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Over the last two years, members have indicated that they particularly like having some “open discussion” time alloted to each CCRO meeting. This would allow all to share for immediate comment & feedback any risk related topic which concerns them, without any tie to a working group. Sometimes a discussion about the material presented by a guest speaker, other times going around the table talking about the ‘top three risks’ on each member’s mind at the time. Started in 2008, the time slot typically occurs in the second day of each CCRO meeting (hence ‘Day2’ name). Members have enjoyed the informal discussions and share a great deal of their department’s challenges as well as their viewpoints of the challenges faced by others. There have been a wealth of topics discussed, some in only one meeting, others continuing into several meetings. This ‘Day2 Journal’ provides a cumulative summary of comments noted during these past meetings. It is the CCRO’s hope that with the help of members and CCRO Editors, these topics will be advanced to insightful articles, surveys, podcasts, and in the case where member interest & energy is particularly high - working groups. The current plan operationally for this material is to have it placed in a dedicated section of our website where we can post for each topic, member comments, podcast interviews, articles, and any surveys that are developed. The following topics are presented in no particular order...
Topic No. 1: S&P CA Framework, Old vs. New….
April Meeting presentation given (Link)
Steve uses an example company to illustrate the differences & impact of the ‘new’ CA approach proposed by S&P versus the past method.
Some members have suggested the paper should include a bibliography as good reference for further research.
Also members are interested not just in the math involved, but also the methods as alternatives...
Topic No. 2: Internal Risk Report Sharing
The CCRO is building a rich, searchable, archive of the internal risk reports members have shared at meetings.
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Topic No. 3: Acting on Risk Reports
Best practice discussion regarding the importance of taking action on risk measures.
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Topic No. 6: Emerging Risks; Unfamiliar Risks to Come
The term “emerging risks” often used in CCRO discussions, what is an emerging risk? and what are the ones we should be considering today?
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Topic No. 7: What have we learned from the big bank write-offs?
Could/should we publish a list of ‘Top Ten Scenarios’ for energy companies ?
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Topic No. 8: New plants needed – Less capital available
With more aging assets, less capital access, & loss in baseload capacity – where will the capital come from? What does this situation mean to the CRO’s forecasts?
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Topic No. 9: How forward volatility today is unlike anything assumed in models of past
How should stress tests be revised to accommodate wide-reaching shifts in today’s actual vol numbers versus historic modeling assumptions most often used ?...
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Topic No. 10: Balancing Risk Tolerance & Risk Appetite
What is risk “tolerance” versus risk “appetite”? How can they be measured under best practices?...
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Topic No. 11: Asset Classifications and Price Verification Levels (FAS157)
FAS157 introduced price verification levels ‘1 to 3’... The lines between these levels and the impact(s) of possible changes in them from quarter to quarter remains less than clear to risk managers...
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Topic No. 12: Implementing Risk Systems, Experienced CRO viewpoints
The CCRO has many risk managers experienced in implementing risk systems in recent years. Members ask if we could share discussions about the lessons learned therein...
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Topic No. 13: Measuring Performance/Value of the ERM Function
Members are often challenged by management to in some way document the value that they add to their organization. The CCRO could provide a menu of ways...
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Topic No. 14: Risk Management function and the Board
What should be the duties of the Risk function with regard to its Board of Directors? How can RM add value for the Board?
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Topic No. 17: Lagging to Emerging practices; Where should your company be on spectrum?
A look into what are the factors to be considered in determining a company’s ‘appropriate’ sophistication of risk management practices...
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Topic No. 18: Risk Function & Focus on Liquidity Risk?
A look into the emphasis (or lack therein) that CRO’s today put on financial liquidity risk.
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Topic No. 19: S&P Five Questions for ERM Function Ranking
At a CCRO meeting, S&P presented five questions which are to be asked of individual companies. The questions are not entirely clear & the CCRO could help bring clarity & consistency to aide the value of the survey...
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Topic No. 20: Linking Strategic Plan & Risk
Consider how well is your strategic plan tied to risk factors used by the risk function? Discussions have indicated there may be best practices for doing this efficiently.
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Topic No. 21: Implications of auditing Var
Members discussed the possibility that VAR models will be audited...how likely is it & what could be the implications of such an audit?
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Topic No. 22: Recovery Rate Assumptions for Credit Capital….
Is S&P’s CA framework and other risk capital metrics ignoring data CROs have regarding actual recovery rates?
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Topic No. 23: Operating Risk Capital Methods…..
Should S&P’s approach to operating risk capital be subject to significant improvement?
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Topic No. 24: What is Risk? …..
Does ‘risk’ need a better definition than we’ve been using in past ? Is what ‘risk’ is dependent on varying perspectives within a company?
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Topic No. 25: Understanding Risk of Corporate Guarantees
How should CROs assess the potential impact of corporate guarantees?
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Topic No. 26: Gathering a Body of Knowledge re Cap Allocation mathematics
This reference resource was completed with the help of Lee Choo, and is available for members...
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Topic No. 27: VaR versus EaR-strengths & weaknesses
*Members commented on this topic several years back and their discussion was drafted into a CCRO article...
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Topic No. 28: Trade Data Monitoring/Screening Practices
Members have discussed the tradeoffs of a robust monitoring program that captures many types of trade data from telecon to transactions. What would be best practices ?
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Topic No. 29: Best practices for the approval process for new products
New products often contribute disproportionately to risks What practices would facilitate new product introductions yet insure reasonable capture the risks they present?
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Topic No. 30: Evolution of the Risk Management Function
How is ERM evolving in terms of its role?
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Topic No. 31: Update to the Risk Policy Paper
Members would like to update the paper to reflect more specificity...
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Topic No. 32: Renewable Energy Credits & RM
What can CROs see about these new markets that causes concern?
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Topic No. 33: Credit vs. Performance Risk
How do you handle ‘credit risk’ versus ‘performance risk’?
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Topic No. 34: Carbon Markets? What to do for Risk Officers?
Is there a role for CCRO to help companies integrate CO2 issues into RM?
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Topic No. 35: Market Liquidity and Assessing it
How can CRO’s develop best practices for establishing the liquidity of a market and/or transaction type and the time to exit for a specific position?
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