is a Brazilian mining company focused on iron ore and its production chain. It operates three integrated mining systems - Corumbá, Amapá, and Minas-Rio. The Corumbá system is currently operating an iron ore mine and has received permits to build a pig iron plant. The Amapá system has received permits for its mine and railway is being repaired. The Minas-Rio system plans to begin pellet production in 2009 after additional resource drilling and permitting. MMX is financing its projects through loans and has disbursed $64.5 million as of September 2006, with further payments planned for 2007.
The document summarizes MMX's public meeting for investors and analysts on December 18, 2006. It provides an overview of MMX, its integrated mining systems including Corumbá, Amapá and Minas-Rio, operational status updates, permitting timelines, CAPEX disbursement schedules, and financing plans. Key points include MMX receiving construction licenses for Corumbá's pig iron plant and Amapá mine, progress on Amapá's railway and port, and additional drilling planned for Minas-Rio's Serra do Sapo resource.
This document provides an overview of security analysis and portfolio management. It discusses key economic indicators like GDP, inflation, and interest rates. It also covers different types of financial assets and markets, as well as approaches to valuation, fundamental analysis, and portfolio performance evaluation. Several examples are given showing how equity investments can generate high returns over long periods through reinvestment of dividends and capital appreciation. The size and growth prospects of the Indian economy and financial markets are also summarized.
This document discusses modern approaches to measuring market risk for banks. It describes value at risk (VAR) models, which estimate potential losses over a given period at a certain confidence level, usually 1% or 5%. The document provides an example of calculating VAR using the variance-covariance method for a portfolio with two asset classes. It also briefly mentions stress testing as another modern approach to measure market risk. Overall, the document outlines how VAR models have become important tools for banks to quantify and manage their exposure to market risk.
GSM5480 International Finance MBA Quick NotesAminudin Saari
The document discusses several topics related to multinational corporations (MNCs) and international finance. It first describes agency costs that are larger and more complicated for MNCs due to factors like logistics, size, and foreign goals. It then discusses various risks and uncertainties MNCs face from factors in the micro-environment and macro-environment. Finally, it examines reasons for international trade and investment, including theories of comparative advantage and imperfect markets, as well as events that increased globalization like GATT and the EU.
Trading Strategies Based on Market Impact of Macroeconomic Announcementsby A...Quantopian
1) The document discusses trading strategies based on the market impact of macroeconomic announcements. It analyzes 18 major US macroeconomic indicators from 2009-2013 and their impact on equity ETF returns on announcement days.
2) Key findings include several indicators having statistically significant impact on returns, including ISM Manufacturing Index, Non-Farm Payrolls, International Trade Balance, and Housing Starts. Trading strategies based on announcements of significant indicators achieved higher risk-adjusted returns than buy-and-hold.
3) The study also analyzes the impact of economic announcement surprises, actual changes, and expected changes. It found that strategies based on actual changes generally had the lowest volatility and performed well even before and after the
mohon maaf saya lupa sumber file ini jadi tidak saya cantumkan sumber aslinya. Semoga Allah Ta'ala Mengampuni & memberikan kebaikan untuk pembuatnya. Aamin yaa Rabb
mohon maaf saya lupa sumber file ini jadi tidak saya cantumkan sumber aslinya. Semoga Allah Ta'ala Mengampuni & memberikan kebaikan untuk pembuatnya. Aamin yaa Rabb
Pemerintah Indonesia berencana mengembangkan industri halal untuk meningkatkan ekspor dan pariwisata. Beberapa langkah yang akan dilakukan antara lain mempromosikan produk halal ke pasar global, meningkatkan sertifikasi produk halal, serta melatih SDM agar dapat bersaing di industri halal.
test upload..
mohon maaf saya lupa sumber file ini jadi tidak saya cantumkan sumber aslinya. Semoga Allah Ta'ala Mengampuni & memberikan kebaikan untuk pembuatnya. Aamin yaa Rabb
The document discusses the hierarchy of effects model, which describes the stages consumers progress through when making purchase decisions. It begins with awareness, then moves to knowledge, liking, preference, conviction, and finally purchase. The document also discusses how to apply the model based on consumer involvement, distinguishing between high and low involvement purchases that are more rational or emotional. Implications for marketing communications are provided, such as emphasizing features for rational purchases and storytelling for emotional purchases. The hierarchy of effects model provides a framework for marketers to structure objectives and analyze the impact of messages.
