【精品】罗甸县2012年第2次公开选拔副科级领导 .80

Enterprise Risk Management,September, 2008Michael E. Angelina, ACAS, MAAAEndurance Specialty Holdings Ltd,2,Initial Thoughts,Enterprise Risk Management New fad or a step into a new frontierERM due to its name is thought to be defensiveManage risks to protect downsideERM is strategic weapon (even within reserving)Process of understanding the drivers of risk and the impact to underwriting decisions can make you a strategic partner in your organization.Think portfolio theory and risk levelsAvoid too much focus on individual cells at the ERM levelTechnology is our friendAnalytical insights can takes us to the next level,3,Optimally manage the companys capitalRequired return on capitalEliminate risks that threaten solvency/viabilityTarget maximum aggregate level of risk given range of opportunitiesManage volatility Expected Value CurveUnderstand, manage, mitigateShape business by taking risk we can quantifyRisk mix, diversification, hedgingCreate behaviors that reinforce ERM cultureInternally and externally,Economic Capital Modeling ERM Objectives/Principles,4,ProcessSilos and Integrated Approach,ERM Initial PhaseSilo approach focus on broad categoriesIdentification, Measurement, ManagementCommunication by individual risk ownersERM Second PhaseBringing it all together Integrated ApproachHolistic approach / Connecting the silosDashboards can be helpful - Stress test different scenariosERM Process Third phaseCorrelation AnalysesNeed to reflect interactions with other stakeholders (eg Enron effect)ExamplesCatastrophe events on property coverages, investments in cat bonds, mortgage backed securitiesPricing errors and impacts on loss reservesAdding value by understanding other parts of businessUnderstanding and communicating - this is cultural,5,Execution Risk Categories - Identification,Separate Risks into General CategoriesPrimaryFive broad categoriesConsequential (downward spiral)Based on primary risk or eventLiquidity, Reputation (client/investor), Rating agency / Regulatory, etcOverall Risk Tolerances derived at organizational levelPercent of equity limits, Rating agency trigger capital adequacy levels, LiquidityAdditional tolerances should be established for all primary risk categoriesLevels of investments, peak exposure zones, casualty premium, etcControlsProcesses, guidelines, models & data, external reviews, risk assessment process, internal audits, Sarbanes-Oxley process, disaster recovery planning & testing, succession planning,6,Select risk owners / gatekeepers of the broad risk categoriesIdentify the various types of events/risks associated with each of the primarycategoriesChange in asset value, movement in interest rates, large property/casualty event (hurricane, earthquake, Enron), adverse claims trends, etcMeasure financial and operational impact to organizationBalance sheet, liquidity, capital requirementsContingency planningDefine tolerances for such events/risksPercent of capital, cash-flow, change in rating agency capitalEstablish controls to monitor risk exposure within established tolerance levels and to enhance risk profileManage business around such thresholds Optimally at the point of sale,Execution Measurement of Risk Categories,7,Economic Capital ModelRisk Assessment Pricing Example,Developed a model that assesses pricing riskProduces a set of risk-capital metrics Monitors level of capital deployed in the business units across group. Allows for better measurement of the marginal return on capital Real-time basis, for each contract in our portfolioManages unique interaction of each contract with others in portfolio Based on the geographic distribution of exposures for property. Results in a significantly more efficient portfolioIn terms of the capital required to support itRelative to typical industry positionSupports a broad array of risk and capital management issues,8,Lack of full transparencyBlack box stigma attachedMuch noise when revisions were made that changed resultsWillingness for many to embrace technologyResistance to models and ability to forecast (predictive value)Used to differentiate like risksFull commitment from executive level Non-traditional way of thinkingPeople are generally open to change ?!Real time examples made this easy to graspToo focused on defensive uses initiallyDesire to seek opportunistic risksUnderstand outcomes outside the normReturns too good to be true, probably are,Economic Capital ModelingImplementation Issues/Challenges,9,Other Thoughts Communication,Consider the AudiencesManagement Executive team, Reserve committee, Risk committeeBoard of Directors (Audit or Underwriting Committee)Sarbanes Oxley, put risk in context with other risksExternal (The Street, Rating Agencies, Regulators)Caution on how the message is perceivedConsider the MessageMove away from the point estimateEmbrace the range, communicate the volatilityDont be PollyannaCommunication of drivers allows management to make better decisionsConsider risks in the reserves when making investment decisions,10,Other ThoughtsStrategic Planning,Three approachesContingency planningWhat we will do if/when this happensNeed to model bothSensitivity analysisFocus on cause and effect the driversImpact and immediacyScenario a