Introducing Enterprise Risk Management Into the University Classroom: A Case Study

This article reports on the challenges faced when enterprise risk management courses (commonly studied by practitioners after several years of actuarial practice) were introduced into a postgraduate coursework degree, and taught concurrently with Actuarial Control Cycle (Part II) units. A small sample of students were interviewed, and the information gleaned from these interviews combined with the reflections provided by teaching staff is used to argue that although not problem‐free, the overall gain to students makes the project worthwhile. Assessment structure and use of class time in particular are examined as key features of the class, and potential improvements are suggested.     

Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature

Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital requirements. Systematic risk factors may result in increases (decreases) in bank capital requirements when the economy is depressed (overheated), thereby decreasing (increasing) bank lending capacity and exacerbating business cycle fluctuations. Procyclicality may result from systematic risk emanating from common macroeconomic influences or from interdependencies across firms as financial markets and institutions consolidate internationally. We survey the literature on cyclical effects on operational risk, credit risk and market risk measures.     

The Value of Enterprise Risk Management

Enterprise risk management (ERM) has been the topic of increased media attention in recent years. The objective of this study is to measure the extent to which specific firms have implemented ERM programs and, then, to assess the value implications of these programs. We focus our attention in this study on U.S. insurers in order to control for differences that might arise from regulatory and market differences across industries. We simultaneously model the determinants of ERM and the effect of ERM on firm value. We estimate the effect of ERM on Tobin's Q, a standard proxy for firm value. We find a positive relation between firm value and the use of ERM. The ERM premium of roughly 20 percent is statistically and economically significant.     

Designing an Enterprise Risk Management Curriculum for Business Studies: Insights From a Pilot Program

The latest financial crises have highlighted the centrality of managing risks across organizations. Internationally, Basel II/III, The Volcker Rule of the Dodd–Frank Act, and Vickers’ Ring‐Fence all propose stronger management of risk across banks and greater oversight of executive compensation to mitigate generic risk. Given this situation, it might be assumed that academia would also view risk as a central concern for its business programs. It seems not. There is a little evidence that academic curricula are being specifically designed to address this issue. This article examines an Enterprise Risk Management curriculum delivered to graduate student cohorts over 3 consecutive years. Four criteria were used to develop the new curriculum. First, it should take a holistic view of risk; second, the theories related to risk needed to be transformed from individual to group level; third, the dynamics of risk due to market factors needed to be understood; and finally, the way firms respond to crises needed to be observed and embedded in the curriculum.     

基于期权方法的企业信息化投资风险管理研究

本文运用期权的套期保值机理,给出了一种运用期权进行企业信息化投资风险管理的新方法。基于企业信息化投资中的风险特征,将投资风险与相应的期权类型相匹配,在控制风险的同时实现项目价值的最大化,适应了企业信息化投资的决策灵活性特征。     

The organizational dynamics of Enterprise Risk Management

This paper explores the organizational dynamics of Enterprise Risk Management (ERM). ERM is the main form taken by firms’ increasing efforts to organize uncertainty, which ‘exploded’ in the 1990s. The ERM approach seeks to link risk management with business strategy and objective-setting, entering the domains of control, accountability and decision making. In this work, the organizational variations of ERM are investigated through a longitudinal multiple case study, using data from three companies collected over a 7-year period (from 2002 to 2008). The findings contribute to our understanding of ERM as a practice, revealing its trajectory within the organizations as it encounters pre-existing logics, and as both are shaped by risk rationalities, experts and technologies.     

The Determinants of Enterprise Risk Management: Evidence From the Appointment of Chief Risk Officers

Enterprise risk management (ERM) has captured the attention of risk management professionals and academics worldwide. Unlike the traditional "silo-based" approach to corporate risk management, ERM enables firms to benefit from an integrated approach to managing risk that shifts the focus of the risk management function from primarily defensive to increasingly offensive and strategic. Despite the heightened interest in ERM, little empirical research has been conducted on the topic. This study provides an initial attempt at identifying the determinants of ERM adoption. We construct a sample of firms that have signaled their use of ERM by appointing a Chief Risk Officer (CRO) who is charged with the responsibility of implementing and managing the ERM program. We use a logistic regression framework to compare these firms to a size- and industry-matched control sample. While our results suggest a general absence of differences in the financial and ownership characteristics of sample and control firms, we find that firms with greater financial leverage are more likely to appoint a CRO. This finding is consistent with the hypothesis that firms appoint CROs to reduce information asymmetry regarding the firm's current and expected risk profile.     

United Grain Growers: Enterprise Risk Management and Weather Risk

In August of 1999, Mike McAndless, the risk manager of United Grain Growers (UGG), was preparing for a meeting with the firm's chief financial officer, Peter Cox. Mike and Peter had spent considerable time over the past three years with representatives of the Willis Group Ltd., a large international insurance broker, identifying and measuring UGG's major sources of risk. The risk assessment process indicated that, although UGG hedged most of its currency and commodity price risk and purchased insurance against property and liability losses, the firm's earnings still exhibited substantial volatility. This volatility was, in large part, due to the weather. Mike and Peter had to decide whether to retain the risk or shift it to another party using one of two innovative contractual arrangements: weather derivatives or a new type of insurance contract.     