This document provides an overview of financial management. It discusses key topics such as the role of financial management in businesses, the scope and elements of financial management including investment, financial, and dividend decisions. It also covers related topics such as finance vs financing, careers in finance, financial institutions and capital markets, and financial management issues in the new millennium.
FMP Market Themes and Outlook January 2013kmyoung1
This document provides a market outlook and investment themes for 2013 from FMPartners. It summarizes current economic conditions and sees modest GDP growth in the US. The main investment themes highlighted are global fiscal concerns, divergent growth between developed and emerging markets, credit dislocation, and inflationary pressures. The market outlook projects the S&P 500 will end 2013 around 1561 based on analyst forecasts. Key drivers of growth are seen as the ongoing US housing recovery, employment gains, manufacturing expansion, and domestic energy production. Equities are assessed as fairly valued currently based on dividend and debt yield comparisons. Risks in fixed income include the constrained credit environment and global deleveraging.
Foreign Exchange Exposure Management: Benchmarking the Practices of 275 Firms Proformative, Inc.
The document summarizes the findings of a global study on foreign exchange exposure management practices. Some key findings include:
- 59% of companies surveyed reported a material foreign exchange gain or loss over the past 12 months, up from 40% in 2008.
- Challenges with data integrity and exposure calculation were cited as the top issues facing FX risk management.
- A majority of companies monitored exposures monthly, but frequency alone could not overcome issues with unreliable data.
- 71% of companies hedged 80% or less of their exposure, suggesting a lack of confidence in exposure calculations.
- The document discusses market opportunities in light of current global economic conditions and asset allocation views.
- Key areas discussed include slowing US job growth, low returns requiring defensive positioning, China's bad bank debts limiting stimulus, a structurally weak South African rand, and weakening support from SA consumers.
- The document identifies opportunities in offshore property and bonds, which are highlighted as almost but not quite favorable. It provides analysis to support positive views on offshore assets and cautious views on local South African exposures.
GSM5421 Investment Analysis MBA Quick NotesAminudin Saari
This document summarizes various methods for valuing stocks and portfolios, including discounted cash flow models, relative valuation using multiples, and asset-based valuation. It discusses calculating expected returns and risks at both the portfolio and single investment level. Key factors like betas, market risk premiums, and the security market line are explained in the context of the capital asset pricing model.
Presentation steel & mining day (deutsche bank)mmxriweb
MMX is a Brazilian mining company focused on iron ore and its production chain. It operates three integrated mining systems - Corumbá, Amapá, and Minas-Rio. The Corumbá system is currently operating an iron ore mine and has received permits to build a pig iron plant. The Amapá system has received permits for its mine and railway is being repaired. The Minas-Rio system plans to begin pellet production in 2009 after additional resource drilling and permitting. MMX is financing its projects through loans and has disbursed $64.5 million as of September 2006, with further payments planned for 2007.
The document summarizes MMX's public meeting for investors and analysts on December 18, 2006. It provides an overview of MMX, its integrated mining systems including Corumbá, Amapá and Minas-Rio, operational status updates, permitting timelines, CAPEX disbursement schedules, and financing plans. Key points include MMX receiving construction licenses for Corumbá's pig iron plant and Amapá mine, progress on Amapá's railway and port, and additional drilling planned for Minas-Rio's Serra do Sapo resource.
This document provides an overview of security analysis and portfolio management. It discusses key economic indicators like GDP, inflation, and interest rates. It also covers different types of financial assets and markets, as well as approaches to valuation, fundamental analysis, and portfolio performance evaluation. Several examples are given showing how equity investments can generate high returns over long periods through reinvestment of dividends and capital appreciation. The size and growth prospects of the Indian economy and financial markets are also summarized.
