Risk tolerances and limits cas soa enterprise risk management symposium washington dc july 29 2003
Download
1 / 16

Risk Tolerances and Limits CAS - PowerPoint PPT Presentation


  • 133 Views
  • Updated On :

Risk Tolerances and Limits CAS/SOA Enterprise Risk Management Symposium Washington, DC July 29, 2003. Zafar Rashid Executive Vice President and CFO Prudential Annuities. Enterprise Risk Management.

Related searches for Risk Tolerances and Limits CAS

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'Risk Tolerances and Limits CAS' - addison


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
Risk tolerances and limits cas soa enterprise risk management symposium washington dc july 29 2003
Risk Tolerances and LimitsCAS/SOA Enterprise Risk Management SymposiumWashington, DCJuly 29, 2003

Zafar Rashid

Executive Vice President and CFO

Prudential Annuities


Enterprise risk management
Enterprise Risk Management

“The discipline by which organizations in all industries assess, control, exploit, finance and monitor risk from all sources for the purpose of increasing the organization’s short and long-term value to its stakeholders”


Role of a chief risk officer
Role of a Chief Risk Officer

  • Risk Policy

  • Governance Issues

  • Organization and implementation

  • Risk analytics and modeling

  • Data development and management

  • Risk monitoring

  • Control and management


Risk management policy
Risk Management Policy

  • Define objectives

  • Risk definition

  • Risk standards

  • Establishing risk appetite


Risk governance
Risk Governance

  • Management/Board approval of policy

  • Approval of risk standards and appetite

  • Establish and manage reporting structure

  • Management of risk committees


Categories of risk
Categories of Risk

  • Market Risk

  • Credit Risk

  • Pricing Risk

  • Legal/Regulatory Risk

  • Operations Risk

  • Strategic Risk


Risk type
Risk type

  • Systematic Risk

  • Non-systematic Risk


Creating transparency
Creating Transparency

  • Local management of risk

  • Enterprise view of risk profiles

  • Improving capital and tax efficiency

  • Monitoring concentration

  • Managing counter-party exposure


Establishing risk tolerance
Establishing Risk Tolerance

  • Managing extreme tail outcomes

  • Reducing the variability of earnings

  • Managing capital requirements

  • Preserving ratings


Establishing risk tolerance1
Establishing Risk Tolerance

  • Deterministic Models

  • Stochastic Models

  • Modeling contagion effects

  • Liquidity testing

  • Diversification


Establishing limits
Establishing Limits

  • Single event limits

  • Aggregate exposure limits

  • Concentration management

  • Managing risk assessment


Measurement
Measurement

  • Varies by nature of risk

  • VaR

  • Present Value of Distributable Earnings

  • Sharpe ratios

  • Traditional measures of exposure

  • Economic value at risk


Monitoring
Monitoring

  • Quarterly updates of exposures

  • Periodic reporting on maximum limits

  • Judgmental self-assessment at least quarterly

  • Regular meetings of divisional RMC’s


The goal of an effective limit system
The Goal of an Effective Limit System

  • Facilitate BU risk/reward choices

  • Enterprise wide consistency

  • Careful selection of global parameters

  • Recognition of contagion/diversification impacts


Lessons learned from experience
Lessons learned from experience

  • Implementing Enterprise-wide Risk Management

  • Creating a risk management culture

  • Overcoming fear and suspicion

  • Broad organizational buy-in

  • Empowerment and control

  • Trigger events


Role of a chief risk officer1
Role of a Chief Risk Officer

Use caution to enhance, not impede, progress.

- Chinese Fortune Cookie


ad