Management Metrics (RMM) Subgroup Minutes
Risk Management Metrics
Participants: Fred Tavan (Leader), Julie Perks, David Ingram, David Rhum (CAS), Emilie Gilde, Steve Craighead, Greg Sloan, Richard Goldfarb (CAS), Greg Campbell, Glenn Meyers (CAS).
Discussion on Risk Metrics
The risk metrics above cover mainly Credit and Market risks, and the above information will be added to the database.
There was talk about what direction the CAS was taking with respect to ERM on its exams. The CAS syllabus committee has looked at different papers and they expect to cover material on each of Operational, Credit and U/W risks. There is an initiative to look into Operational risk. There is also an initiative to look at a DFA course that will be required to become FCAS and this is going to the Board in May.
Other sources of material that can be investigated for risk metrics are:
Emilie and Greg will investigate the book by Cruz and report back on their findings at the next call. Glenn will report back on risklab website.
There was discussion around the lack of granularity for operational risk in the AAA risk management framework. Fred will look into how we can extend the AAA operational risk category to include other subcategories seen in other frameworks.