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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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