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ERM Exam Fall 2012/Spring 2013
Important Exam Information: Exam Date and Time The exam duration is 4 hrs in one session. A read-through time of 15 minutes will be given prior to the start of the exam. At registration, candidates must select from one of six reading extensions. The readings for each extension appear at the end of this document. The study note package includes all extensions. Seventyfive percent of the exam points will come from the core readings and will be common for all candidates. The remaining twenty-five percent will be based on the case study and the selected extension. These questions may also draw on material from the core reading. Candidates may register online or with an application. Study notes are part of the required syllabus and are not available electronically but may be purchased through the online store. This document will guide candidates through the syllabus material and reinforce learning that is expected from each topic. It is not intended to duplicate or replace the study material, but rather to enhance it. Courseware is required reading and is in the Study Note package as ERM-50-12. The Introductory Study Note has a complete listing of all study notes as well as errata and other important information. This case study will also be provided with the examination. Candidates will not be allowed to bring their copy of the case study into the examination room. There is a single case study. However, within the case study are instructions as to which parts relate to which reading extension. Candidates should be sure to check the Updates page on the exam home page periodically for additional corrections or notices.

Reading Extensions

Exam Registration Order Study Notes


Introductory Study Note

Case Study




ERM Exam Fall 2012/Spring 2013
The five topics that follow are the core learning objectives and readings for this examination. All candidates are responsible for this material Topic: Risk Categories and Identification Learning Objective: 1. The candidate will understand the types of risks faced by an entity and be able to identify and analyze these risks. Learning Outcomes: The candidate will be able to: a) b) c) Explain risk concepts and be able to apply risk definitions to different entities Explain risk taxonomy and its application to different frameworks Identify and analyze risks faced by an entity, including but not limited to market risk, currency risk, credit risk, spread risk, liquidity risk, interest rate risk , equity risk, hazard/insurance risk, inflationary risk, environmental risk, pricing risk, product risk, operational risk, project risk and strategic risk

RESOURCES Financial Enterprise Risk Management, Sweeting, 2011 Chapter 1, An Introduction to Enterprise Risk Management Chapter 7, Definitions of Risk Chapter 8, Risk Identification

ERM-100-12: A Common Risk Classification System for the Actuarial Profession - Kelliher, Wilmot, Vij and Klumpes (Background only)

Topic: Risk Modeling and Aggregation of Risks Learning Objective: 2. The candidate will understand the concepts of risk modeling and be able to evaluate and understand the importance of risk models Learning Outcomes: The candidate will be able to: a) Demonstrate how each of the financial risks faced by an entity can be amenable to quantitative analysis including an explanation of the advantages and disadvantages of various techniques such as Value at Risk (VaR), stochastic analysis, scenario analysis 2

ERM Exam Fall 2012/Spring 2013
b) Evaluate how risks are correlated, and give examples of risks that are positively correlated and risks that are negatively correlated c) Analyze and evaluate risk aggregation techniques, including use of correlation, integrated risk distributions and copulas d) Apply and analyse scenario and stress testing in the risk measurement process e) Evaluate the theory and applications of extreme value theory in the measuring and...