RiskAppetite 风险偏好

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1、RiskAppetite:LinkagewithStrategicPlanningSponsoredbyCAS/CIA/SOAJointRiskManagementSectionPreparedbyKailanShangandZhenChenMarch2012©2012SocietyofActuaries,AllRightsReservedTheopinionsexpressedandconclusionsreachedbytheauthorsaretheirownanddonotrepresentanyofficialpositionoro

2、pinionofthesponsoringorganizations.Thesponsoringorganizationsmakenorepresentationorwarrantytotheaccuracyoftheinformation.AcknowledgementsTheauthorswouldliketothanktheProjectOversightGroup(POG)membersfortheirguidance,reviews,commentsandfullsupportthroughoutthisproject.Thispa

3、perwouldnothaveitscurrentlevelofcomprehensivenessandsophisticationwithoutthePOG'sinsightfulinput.TheauthorsaregratefulforfundingsponsoredbytheJointRiskManagementSectionoftheSocietyofActuaries,theCasualtyActuarialSocietyandtheCanadianInstituteofActuaries.“RiskAppetite:Linkag

4、ewithStrategicPlanning”POGmembersare:xFredTavan,ChairxGaetanoGerettoxGlennMeyersxHowardRosenxJimReiskytlxMaryNeumannxMichaelKulaxPaulAndertonxRobertWolfxSivakumarDesaixStevenSiegelxSylvainFortierxTaoGuoxTrevorPollittxVinceGranieriTheauthorsalsowouldliketothankBarbaraScottfo

5、rherefficientcoordinationofthisproject.©2012SocietyofActuaries,AllRightsReservedPage2of57ExecutiveSummaryWithrecentadvancesincomputationalcapability,progressiveandcomplexmodelshavebeencreatedtoassistriskmanagement.Atthesametime,regulators,ratingagencies,andinvestmentmarkets

6、haveputmoreattentiononriskcontrolsoffinancialinstitutes.Thosefactors,however,didnotpreventfinancialinstitutionsfromgoingbankruptorneedingagovernmentbailoutinthepastfewyears.Mostofthedefaultedfinancialfirmsstatedtheyhadgoodriskmanagementpoliciesandimplementationandtheresourc

7、esspentonriskmanagementwerenottrivial.Thefirmsfailedfordifferentreasonsbutclearlytheir“goodriskmanagement”wentwrong.Withoutaclearunderstandingoftherisksoftheirbusiness,decisionmakersadoptedriskystrategicplans.Advancedriskmanagementmodelsandstresstestingmayhelpwithassessingt

8、hequantitativeimpactofrisks,butunderstandingthecompany’scorecompetenceandtherisksb