Risk Management
Task Force

Credit Risk Management (CRM) Minutes


Credit Risk Management (CRM) Subgroup
September 23, 2003
2:00 p.m. Central Time

Cathy Ehrlich (Leader), Mark Abbott, Dave Herr, Juan Kelly, David Li, Matte Peltonen, Martin Le Roux, David Ruhm, Fred Tavan, Julie Young (SOA)

CR Seminar
Literature Search
Other Ideas

  1. CR Seminar

    Where is the seminar?

    The agenda is focused on credit derivatives.

    There will be a two-day credit risk seminar that will take place covering building blocks of credit derivatives, total returns, how things are priced, accounting and legal issues, credit portfolio modeling. It’s important not to make this seminar too narrow, in order to not get into too many technical issues.

    This is a broad subject.

    Sessions can be about credit ratings, software, loans, private placement structured credit, default swaps, high yield and investment grade.

    Who is our target audience? What is our objective for this seminar?
    People at insurance companies involved in the risk management function. The SOA hasn’t done anything on credit risk, so there is a wide range of skill levels that we can aim the seminar towards.

    Having the seminar will help us to put together our reading list.

    In terms of planning the seminar, we have to have a theme.

    The first day of the seminar can be theoretical, such as how you analyze your portfolio. The 2nd day can be more practical.

    ACTION ITEM: Cathy will begin an agenda showing idea topics and will circulate it to the group.

    ACTION ITEM: Mark will send the group a list of speakers that he has used in the past few years.

    ACTION ITEM: David Li has some people whom he would like to recruit to speak.

    Our primary focus should be to get the right speakers.

  2. Literature Search
    Has anyone on the call read the James Lam’s book? Yes, it’s recommended.

    ACTION ITEM: The group will contribute ideas via e-mail for literature.

  3. Other Ideas

Location for seminar?

ACTION ITEM: Cathy will find out from Dave.

Next Call
November 6 at 2 p.m. Central Time.

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