This document discusses modern approaches to measuring market risk for banks. It describes value at risk (VAR) models, which estimate potential losses over a given period at a certain confidence level, usually 1% or 5%. The document provides an example of calculating VAR using the variance-covariance method for a portfolio with two asset classes. It also briefly mentions stress testing as another modern approach to measure market risk. Overall, the document outlines how VAR models have become important tools for banks to quantify and manage their exposure to market risk.
GSM5480 International Finance MBA Quick NotesAminudin Saari
The document discusses several topics related to multinational corporations (MNCs) and international finance. It first describes agency costs that are larger and more complicated for MNCs due to factors like logistics, size, and foreign goals. It then discusses various risks and uncertainties MNCs face from factors in the micro-environment and macro-environment. Finally, it examines reasons for international trade and investment, including theories of comparative advantage and imperfect markets, as well as events that increased globalization like GATT and the EU.
Trading Strategies Based on Market Impact of Macroeconomic Announcementsby A...Quantopian
1) The document discusses trading strategies based on the market impact of macroeconomic announcements. It analyzes 18 major US macroeconomic indicators from 2009-2013 and their impact on equity ETF returns on announcement days.
2) Key findings include several indicators having statistically significant impact on returns, including ISM Manufacturing Index, Non-Farm Payrolls, International Trade Balance, and Housing Starts. Trading strategies based on announcements of significant indicators achieved higher risk-adjusted returns than buy-and-hold.
3) The study also analyzes the impact of economic announcement surprises, actual changes, and expected changes. It found that strategies based on actual changes generally had the lowest volatility and performed well even before and after the
mohon maaf saya lupa sumber file ini jadi tidak saya cantumkan sumber aslinya. Semoga Allah Ta'ala Mengampuni & memberikan kebaikan untuk pembuatnya. Aamin yaa Rabb
mohon maaf saya lupa sumber file ini jadi tidak saya cantumkan sumber aslinya. Semoga Allah Ta'ala Mengampuni & memberikan kebaikan untuk pembuatnya. Aamin yaa Rabb
Pemerintah Indonesia berencana mengembangkan industri halal untuk meningkatkan ekspor dan pariwisata. Beberapa langkah yang akan dilakukan antara lain mempromosikan produk halal ke pasar global, meningkatkan sertifikasi produk halal, serta melatih SDM agar dapat bersaing di industri halal.
test upload..
mohon maaf saya lupa sumber file ini jadi tidak saya cantumkan sumber aslinya. Semoga Allah Ta'ala Mengampuni & memberikan kebaikan untuk pembuatnya. Aamin yaa Rabb
The document discusses the hierarchy of effects model, which describes the stages consumers progress through when making purchase decisions. It begins with awareness, then moves to knowledge, liking, preference, conviction, and finally purchase. The document also discusses how to apply the model based on consumer involvement, distinguishing between high and low involvement purchases that are more rational or emotional. Implications for marketing communications are provided, such as emphasizing features for rational purchases and storytelling for emotional purchases. The hierarchy of effects model provides a framework for marketers to structure objectives and analyze the impact of messages.
This document provides an overview of financial management. It discusses key topics such as the role of financial management in businesses, the scope and elements of financial management including investment, financial, and dividend decisions. It also covers related topics such as finance vs financing, careers in finance, financial institutions and capital markets, and financial management issues in the new millennium.
This presentation provides an overview of enterprise risk management (ERM). It defines risk and ERM, outlines the key components of an ERM framework including risk identification, assessment, and response. It discusses the roles of management, the board of directors, and internal auditors in ERM. The presentation traces the evolution of risk management from a focus on hazards to a holistic enterprise-wide approach. It emphasizes that strong internal controls are essential to effective ERM.
The document provides an overview of risk management frameworks and concepts. It discusses corporate governance and operational risk analysis. It begins with an open discussion on corporate cultures and governance. It then presents the COSO and ISO 31000 risk management frameworks. It also discusses risk appetite, culture and behavior, and how human biases can impact risk assessment and decision making. Key models for assessing financial, infrastructure, marketplace and reputational risks are presented. The document emphasizes the importance of risk management processes and having a structured approach to identify, evaluate and respond to risks.
