A risk-based risk finance paradigm

Siwei Gao, Michael Powers () and Zaneta A. Chapman ()
Additional contact information
Siwei Gao: Temple University, http://www.temple.edu/
Zaneta A. Chapman: Arcadia University, http://www.arcadia.edu

Journal of Financial Transformation, 2012, vol. 35, 173-178

Abstract: We propose an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio’s expected frequency and expected severity, but also its “risk” as captured by an appropriate measure of dispersion/spread. This new paradigm is based upon four distinct properties of a loss portfolio that enhance the benefits of diversification: (1) a high expected frequency; and (2) less-than-perfect positive correlations between individual severities; (3) light-tailed severities; and (4) a predictable (i.e. non-erratic) frequency.

Keywords: risk finance paradigm; enterprise risk; enterprise risk management; loss portfolio; ERM (search for similar items in EconPapers)
JEL-codes: G11 G17 G24 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1537

Access Statistics for this article

Journal of Financial Transformation is currently edited by Prof. Shahin Shojai

More articles in Journal of Financial Transformation from Capco Institute 77 Water Street, 10th Floor, New York NY 10005.
Bibliographic data for series maintained by Prof. Shahin Shojai ( this e-mail address is bad, please contact ).