全面风险管理视角下的企业风险预警机制研究

从全面风险管理的视角探讨企业的风险预警机制,建立了全面风险辨识、风险预警模型、风险预警评估、风险预警报告、应对策略选择的风险预警理论框架,并根据该理论框架提出了数据收集与整合、数据处理与风险分析、风险决策与反馈的运行体系.     

The Rise and Evolution of the Chief Risk Officer: Enterprise Risk Management at Hydro One

This article describes the five-year implementation of enterprise risk management at Hydro One, a Canadian electric utility in a newly deregulated market. Starting with the creation of the position of Chief Risk Officer and the implementation of a pilot risk study involving one of the firm's subsidiaries, the ERM process has made use of a variety of tools and techniques, including the "Delphi Method," risk trends, risk tolerances, and risk rankings.
Among the most tangible benefits of ERM at Hydro One are (1) a better coordinated and more effective process for allocating capital and (2) a favorable reaction to the program by Moody's and Standard & Poor's, which has arguably improved the company's credit rating and lowered its cost of capital. But perhaps equally important is the company's progress in realizing the first principle of its ERM policy—namely, that "risk management is everyone's responsibility, from the Board of Directors to individual employees." As a result, Hydro One's management feels that the company is much better positioned today to respond to new business developments than it was five years ago.     

基于风险价值法和压力测试法的企业风险管理方法研究

本文提出风险价值法和压力测试法的企业风险管理方法,克服了传统方法只给出风险相对严重程度的不足。建立风险量化评估、预警和控制体系,采用优化组合方法,实施一体化风险管理,规避重大风险事件的发生。     

The Risk Balls Game: Transforming Risk and Insurance Into Tangible Concepts

The Risk Balls game is used as a game in an introductory insurance course to demonstrate in a tangible way the notion of risk and its relationship to insurance. Through playing with the ``risk balls,' each one representing a different type of risk, the students experience feelings of anxiety about risk, and later, the sense of anxiety reduction when they transfer the risk balls to insurers. The game incorporates complex concepts of risk transfer and risk reduction via pooling and sharing of risk. The mathematical implications of the law of large numbers are physically felt in the classroom when the students experience the relief associated with transferring the risk balls to insurers. The discussion that ensues during the game includes aspects of the underwriting process; moral hazard; adverse selection; the role of agents, insurers, and regulators; and the nature of the insurance contract. The game of risk balls stimulates lively group discussions and provides hands-on experience with risks such as premature death risk or fire risk and the fears associated with them.     

Enterprise Risk Management and the Cost of Capital

Enterprise risk management (ERM) is a process that manages all risks in an integrated, holistic fashion by controlling and coordinating any offsetting risks across the enterprise. This research investigates whether the adoption of the ERM approach affects firms' cost of equity capital. We restrict our analysis to the U.S. insurance industry to control for unobservable differences in business models and risk exposures across industries. We simultaneously model firms' adoption of ERM and the effect of ERM on the cost of capital. We find that ERM adoption significantly reduces firm's cost of capital. Our results suggest that cost of capital benefits are one answer to the question how ERM can create value.     

金融集团全面风险管理体系架构研究

随着竞争环境日趋复杂,金融集团面临的风险日益增多,建立科学的全面风险测度及防范机制,是现代金融集团风险管理发展的必然趋势.在对金融集团风险类别与风险特征分析的基础上,从金融集团全面风险管理的目标体系、风险评估和预警体系、风险反应体系、风险管理职能体系、风险管理流程体系、风险管理报告体系、内部控制体系、风险管理信息系统体系等维度对金融集团企业全面风险管理系统框架的构建进行了深入阐述.     

Modelling Transparency in Disclosure: The Case of Foreign Exchange Risk Management

Abstract:  When managers choose not to disclose all the relevant information in their possession in their financial statements, there is an information gap between the managers and users and consequently a lack of transparency. We model the degree of transparency observed when disclosures of foreign exchange (FX) risk management in financial statements are compared to managerial information on FX risk management policy, as evidenced in questionnaire responses. In this comparative study of US and UK firms we find incomplete disclosure in both samples but with differing aspects. In the US case, the information gap is lower where the information has higher relevance or firms with higher financial risk (greater leverage) are signalling the extent of risk, but the gap is greater where firms are in competitive product markets. For the UK sample, the information gap is significantly lower where firms have higher financial risk or higher liquidity but the gap is greater where the shares are more closely held. We conclude that modelling and explaining this aspect of incomplete accounting disclosure in an international setting must be sufficiently flexible to accommodate national differences in managerial behaviour.     

互联网产业链金融业务模式和风险管理研究——基于京东模式的案例分析

从2015年以来的发展看,京东正在打造中国互联网的又一巨头。京东以电商业务为基础,在供应链金融、消费金融、众筹、支付、财富管理、智能硬件、O2O、物流、大数据、云服务等领域发展迅速。其CEO刘强东的"十节甘蔗"理论认为,一个产品从创意、设计、研发、制造到定价这前五个环节,应该由品牌商来做;营销、交易、仓储、配送到售后这后五个环节,应该由零售商来做。京东模式定位在后五个环节,即以交易为基础,延伸至仓储、配送、售后、营销等其他环节。本文分析了京东模式产业链金融的创新做法,以期为商业银行产业链金融提供思路。