Presentation discussing the importance of reserves, how they should be used, ways to predict risk, and strategies for enhancing - Tate Tryon CPAs - Nonprofit CPA Firm
This document discusses key considerations for developing a global credit policy and managing international credit risk. It outlines several benefits of a well-constructed credit policy, such as recognizing the role of credit management, demonstrating a positive attitude towards global customers, and distinguishing differences between domestic and international credit risk. The document also discusses factors to consider when assessing global credit risk, such as country, currency, culture, and political environment. It notes that computers and automated systems now play a significant role in credit approval and risk management decisions.
The document discusses common causes of financial crises and failures based on lessons learned from the recent global financial crisis. It outlines regulatory reforms proposed as a result, and emphasizes the importance of basic risk analysis for banks. Key causes mentioned include flawed business strategies, poor governance/oversight, excessive risk-taking, and macroeconomic imbalances. Proper accountability of all stakeholders in risk management is highlighted.
A quant at a pension fund develops quantitative models to optimize bond portfolios, analyze alternative investment opportunities, and forecast interest rates. Their models aim to maximize returns while minimizing risks within the fund's constraints. They evaluate structured products and credit derivatives to determine if they provide fair value and diversification. Their interest rate swap models seek to understand drivers of swap spreads for liability hedging and portfolio management purposes.
The document discusses the growing partnership between risk management and business continuity management. It provides an overview of risk management concepts and frameworks, outlines the evolution from traditional to more strategic risk management approaches, and examines how risk management and business continuity management have common and overlapping stakeholders and both aim to identify and manage significant events and ensure organizational resilience through coordinated activities.
The chapter discusses the efficient market hypothesis (EMH) which posits that security prices fully reflect all available information. It categorizes the EMH into weak, semi-strong, and strong forms based on the type of information reflected in prices. The implications of EMH for investment and corporate finance are explored. Empirical tests on market efficiency are outlined relating to anomalies in stock returns, market reactions to news, and performance of professional managers. While some evidence supports market efficiency, anomalies exist that may be explained by time-varying risk factors or behavioral biases.
This document provides an overview of risk management concepts including enterprise risk management (ERM), own risk and solvency assessment (ORSA), economic capital modeling, continuity analysis, and the role of supervision. It discusses key aspects of ERM frameworks, governance structures, developing risk functions, risk policies, risk profiling processes, and qualitative and quantitative risk evaluation methods. It also outlines the purposes and processes of economic capital models, continuity analysis, and supervisory oversight. Soft skills training is also briefly mentioned.
This document provides an agenda and overview of a workshop on ISO 31000 (Nov. 2009) for risk management. The agenda covers defining risk, adopting the ISO 31000 framework, an overview of the framework including principles and process, selling enterprise risk management to senior management, using risk appetite and risk matrices, integrating risk management practices, and next steps for implementation and measurement. The workshop aims to explain the key aspects of the new ISO 31000 standard and how to implement an effective risk management program based on this international standard.
Development of Earnings at Risk - Sun Life FinancialRon Harasym
1) The document discusses Sun Life Financial's progression from using Market Risk Tolerance Limits (MRTLs) to using Earnings-at-Risk (EaR) for enterprise risk management. MRTLs established sensitivity testing limits for interest, equity, and currency risk, while EaR provides a probabilistic measure of risk through 10,000 economic scenarios.
2) A sample EaR report shows the total EaR by risk originator and country, both with and without correlation effects. Interest rate risk generally accounted for the largest EaR amounts.
3) While MRTLs and EaR are decision support tools, the company recognizes further evolution is needed to fully embed risk management
The 2nd seminar of Friends4Growth in Ho Chi Minh city with Prof. Enoch Ch'ng from SMU - Singapore Management University.
Friends4Growth
Together We Grow
--------------------------------------------------
Friends4Growth is a group of young professionals, who share a common passion to learn and grow more in their career through formal and informal educational opportunities. The group was founded by Vietnamese national Le Tran, a Wharton MBA Class of 2009.
The Friends4Growth mission is as follows:
- Be a place for young professionals to exchange and enhance knowledge
- Bring educational opportunities to members by providing access to well-known professors, business leaders and industry experts
- Provide information of universities around the world to members with intention to study abroad
- Share experience in studying, job search, working and living outside Vietnam
To achieve its mission, the group organizes various activities on a monthly basis to its members, such as:
- Seminars on various industry topics, with a sponsorship of the Singapore Management University.
