Professional Development
 
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2017 CIA Annual Meeting

June 21–22, 2017
Québec City Convention Centre, Québec


Session 28 • Systemic Risk of Banks and Insurance – a New Model for Canada and the U.S.

This session, based on an upcoming Global Risk Institute (GRI) paper, examines Nobel prizewinner Robert Engle’s systematic risk measure, SRISK, in relation to Canadian financial institutions. The SRISK measure, defined as the expected capital shortfall of a firm conditional on a prolonged market decline, provides a top-down view of a financial institution’s systemic risk. SRISK dynamics, the measure’s sensitivity to choice of model and parameter values, and the inclusion of segregated funds in the SRISK methodology affect the way in which SRISK values can and should be interpreted. Learn why the report’s findings matter to banks and insurance companies. 

Sponsors

Patron

Elliot Bauer


Partner Re


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Benefactor

Manulife Logo


Moody's Analytics Logo


Prudential


Oliver Wyman


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Society of Actuaries

Contributor

Hannover Re


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Quebec City