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Risk Management Association Journal - Articles Contributed by Ambit ERisk

Over the last few years, Ambit ERisk has published many articles in the Risk Management Association Journal on topics ranging from economic capital to credit modeling, operational risk and enterprise-wide management.

This page collects together a sample of these published articles as downloadable PDFs, initially focusing on articles published in late 2005 and early 2006.

Check back regularly - we will add newer and older articles as these become available to archive.

2008-2009 Articles

Pointing the Finger
Jonathan York, Vice President, Ambit, SunGard

Taking the Stress out of Stress Testing: Six Steps towards a more Coherent Framework
Jonathan York, Vice President, Ambit, SunGard

2006-2007 Articles

Retail Banks & Economic Capital: Part 1: Special Issues and Opportunities
Hans Helbekkmo, RMAJ October 2006
Economic capital has been relatively slow to take hold as a tool in retail banking because losses have been perceived as less volatile than in commercial lending. This article looks at why the tide is now turning and how economic capital can improve retail bank strategy and competitive tactics, and address concerns about risk concentrations.

Retail Banks & Economic Capital: Part 2: Using Economic Capital to Improve the Credit Approval Process
Hans Helbekkmo, RMAJ November 2006
Structuring the credit approval process can be tricky to get right in small business to middle market lending. This article explores how banks can integrate credit-decision tools intelligently within their credit approval process to cut underwriting costs while also improving efficiency and risk-adjusted returns.

Retail Banks & Economic Capital: Part 3: Using a Credit Portfolio Model to Rate Securitizations
Shahram Elghanayan, RMAJ December 2006/January 2007
Securitizations offer many benefits but must be approached carefully in a weakening credit environment. This article discusses how banks can use the latest credit portfolio modeling techniques to put accurate numbers against the probability of first loss for various tranches of a securitization, including residual assets, after taking full account of important risk factor correlations.

2006 Articles

Judgment Versus Risk Management Science: Are We Getting the Balance Right?
David Samuels, RMAJ May 2006
The drive towards objectivity on risk and capital is a good thing, so long as the industry recognizes that the new risk numbers are there to support management judgement rather than supplant it. This article explores this issue in three key areas: loss reserving, risk-based pricing and capital adequacy.

ERM series 2006, Part 1: Taking Account of the Economic Cycle in ALLL
Shahram Elghanayan, RMAJ February 2006
Banks need to make the way they calculate their ALLL more objective and transparent. This article explores how to use macroeconomic modeling to adjust through-the-cycle risk estimates to give point-in-time estimates of loss for consumer, C&I, and commercial real estate portfolios.

ERM series 2006, Part 2: How to Allocate Capital to Business Units: Tackling Diversification Benefits and Excess Capital
Hans Helbekkmo, RMAJ March 2006
To improve business decisions, banks must allocate enterprise capital down to the business-line level in a way that is fair and practical. How can banks make businesses accountable for their economic capital costs and set capital budgets without introducing enterprise level volatility or distortions?

ERM series 2006, Part 3: How to Get Started Specifying Inputs to Your Economic Capital Model
Brannan Johnson, RMAJ April 2006
Banks do not have to wait until they have a complete set of risk data to build an economic capital model. This article explains how banks can establish initial risk parameters and portfolio descriptions, and answer questions such as ‘How much history do I need?’ and ‘How detailed a description of the portfolio do I need?’

Developing an Integrated Framework for Risk-Based Business Decision Making: The Experience of Irwin Financial
Paul Freudenthaler and Hans Helbekkmo, RMAJ February 2006
This case study, coauthored by Irwin Financial’s Chief Risk Officer, shows how Irwin Financial implemented an economic-capital based risk framework and explores the business benefits gained by the bank.

2005 Articles

Using ERM to Competitive Advantage
David Samuels, RMAJ October 2005
Enterprise Risk Management (ERM) is often thought of as a way of improving a bank’s defences. This article looks at how it can also bring competitive advantage by helping banks to compare business unit risk-adjusted performance, risk-based returns on deals, and risk-adjusted customer profitability.