- Coffee chats with experienced professionals from more developed economies
- Q&A sessions covering overseas life and work from seasoned experts
Website: www.friends4growth.com
Join us at: http://facebook.com/friends4growth and http://vn.linkedin.com/in/friends4growth
If you have any inquiry, please contact us at info@friends4growth.com
Asset liability management (ALM) aims to match assets and liabilities to control sensitivity to interest rate changes and limit losses. Key concepts discussed include liquidity risk, interest rate risk, gap analysis, duration gap analysis, and the role of the ALCO in managing risks. Liquidity and interest rate risks can arise from mismatches between asset and liability cash flows and interest rate sensitivities. ALM techniques assess risks and seek to balance risks from both sides of the balance sheet.
Equity Effectiveness SHRM Conference Puerto Rico 18 sept2014James Sillery
Presentation at the 2014 Puerto Rico Chapter SHRM Conference and Exposition on achieving equity effectiveness for multinational and domestic companies.
This document discusses risk and risk management. It begins with an overview of risk categories and types of organizational risks. It then covers establishing the risk management process, which includes identifying risks, analyzing them, integrating risks, assessing and prioritizing risks, and treating risks. It emphasizes that risk management is an ongoing process that requires monitoring and review. It also discusses risk response options and implementing controls assurance through various lines of defense and independent assurance.
Syntel is a global IT services company headquartered in Troy, Michigan that was founded in 1980. It has over 12,500 employees across 10 delivery centers in India and 3 in the US, as well as 15 sales offices globally. Syntel provides risk management and capital market services including instrument modeling, valuation, stress testing, and regulatory compliance support to banks, asset managers, and insurance companies. It offers independent price validation and risk reporting services using multiple models and data sources.
The document summarizes a global macro hedge fund called Zaratan Capital. It provides an overview of the firm, management team, and investment process. Some key points:
- Zaratan Capital utilizes a global macro strategy to take advantage of trends across rates, currencies, commodities, and equity markets globally using liquid derivatives.
- The investment team has over 75 years of combined experience in finance and has worked together for over a decade. They implement a process focused on macro theme identification, trade construction, portfolio construction, and risk management.
- Past performance shows the strategy has achieved positive returns with low volatility and the ability to withstand market drawdowns when employed by team members previously. The fund aims to provide
The document discusses various types of risks faced by financial institutions including market risk, liquidity risk, credit risk, and operational risk. It provides an overview of how to manage these risks through a generic risk management approach of identifying, prioritizing, classifying, quantifying, and mitigating risks. Dynamic hedging is discussed as a technique to manage risks from guarantees on investment products through regular adjustments of hedge positions.
STREETONOMICS: Exploring the Uncharted Territories of Informal Markets throug...sameer shah
Delve into the world of STREETONOMICS, where a team of 7 enthusiasts embarks on a journey to understand unorganized markets. By engaging with a coffee street vendor and crafting questionnaires, this project uncovers valuable insights into consumer behavior and market dynamics in informal settings."
South Dakota State University degree offer diploma Transcriptynfqplhm
办理美国SDSU毕业证书制作南达科他州立大学假文凭定制Q微168899991做SDSU留信网教留服认证海牙认证改SDSU成绩单GPA做SDSU假学位证假文凭高仿毕业证GRE代考如何申请南达科他州立大学South Dakota State University degree offer diploma Transcript
Fabular Frames and the Four Ratio ProblemMajid Iqbal
Digital, interactive art showing the struggle of a society in providing for its present population while also saving planetary resources for future generations. Spread across several frames, the art is actually the rendering of real and speculative data. The stereographic projections change shape in response to prompts and provocations. Visitors interact with the model through speculative statements about how to increase savings across communities, regions, ecosystems and environments. Their fabulations combined with random noise, i.e. factors beyond control, have a dramatic effect on the societal transition. Things get better. Things get worse. The aim is to give visitors a new grasp and feel of the ongoing struggles in democracies around the world.
