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1 ERM 2007/12/26 1

2 1. ERM 2. ERM /12/26 2

3 ERM COSO ERM 2007/12/26 3

4 ERM 2007/12/26 4

5 COSO /12/26 5

6 COSO 2007/12/26 6

7 ERM CEO CRO) ERM CRO A B C D 2007/12/26 7

8 ERM 2007/12/26 8

9 ERM 2007/12/26 9

10 ERM ERM ERM ERM ERM ERM ERM ERM 2007/12/26 10

11 ERM ERM ERM COSO /12/26 11

12 ERM ERM ERM COSO ERM NPV 2007/12/26 12

13 ERM ERM ERM NPV ERM 2007/12/26 13

14 ERM ERM ERM ERM 2007/12/26 14

15 ERM ERM 1. ALM 2. EC 3. RAPM) ( ) 4. Transfer Pricing expense allocation Dev,Rao[2006] 2007/12/26 15

16 ERM ERM 2007/12/26 16

17 ERM ERM ERM ERM ERM ALM 2007/12/26 17

18 ERM ERM 2007/12/26 18

19 ERM ERM ERM Mini-Seminar, James Lam, /12/26 19

20 ERM ERM ERM ERM Mini-Seminar, James Lam, /12/26 20

21 ERM ERM ERM AEGON ERM ERM PDCA plan,do,check, action 2007/12/26 21

22 .. AEGON 2007/12/26 22

23 .. AEGON 2007/12/26 23

24 (CEIOPS (CEIOPS BASEL 2007/12/26 24

25 ERM ERM ERM 2007/12/26 25

26 ERM ERM ERM ERM 2007/12/26 26

27 2007/12/26 27

28 (CEIOPS 2007/12/26 28

29 VaR TVaR VaR 2007/12/26 29

30 2 CEIOPS 2007/12/26 30

31 2007/12/26 31

32 transitional non-transitional SCR 2007/12/26 32

33 MSSCR UK FSA ICA FTK Solvency 2007/12/26 33

34 Basel 10 99% VaR 250 historical simulation 2007/12/26 34

35 Basel PD IRB) LGD IRB Credit Metrics Basel 2007/12/26 35

36 ERM 2007/12/26 36

37 ERM ERM 2007/12/26 37

38 IAA [2006] CAT CAT CEIPOS[2007] IAA 2007/12/26 38

39 IAA) Systmatic Risk Non Syatematic Risk Systematic Risk ALM CTE0 CTE99 CTE0 CTE99 SCR Volatility Risk 2007/12/26 39

40 IAA IAA 10 ABC XYZ SCR SCR=TailVaR99% MKL TailVaR CAT 2007/12/26 40

41 IAA IAA SCR, Volatility Risk, Uncertainty Risk, Extreme Event Risk Extreme Risk 2007/12/26 41

42 CEIOPS CEIOPS /12/26 42

43 (CEIOPS (CEIOPS V V exp(n (log( 2 1) 1/2 )/( 2 1) 1/2 2007/12/26 43

44 CEIOPS CEIOPS ( / VaR99.5% 2007/12/26 44

45 LOMA ERM 2007/12/26 45

46 6-24 IAA /12/26 46

47 LOMA ERM Enterprise Risk Exposures for Life Insurers ( LOMA ) Marketplace Risk Market and Product Strategy Reputation Risk Regulatory Risk Tax Risk Rating Agency Risk Operational Risk Technology Risk Business Process Risk Data Integrity Asset Destruction Disappearance and Misuse of Assets Legal Risks in Business Operations Financial Risk Managing Capital Assessing Marketplace Opportunities Contractual and Surety Risk Business Partner Risk Human Resources Risk Risks involving the Management of Assets and Liabilities Financial Leverage Risk Merger and Acquisition Risk International Risk 2007/12/26 47

48 2007/12/26 48

49 , M&A, Basel 2 LDA loss distribution approach KRI RCSA) 2007/12/26 49

50 KRI 2007/12/26 50

51 RCSA SOX JSOX RCSA 2007/12/26 51

52 An ERM view of financial supervision (July,2007) Stephen W. Hiemstra 2007/12/26 52

53 ERM ERM 2007/12/26 53

54 ERM ERM ERM EU ERM 2007/12/26 54

55 1 VaR 2007/12/26 55

56 VaR VaR VaR VaR 1 10 EC 1 VaR 95% EC BBB AA 99.5% 99.97% VaR 95% 20 EC 99.5% 2007/12/26 56

57 VaR TVaR EC EC 2007/12/26 57

58 . A (1) 7 B (4) 26 C (3) 11 EC (8) n.a. n.a. EC (14) /12/26 58

59 EC( i, j) : i, j DB( k) : k ; ρ : EC( i, j) EC( i) = EC( j) = EC( total) = j i EC( i, j) DB( i) = EC( i, j) DB( j) = i, j ρ EC( i, j) ij ij j i ρ EC( i, j) ij ρ EC( i, j) ij 2007/12/26 59

60 ERM 2007/12/26 60

61 ERM (EC) NI Net Income RORAC Return on risk-adjusted capital NI/ EC RAROC(Risk-adjusted return on capital) NI k*ec / EC k EP Economic profit * NI k*ec EVA SVA 2007/12/26 61

62 FTP Fund Transfer Pricing System 2007/12/26 62

63 FTP FTP FTP FTP Libor FTP 2007/12/26 63

64 t FTP FTP FTP RAROC EP 2007/12/26 64

65 EP EP NI k*ec k*ec 2007/12/26 65

66 CM CM NI = ( )*[ CM ] EP NI k*ec EP EP EP 2007/12/26 66

67 1. Enterprise Risk Management Specialty Guide, May 2006, Society of Actuaries 2. Specialty Guide on Economic Capital, March 2004, Society of actuaries 3. Performance Measurement in Financial Institutions in an ERM framework(2006), Ashish Dev and Vandana Rao, Risk books 4. CEIOPS(2006) Consultation Paper No.20- Draft Advice to the European Commissions in the Framework of the Solvency Project on Pillar issues Further Advice 2007/12/26 67

68 5. Global Framework for Insurer Solvency Assessment (2004), IAA Insurer Solvency Assessment WG 6. An Enterprise Risk Management View of Financial Supervision, July 2007, Stephen W. Hiemstra 7. Enterprise Risk Management in the Life Insurance Industry (2001), LOMA 8. Enterprise Risk Management Framework(2004), COSO 9. Risk Management and Financial Institutions(2006), John C. Hull, Prentice Hall 10., (2004) 2007/12/26 68

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