A Set of New Methods and Tools for Enterprise Risk Capital Management and Portfolio Optimization

Topics:
Enterprise Risk Management
Tags:
Business Operations,
Business Security,
Capital Management,
Enterprise Risk Management,
Method,
Optimization,
Productivity,
SCOR,
Tool
Source:
SCOR

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Overview: The focus of this paper is on some new developments in the methodologies for Enterprise Risk Management (ERM). The paper presents a set of new methods and tools, including a universal risk measure tbr both assets and liabilities, a coherent method of determining the aggregate capital requirement for a firm, and a coherent method of allocating the cost of capital to individual business units. The discussed methods can be used for asset/loss portfolio optimization, and for quantifying the "'value creation" of ERM. The paper also discusses some correlation models and methods for risk aggregation.

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Format: PDF | Size: 1,178KB | Date: Jul 2002 | Pages: 36

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