Stunning art in the small multiples format brings out the spatiotemporal nature of societal transitions, against backdrop issues such as energy, housing, waste, farmland and forest. In each frame we see hopeful and frightful interplays between spending and saving. Problems emerge when one of the two parts of the existential anaglyph rapidly shrinks like Arctic ice, as factors cross thresholds. Ecological wealth and intergenerational equity areFour at stake. Not enough spending could mean economic stress, social unrest and political conflict. Not enough saving and there will be climate breakdown and ‘bankruptcy’. So where does speculative design start and the gambling and betting end? Behind each fabular frame is a four ratio problem. Each ratio reflects the level of sacrifice and self-restraint a society is willing to accept, against promises of prosperity and freedom. Some values seem to stabilise a frame while others cause collapse. Get the ratios right and we can have it all. Get them wrong and things get more desperate.
In a tight labour market, job-seekers gain bargaining power and leverage it into greater job quality—at least, that’s the conventional wisdom.
Michael, LMIC Economist, presented findings that reveal a weakened relationship between labour market tightness and job quality indicators following the pandemic. Labour market tightness coincided with growth in real wages for only a portion of workers: those in low-wage jobs requiring little education. Several factors—including labour market composition, worker and employer behaviour, and labour market practices—have contributed to the absence of worker benefits. These will be investigated further in future work.
OJP data from firms like Vicinity Jobs have emerged as a complement to traditional sources of labour demand data, such as the Job Vacancy and Wages Survey (JVWS). Ibrahim Abuallail, PhD Candidate, University of Ottawa, presented research relating to bias in OJPs and a proposed approach to effectively adjust OJP data to complement existing official data (such as from the JVWS) and improve the measurement of labour demand.
Abhay Bhutada, the Managing Director of Poonawalla Fincorp Limited, is an accomplished leader with over 15 years of experience in commercial and retail lending. A Qualified Chartered Accountant, he has been pivotal in leveraging technology to enhance financial services. Starting his career at Bank of India, he later founded TAB Capital Limited and co-founded Poonawalla Finance Private Limited, emphasizing digital lending. Under his leadership, Poonawalla Fincorp achieved a 'AAA' credit rating, integrating acquisitions and emphasizing corporate governance. Actively involved in industry forums and CSR initiatives, Abhay has been recognized with awards like "Young Entrepreneur of India 2017" and "40 under 40 Most Influential Leader for 2020-21." Personally, he values mindfulness, enjoys gardening, yoga, and sees every day as an opportunity for growth and improvement.
University of North Carolina at Charlotte degree offer diploma Transcripttscdzuip
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Vicinity Jobs’ data includes more than three million 2023 OJPs and thousands of skills. Most skills appear in less than 0.02% of job postings, so most postings rely on a small subset of commonly used terms, like teamwork.
Laura Adkins-Hackett, Economist, LMIC, and Sukriti Trehan, Data Scientist, LMIC, presented their research exploring trends in the skills listed in OJPs to develop a deeper understanding of in-demand skills. This research project uses pointwise mutual information and other methods to extract more information about common skills from the relationships between skills, occupations and regions.
1. Enterprise Risk Management
and
Business Continuity
Rick Gorvett, FCAS, MAAA, ARM, FRM, Ph.D.
Actuarial Science Professor
Departments of Mathematics and Finance
University of Illinois at Urbana-Champaign
Crisis Management & Business Continuity Seminar
Bloomington, IL
October 10, 2003
2. Agenda
• About me
• A risky world
• Broadening our perspective
• Enterprise risk management (ERM)
– Evolution
– Current state
– Relationship to Business Continuity
• Conclusion
3. “Who am I? Why am I here?”
- Admiral James Stockdale, 1992
• Currently
– Professor, Depts. of Mathematics and Finance
– University of Illinois at Urbana-Champaign
• Prior
– Senior Vice President
– Director of Internal Audit & Risk Management
• Internal Audit
• Corporate Investigations
• Risk Management
• Enterprise Risk Management
• Business Continuity
4. A Risky World
And it just seems to be getting riskier!
• What’s getting riskier about our world?
• What isn’t ?
– Perhaps aspects of technology, medical care,…?
