Credit Risk Management (CRM)
Risk Management (CRM) Subgroup
We have not settled on a mission for the group yet, so we will talk through possibilities for the group again.
Shawn Stackhouse is from Mercer Oliver Wyman in Toronto. He joined this group last month. He does basic work with credit risk modeling. He’d like to try to develop his skills, and wants to contribute to development of modeling skills.
David Li is from Citigroup and does credit modeling.
John Stark is from Anthem.
Hank Hansen works at PMI Mortgage Insurance Company. They insure credit risk on individual mortgages, and mortgage transactions. Hank moved from the Life industry. When loans are bought and sold on the market, and mortgage back securities are put together, investors like to take out the credit risk, so Hank’s company gets involved in pricing for the credit risk, and insuring mortgages for credit risk protection. They do a lot of hazard model work mostly on private residential mortgages.
Martin Le Roux is from ING in Denver, CO. They are implementing KMV portfolio manager for their corporate bond portfolio and they have done work in credit swaps.
Dave Ingram is a consultant with Milliman USA. He does credit modeling for pricing, valuation and risk management purposes, and has done peer review of other people’s modeling.
The RMTF has been an open ended, bottom up group whose subgroups have been working on projects identified by the groups themselves. A number of the groups have done white papers, or specialty guides, an extensive guide was created on economic capital, and the ERM group has sponsored telephone seminars.
We have discussed having a Credit Risk seminar. Dave Ingram and David Li have been working on this, which will be co-sponsored between Milliman and Citigroup.
What kind of activities does the group want to do in order to educate us, or to determine a research project?
No one has suggested any research projects that we should undertake. We thought about offering telephone seminars and discussed this on our last call.
types of research that needs to be done
Side – Has anyone thought of suggestions of possible speakers to
Martin said they do have one person at their Atlanta office that came up through the banking credit risk side and is now working on the insurance side.
There is an investment seminar being planned for Boston for November next year and they are just gearing up to discuss possible topics and sessions for that meeting.
For the annual meeting next October, they are about to start the cycle of planning for that (some time in the Spring). We can turn these ideas into session descriptions for the annual meeting.
Five Topics That Have Been Brought Up
How can we tap into and spread information about experiences like Hank’s? You rarely see an actuary in the business that Hank is in.
David Li has a few actuaries working at his bank.
We can turn our topics into session descriptions and shop them around.
Next week we are having our initial meeting of the new risk management section council. We will try to determine what the section council needs to do which isn’t being done right now.
Actuaries are undereducated in the area of credit risk.
Should someone put together an ABC’s of credit risk reading list? Yes.