Sweeting P. Financial Enterprise Risk Management

Cambridge University Press – 2011, 564 p.
ISBN: 0521111641Financial Enterprise Risk Management provides all the tools needed to build and maintain a comprehensive ERM framework. As well as outlining the construction of such frameworks, it discusses the internal and external contexts within which risk management must be carried out. It also covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks, and describes a range of risk mitigation strategies. Over 100 diagrams are used to help describe the range of approaches available, and risk management issues are further highlighted by various case studies. A number of proprietary, advisory and mandatory risk management frameworks are also discussed, including Solvency II, Basel III and ISO 31000:2009. This book is an excellent resource for actuarial students studying for examinations, for risk management practitioners and for any academic looking for an up-to-date reference to current techniques.An introduction to ERM
Types of financial institution
Stakeholders
The internal environment
The external environment
Process overview
Definitions of risk
Risk identification
Some useful statistics
Statistical distributions
Modeling techniques
Extreme value theory
Modeling time series
Quantifying particular risks
Risk assessment
Responses to risk
Continuous considerations
Economic capital
Risk frameworks
Case studies