Enterprise risk management through strategic allocation of capital

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<dc:creator>Ai, Jing</dc:creator>
<dc:creator>Golden, Linda L.</dc:creator>
<dc:date>2012-03-01</dc:date>
<dc:description xml:lang="es">Sumario: This article presents a conceptual framework for operationalizing  strategic enterprise risk management (ERM) in a general firm. We employ a risk-constrained optimization approach to study the capital allocation decisions under ERM. Given the decision maker's risk appetite, the problem of holistically managing enterprise-wide hazard, financial, operational, and real project risks is treated by maximizing the expected total return on capital, while trading off risks simultaneously in Value-at-Rlsk type of constraints. This approach explicitly quantifies the concepts of risk appetite and risk prioritization in light of the firm's default and financial distress avoidance reflected in its target credit rating. Our framework also allows the firm to considera multiperiod planning horizon so that changing business environments can be accounted for. We illustrate the implementation of the framework through a numerical example. Asan initial conceptual advancement, our formulation is capable of facilitating more general ERM modeling within a consistent strategic framework, where idiosyncratic variations of firms and different modeling assumptions can be accommodated. Managerial implications are also discussed. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/137612.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Estrategia organizativa</dc:subject>
<dc:subject xml:lang="es">ERM</dc:subject>
<dc:subject xml:lang="es">Riesgo financiero</dc:subject>
<dc:subject xml:lang="es">Capitales</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Enterprise risk management through strategic allocation of capital</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2012 Tomo 79 Número 1 - 2012 , p. 29-56</dc:relation>
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