Kamakura Announces Webinar on Credit Risk Modeling in Insurance Led by Prof. Robert Jarrow

New York - 13 June 2013

Kamakura Corporation has announced that the Society of Actuaries will host a webinar entitled “Credit Risk Modeling Practices in the Insurance Industry” on June 27 led by Kamakura Managing Director for Research Prof. Robert Jarrow. Prof. Jarrow will be assisted by Kamakura Senior Research Fellow Prof. Jens Hilscher and Kamakura Chief Executive Officer Donald R. van Deventer.

In this webcast, Robert Jarrow, Jens Hilscher and Donald van Deventer evaluate current actuarial practices for modeling credit risk in the life insurance industry in light of historical developments and current best practices, based on the findings of the research study recently completed by Kamakura for the Society of Actuaries. They summarize the development of modern credit models over the last two decades. They trace the development of these models to insurance analytics first published by insurance expert D. R. Cox. They describe the application of these models in modern risk management systems and a wide array of risk management calculations: credit portfolio management, integrated asset and liability management with random default and mortality risk, liquidity risk analysis, capital adequacy analysis, and statutory and generally accepted accounting principles capital and net income simulation. Presenters will discuss the contrasts between best practice techniques and regulatory calculations like Solvency II and Basel II and III. Finally, they summarize the findings from a recent study undertaken by Kamakura Corporation under the auspices of the Society of Actuaries to determine the current state of credit modeling in the insurance industry compared with the broader state of the art.

Martin Zorn, Chief Administrative Officer for Kamakura Corporation, said Thursday, “The leading insurance companies in the United States have been at the forefront in utilizing best practices for credit risk management. Insurance firms have sharply improved their analytical capabilities by literally skipping the adoption of legacy credit risk management techniques in favor of more modern approaches that are fully supported by empirical evidence and extensive testing regimes. The ability of insurance firms to simulate the evolution of risk on both the asset and liability side of the balance sheet as a function of macro-economic factors is a capability that most major banks would regard with envy. This webinar sponsored by the Society of Actuaries explains both the why and the how of this major advance in integrated credit risk management technology.”

Prof. Robert A. Jarrow has served as the Managing Director for Research at the Kamakura Corporation since 1995. He is the Ronald P. & Susan E. Lynch Professor of Investment Management and Professor of Finance at the Samuel Curtis Johnson Graduate School of Management, Cornell University. Professor Jarrow's teaching and research interests involve the study of mathematical finance. He is interested in derivatives, risk management, investments and asset pricing theory. Jarrow is currently engaged in research relating to the pricing of credit derivatives, liquidity risk, and risk management. He is a graduate faculty representative in four fields: management, economics, operations research and industrial engineering, and applied mathematics.

Jarrow is on the advisory board of Mathematical Finance and he is an associate editor for numerous other finance journals. His research has won numerous awards including the Graham and Dodd Scrolls Award 2001, the CBOE Pomerance Prize in 1982, and the Ross Best Paper Award in 2008. In 1997, he was named IAFE Financial Engineer of the Year in recognition of his research accomplishments. He is currently an IAFE senior fellow and an FDIC senior fellow. He is in the Fixed Income Analysts Society Hall of Fame, Risk Magazine's 50 member Hall of Fame, and listed in the Who's Who of Economics. He received Risk Magazine's Lifetime Achievement Award in 2009. He also serves on various corporate board of directors and advisory boards. Prof. Jarrow earned his Ph.D. in finance from the Massachusetts Institute of Technology. Prof. Jarrow earned a Masters in Business Administration from the Amos Tuck School of Business at Dartmouth College where he graduated with highest honors. Prof. Jarrow graduated magna cum laude from Duke University with double majors in mathematics and management science.

Prof. Jens Hilscher is Senior Research Fellow at Kamakura Corporation and Associate Professor of Finance at the Brandeis University International Business School and Department of Economics. His papers in the Journal of Finance (2008) and Journal of Investment Management (2011) with John Campbell and Jan Szilagyi are key papers in the modern development, usage and testing of credit risk models. The latter paper won the Markowitz award as paper of the year in the Journal of Investment Management. Prof. Hilscher earned his Ph.D. in 2005 in Economics from Harvard University. He received M.Sc. and B.Sc. degrees from the London School of Economics, where he was awarded ESRC Advanced Studentship, First Class Honors, and Gerstenberg and Raynes Prizes.

Dr. Donald R. van Deventer founded the Kamakura Corporation in April, 1990 and is currently Chairman and Chief Executive Officer. The second edition of his newest book, Advanced Financial Risk Management (with Kenji Imai and Mark Mesler) was published in 2013 by John Wiley & Sons. Dr. van Deventer holds a Ph.D. in Business Economics, a joint degree of the Harvard University Department of Economics and the Harvard Graduate School of Business Administration. He was appointed to the Harvard University Graduate School Alumni Association Council in 1999 and has now completed more than a decade of service on the Council. Dr. van Deventer serves as Chairman of the Council for the 2012-2013 and 2013-2014 academic years. Dr. van Deventer also holds a degree in mathematics and economics from Occidental College, where he graduated second in his class, summa cum laude, and Phi Beta Kappa.

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