On some key research issues in enterprise risk management related to economic capital and diversification effect at group level
FISHER W.; LOISEL S.; WANG S.
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Abstract
The goal of this short communication is to give an overview of the key research issues in Enterprise Risk Management that arose during the talks and the brainstorming session of the first ERMII research workshop, which was held at ISFA, University of Lyon in June 2007. To define and compute economic capital at group level, fundamental problems related for example to value creation, correlation and capital allocation are stated. The ideas gathered in this paper are not directly ours, we just collected and summarized the ones that arose during the workshop. A full list of participants to the brainstorming session
who contributed to this document is given in the acknowledgement section at the end of this paper.
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