Risk Management
Task Force

Credit Risk Management Subgroup



Credit Risk Management | Economic Capital Calculation and Allocation
Enterprise Risk Management | Equity Modeling | Extreme Value Models
Health Risk Management | Policyholder Behavior in the Tail
Pricing for Risk | Risk Based Capital Covariance | Risk Management Metrics

Credit Risk Management
Novian Junus, Leader

…to identify ways that actuaries can learn more about credit risk, credit risk modeling, credit risk management and the uses and risks of credit derivatives

Initial Product and Process

  • Assess the needs of actuaries who want to learn about credit risk management
  • Assess the availability of learning tools for actuaries interested in credit risk management
  • Develop additional methods of learning and communicating about credit risk management including sponsored seminars, research projects, web-based instruction packages and programs for Society meetings and other symposiums

Documents & Links

Read the informative article on Credit Pricing Models by Dmitry Feldman and Martin Snow
Credit Pricing Models

Preliminary work products:

Recent Meeting Minutes:
CRM Minutes – May 17, 2004

CRM Minutes – December 10, 2003
CRM Minutes – September 23, 2003

Links to CRM related sites:
Locate a wealth of credit risk and credit risk modeling information at: www.defaultrisk.com

Information on the Faculty and Institute of Actuaries’ Certificates in Derivatives

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