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RIsk management: present, past and perspectives of development in Eurasia.
Mikhail Rogov Eurasian Federation OF Risk Managers, founder
PWS’14
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“The world has never been more full of risk”
(c) Mikhail Rogov, 2014
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“The world has never been more full of risk”
Thomas Aquinas, 1245.
(c) Mikhail Rogov, 2014
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What about modern world? Average maximal/minimal Interest rates (incl. risk premium) for last millenniums.
Perm Winter School 2014
1245
(c) Mikhail Rogov, 2014
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Global Risks 2014: Lost generation ….??????
(c) Mikhail Rogov, 2014 !
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Disasters? Average year loss from disasters World $131-138 bln. < 2‰ GDP Russia: 2012г $1.8 bln. < 1‰ GDP
(c) Mikhail Rogov, 2014 6
Centre for Research on the Epidemiology of Disasters (CRED)
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• ;
• COSO: ERM – Integrated Framework 2004; Embracing Enterprise Risk
Management: Practical Approaches for Getting Started, 2011; Developing
Key Risk Indicators to Strengthen Enterprise Risk Management, 2010
• ISO: Guide 73: 2009 Risk management — Vocabulary, 31000 : 2009 Risk
management, 31010 : 2009 Risk management — Risk assessment
techniques, 31004 Risk management – Principles and guidelines, (2013)
GRI, Basel-III, Solvency-II,Cobit, BS 25999 (Business Continuity
Management, BCM)
(c) Mikhail Rogov, 2014 7
Risk Management Standards
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Value Chain - Impacts of the ISO31000
(c) Mikhail Rogov, 2014
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PROCESS
KEY RISK INDICATORS, KRI
CONJUCTURE
STAKEHOLDERS
RISK OWNERS
KPI
COUNTERPARTIES
Key Risk Indicators KRI
(c) Mikhail Rogov, 2014
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Rsk Appetite KRI
Reporting Risk assessment RISK OWNERS Limits
EVALUATION OF RISK TREATMENT
EFFECTIVENESS
Карта рисков Control
Exposure
RISK MANAGEMENT SYSTEM
Consequences
Likelihod 10
CONTEXT
Stakeholders
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Resources and details Scenarios
Risk owners
Risk Treatment
BUSINESS CONTINUITY PLANINNG
Review Coordination Testing
Proiritization
CONTINUITY MANAGEMENT PLAN
(c) Mikhail Rogov, 2014
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External risk indices
Global risk factors (space weather) indices
Volatility indices
Credit spread indices
(c) Mikhail Rogov, 2014
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Three-Level Risk Criteria
Market/Process Conjuncture Regimes 1. Stable à Value-at-Risk (VaR) 2. Non-stable à Expected Shortfall 3. Stress à Stress scenarios’ VaR Switch: Backtesting of VaR model
(c) Mikhail Rogov, 2014
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Reputational risks: linkage between incidents, media responses and market risk
premium
(c) Mikhail Rogov, 2014
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Global Risks 2014: Social Unrest in 2013
(c) Mikhail Rogov, 2014
Authoritarianism and xenophobia, clericalism and militarism, corruption – are real risks
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Volatility =?
(c) М.А.Рогов,2014
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Risk = CRISIS? RISK=PROFIT? Risk => Risk Management?
(c) М.А.Рогов,2014 17
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Google correlate: Risk (USA vs. Russia)
(c) Mikhail Rogov, 2014
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What about modern world?
(c) Mikhail Rogov, 2014
!
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Risk Management: Past • Joseph (Bible) • Indulgency (1095) • Thomas Aquinas 1245 • Petrarca De remediis utriusque fortunae 1354 “RISCO 1557 • Tulipomania 1637 • RISQUE 1657 • Expected gain theory (Pascal, 1658) • RISK (1661) • St. Petersburg paradox, Expected utility theory (Bernoulli, 1738) • РИСК (Fonvizin, 1769) • Theory of speculation (Bachelier 1900) • Risk, uncertainty and profit (Knight, 1921) • Portfolio theory (Markowitz,1953, Nobel Prize 1990) • Sociological theory (Luhmann, 1991)
(c) Mikhail Rogov, 2014 20
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• СAPM (Sharp, Nobel prize 1990) • Option pricing models (Merton, Black, Sholes, Nobel prize 1997) • Prospect theory (Kahneman & Tversky, Nobel prize 2002) • Swiss cheese model (Reason, 1990) • Chief Risk Officer) - GE Capital, 1993 • RARORAC • ERM • ATR • Value-at-Risk, Expected Shortfall (Uryasyev, RiskMetrics,1994) • Chaos & Fractals on Financial Markets (Mandelbrot) • Basel II, 2000-2002 • COSO-ERM Integrated Framework 2004 • Black Swan (Taleb, 2007), StressVaR • ISO 31000 Risk management, Solvency-II 2009 • Subprime crisis (2008), Basel III, 2010 • DRiMaP Distributed risk management process • Global risk factor theory (Rogov, 2002-2013)
(c) Mikhail Rogov, 2014
Risk Management:Past & Present
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• Human factor & Operational risks transfer • Cyber-terrorism & Industrial terrorism • Prediction markets and new KRI concepts • Risk management for small & medium enterprises (SME) • Crowdsourcing: USHAHIDI, Wiki etc. • New generations of risk Indices • New technologies and assets: Cryptocurrencies , HFT, Space weather ….?
Risk Management: Future
(c) Mikhail Rogov, 2014
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EFORM – Eurasian Federation of Risk Managers
(c) Mikhail Rogov, 2014
The mission of the EFORM is - the Institutionalization of the professional community of risk managers in the region and - strengthening the status of the profession and - development of risk management, risk culture, taking into account both individual
and collective interests of the EFORM members. Among the main goals are - support for research and innovation, - development of information infrastructure of risk management , - communication of the professional community , - training and certification in the field of risk management , - interaction with other international and national professional organizations and
regulators, participation in standardization. Special priority - to make available technologies of risk management in various industries, for small and medium business.
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EFORM – Eurasian Federation of Risk Managers
(c) Mikhail Rogov, 2014
ü EFORM has beeb founded by Mikhail Rogov in December 2013. ü EFORM unites Belarussian and Kazakhstan professional associations of risk
managers BelarusRisk and KAZAKHRISK ü 111 indidviduals from 13 Eurasian states since 16th December, 2013
ü LinkedIn & Facebook group only now, membership is free ü Risk management conference, WWEt, Kiev, 17th Aprill, 2014 ü Eurasian Business Forum, Almaty, 18th April, 2014 (invited) ü Publication, Journal “Risk management at financial institutions”, Moscow, 1 ‘14 ü Competition, Prize fund = BTC
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EFORM – LinkedIn statistics
(c) Mikhail Rogov, 2014
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Premiere Pilot Animation Film
Episode 1 RISK MANAGEMENT MODEL
http://www.rogovindex.com/Home/Index
Dr. Ass. Prof. Mikhail Rogov, EFORM, founder, [email protected], +7(903)5425225
www.rogovindex.com, GRM UNECE, ISO TC 262 Risk Management expert,
PRMIA-Russia, BoD member, Two-time best risk manager (Russia-’6, Russia&CIS-’12)