• Evidence of riskiness
– Catastrophic events in a more crowded world
with greater vulnerabilities
– Current events
– Books – e.g., Safe Food: Eating Wisely in a
Risky World
– Financial markets
5. Why Worry About
Interest Rate Risk? (cont.)
Monthly Change in U.S. T-Bill
(Annualized) Returns
Change in Annualized
4
Return (Percentage
2
Points)
0
-2
-4
-6
Month (Jan 1934 through June 2003)
Data per FRED II, St. Louis FRB, for 3-Month T-Bills, Secondary Market
6. Why Worry About
Interest Rate Risk? (cont.)
Historical Term Structure
U.S. Treasuries
18
16
14
Percentage Rate
12
3-month
10 1-year
8 5-year
10-year
6
4
2
0
1977 1983
Calendar Month (1977 to 1983)
Data per FRED II, St. Louis FRB
7. Why Worry About FX Risk?
Time Series of Annual Percentage Changes in Exchange Rates
Japanese Yen / U.S. Dollars
(Data per FRED, St. Louis FRB)
30.0%
20.0%
Percentage Change
10.0%
0.0%
-10.0%
-20.0%
-30.0%
1971 1975 1979 1983 1987 1991 1995 1999
Year
8. Steps in the
Risk Management Process
• Determine the corporation’s objectives
• Identify the risk exposures
• Quantify the exposures
• Assess the impact
• Examine alternative risk management tools
• Select appropriate risk management approach
• Implement and monitor program
9. The Bottom Line:
It All Boils Down to Capital
• “Capital”
– Assets less liabilities; owners’ equity; net worth
– Support for (riskiness of) operations
– Thus, supports profitability and solvency of firm
• “Capital Management”
– Determine need for and adequacy of capital
– Plans for increasing or releasing capital
– Strategy for efficient use of capital
10. Why Do We Care About
Managing Capital?
• Leads to solvency and profitability
• Benefits of solidity and profitability
– Higher company value
– Happy claimholders
– Better ratings
– Less unfavorable regulatory treatment
– Ability to price products competitively
– Customer loyalty
– Potentially lower costs
11. The “Problem” With Capital
• A certain amount of capital is needed in order to
promote solvency
– Thus, we need to be able to raise capital
• But.... If there is too much capital, profitability
(as measured by return on equity) will suffer
– Thus, we need to be able to efficiently deploy capital
12. What Does Capital
Management Entail?
Product
Raising Pricing Financial
Capital Risk Mgt.
Setting Capital Strategic
Objectives Management Planning
Risk Liability
Management Asset Valuation
Allocation
13. Financial Theory and
Capital Management
• Why bother to worry about financing or FRM
(or any risk management activity), in light of
the “capital structure irrelevance proposition”?
• Modigliani-Miller (1958): if financing does
matter, it must be because of one or more of:
– Tax effects – convex tax function
– Financial distress / bankruptcy costs
– Effects on future investment decisions
14. Capital Structure - Reality
• Modigliani-Miller Proposition: capital
structure decision is irrelevant to firm value,
under certain “friction-free” assumptions (e.g.,
no taxes)
• But: in reality, there are taxes
• There are also costs associated with financial
distress
• Different corporate situations may indeed lead
to different capital investment decisions
15. Impact of Financial Risk Management
on Cash Flow Volatility
Post-FRM
Likelihood
Pre-FRM
Cash Flow
16. Enterprise Risk Management
• Or “Enterprise Risk and Assurance
Management”
• What is ERM?
