Risk Management
Task Force

Equity Modeling (EM) Minutes

 

Equity Modeling (EM) Subgroup
October 21, 2002
10:00 a.m. Central Time

Modeling Returns – Geoff Hancock
This is a complete section in terms of the references. Geoff needs to bring some text in that introduces each of these sections and the subject matter. He will do a re-draft.

Measuring Risk – Novian Janus
Hasn’t reviewed other books or look for other methodologies to measure risk. He did email Dave Ingram because they were coming up with a list of risk measures for one of the groups that he chairs, Risk Management Metrics. This is complete subject to getting more information from Dave Ingram. Novian will add some references to Wilmot.

Risk Management – Kitty Ching
She received recommendations from Charles Hill. Hasn’t received the Crewy textbook yet that Valentina offered to find for her. We should list the book from Mary Hardy that Wiley will be publishing. The book will come out in March 2003. It was decided not to list it now but to wait a bit, and see when the text is published.

ACTION ITEMS: Julie to check with Valentina and get Crewy book sent to Kitty.

Buzz Group Meeting
Novian will develop his own handout. And an addendum to that will be the annotated reading list that we are working on. He will hand these out at the Boston buzz group meeting and start the discussion. He will find out from the participants about what topics they feel need to be researched. It was decided that Novian can share our reading list at the buzz group as long as it is stamped DRAFT and is dated.

ACTION ITEMS: (Everyone) Have everyone share two – three thoughts on what the gaps are. When we reconvene we can have a look at what the biggest gaps are and prioritize them and decide what to attack next.

Web Page
In a few weeks (by the end of this month) we should be able to submit our annotated list
to be put on the SOA website.

Next call
November 14th at 10:00 a.m. Central Time.

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