Enterprise Risk Management Resources

Enterprise Risk Management Resources

Welcome to the resource page on enterprise risk management (ERM).

Part of the Institute's role is to promote the application of actuarial science to ERM and to market actuaries as knowledgeable experts in this field.

This page will help deliver information on ERM and links to a variety of resources, research, and interesting reading.

Credit Risks
Title Author
Credit Valuation Adjustment
Alavian, Ding, Whitehead, and Laudicina
Rating: Combining Quantitative and Fundamental Approaches in a Rating Methodology
Douglas Dwyer and Heather Russell (log-in required)
Moody's Credit Rating Prediction Model
Albert Metz and Richard Cantor
Development and Validation of Credit Scoring Model
Glennon, Kiefer, Larson, and Choi
Empirical Validation of Retail Credit-Scoring Models
Grigoris Karakoulas
Statistical Applications of Credit Scoring
Sound credit risk assessment and valuation for loans
Basel Committee on Banking Supervision
Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto and Dirk Tasche
Capital Adequacy Requirements 2014
Office of the Superintendent of Financial Institutions
Title Author
ERM, How do we govern it?
CIA ERM Applications Committee
ERM, Should you be doing it?
CIA ERM Applications Committee
ERM, Who is doing it?
CIA ERM Applications Committee
ERM Specialty Guide
Society of Actuaries
Recognizing When Black Swans Aren't
Guntram Fritz Albin Werther
Risk Assessment Models
Model Risk
Emanuel Derman
Market/Liquidity Risks
Title Author
Bond Portfolio Investing and Risk Management
Vineer Bhansali
Financial Risk Management: A practitioner’s guide to managing market and credit risk, Chap 5
Steve Allen
Measuring Market Risk, Chap 2 – Measures of Financial Risks; 3 – Market Risk measures; 14 – Liquidity Risks
Kevin Dowd
The Myth of Diversification
Chua, Kritzman, Page
Designing the New Policy Portfolio: A smart, but humble approach
Frederick Dopfel
Validation of Long-Term Equity Return Models for Equity-Linked Guarantees
Hardy, Freeland, and Till
Strategic Risks

The Canadian Institute of Actuaries has produced a series of three short videos where experts in enterprise risk management discuss risk governance issues for senior executives and board members.

Micheline Dionne 

Minaz Lalani

Kathryn Hyland