– Concerned with a broad financial and operating
perspective
– Recognizes interdependencies corporate,
financial, and environmental factors
– Strives to determine and implement an optimal
strategy to achieve the primary objective:
maximize the value of the firm
17. Goals of ERM
• Ensure business continuity
• Enhance opportunities for the company to
achieve its objectives
• Create and increase company value
• Make risk management more cost-efficient
• Stabilize earnings
18. Evolution of ERM
• Historically: “risk silo” mentality
• Mid-1990s:
– First “Chief Risk Officer”
– First use of ERM terminology
• Late-1990s:
– Risk-related regulatory requirements (e.g., Turnbull)
– Earnings protection insurance debuts
• 2001:
– September 11
– Corporate scandals
– Beginning of efforts to improve corporate
governance
19. Current State
• Findings from various surveys
– An acknowledged need to improve risk
management
– A recognition that a holistic approach is
appropriate and preferable
– ERM can improve overall capital management and
thus enhance corporate value and competitiveness
– A variety of approaches to improving risk
management
– There are still problems to overcome
20. A Paradigm Shift
Traditional Emerging
• Risks managed in silos • Centralized mgt., with
• Concentrates on exec-level coordination
physical hazards and • Integrated consideration
financial risks of all risks, firm-wide
• Insurance orientation • Opportunities for
• Ad hoc / one-off hedging, diversification
projects • Continuous and
embedded
21. Types of Risks
• Operational • Legal
– Hazard – Compliance
– Physical – Regulatory
• Strategic • Financial
– Capital / resource allocation – Capital markets
– Industry / competitors – Credit risks
• Technological – Taxes
– Databases • Human capital
– Security – Retention
– Confidential information – Training
• Stakeholder • Reputational
22. Issues in ERM Implementation
• Different corporate cultures require different
ERM approaches
• Who is going to be the ERM champion within
the company
– Among senior executives
– Among departments / functions
• How to embed a risk management culture and
responsibilities throughout the firm
23. Components of the ERM Process
• Determine corporate objectives
• Risk identification
Likelihood
– Goal: comprehensiveness
Impact
– E.g., self-assessment
• Risk measurement
– Volatility measures
Likelihood
– Value at Risk (VaR)
Size of loss
24. Components of ERM (cont.)
• Assessing the impact E.g.,
“dynamic
– Stress or scenario testing financial
– Stochastic simulation analysis”
• Examine and select alternative risk
management tools and techniques
– Traditional risk transfer
– Natural hedging / diversification
– Integration of risks
25. An Analytic Technique:
Dynamic Financial Analysis
• Dynamic
– Stochastic / variable – not fixed / static
– Reflects uncertainty
• Financial
– Integration of financial, operational, etc., factors
– Assets and liabilities
• Analysis
– “An examination of a complex, its elements and
their relations”
– Complex: “a whole made up of complicated or
interrelated parts”
26. Definition of “DFA”
“Dynamic Financial Analysis is the process by
which an actuary analyzes the financial condition of
an insurance enterprise. Financial condition refers to
the ability of the company’s capital and surplus to
adequately support the company’s future operations
through an unknown future environment.
:
The process of DFA involves testing a number of
adverse and favorable scenarios regarding an
insurance company’s operations. DFA assesses the
reaction of the company’s surplus to the various
selected scenarios.” -- CAS DFA Handbook
27. Key Ideas in this DFA Definition
• “Financial condition”
– Specifically, capital and surplus
• “Future operations”
– Going concern
• “Unknown future environment”
– Uncertainty / stochastic
• “Testing a number of.... scenarios”
– Analysis across different environments
• “Assesses the reaction of.... surplus”
– Analyze acceptability of results
28. Types of DFA
• Scenario testing
– Projects results under specific conditions
– Catastrophe, interest rate shift
– Used for cash flow or stress testing
– New York Life Insurance Regulation 126
• Stochastic simulation
– Models uncertainty components by distributions
– Uses randomly selected values to calculate a large
number of outcomes
– Evaluate risk by proportion of unacceptable
outcomes
29. Sample DFA Model Output
Distribution for SURPLUS /
Ending/I115
0.16
0.13
0.10
0.06
0.03
0.00
6.8 13.9 21.1 28.2 35.4 42.5 49.7
Values in Hundreds
30. Keys to Success in ERM
• Senior management commitment and
sponsorship
• Embed a “risk management culture” in the
corporation at the operational level
• Provide for accountability, both specific and
widespread
• Clearly defined responsibilities for
coordination and maintenance
• Adequate communication
31. Keys to Success in
Business Continuity Planning
• Senior management commitment and
sponsorship
• Provide for accountability, both specific and
widespread
• Clearly defined responsibilities for
coordination and maintenance
• Adequate communication
• Differentiate BCP from “technology disaster
recovery”
32. Conclusion
“The revolutionary idea that defines the
boundary between modern times and the past
is the mastery of risk”
- Peter Bernstein, Against the Gods