Craig Merrill – Vita
Brigham Young University ¥
W437G TNRB ¥ Provo, UT 84602
Phone: (801) 422-4782 ¥ Fax: (801) 422-0513 ¥ E-mail: Craig_Merrill@byu.edu
á Ph.D. University of Pennsylvania, Insurance and Finance, 1994
á M.A. University of Pennsylvania, Insurance and Finance, 1992
á B.A. Brigham Young University, Economics, 1989
Minors in Statistics and Japanese
á 2007 – Present Professor, Brigham Young University, Provo, UT
á 2000 – 2007 Associate Professor, Brigham Young University, Provo, UT
á 1993 – 2000 Assistant Professor, Brigham Young University, Provo, UT
á 1997 Visiting Professor, Georgia State University, Atlanta, GA
á 1991 – 1993 Research Assistant, University of Pennsylvania, Philadelphia, PA
á 1988 – 1989 Instructor, Brigham Young University, Provo, UT
á Fellow, Wharton Financial Institutions Center, 2006 – present
á Grant Taggart Fellow of Insurance, Risk Management and Financial Services, Brigham Young University, 1993 – 2008
á
Best Paper of 2002, North American Actuarial Journal
á BYU Finance SocietyÕs Outstanding Professor Award for 2000 – 2001
á Graham and Dodd Award of Excellence, presented by the Association for Investment Management and Research in recognition of an outstanding feature article in the Financial Analysts Journal, 1998
á LECG Research Fellow, LECG, Inc. New York, NY, 1998
á Kemper Foundation Grant, Brigham Young University, 1997
á Summer Research Grant, Brigham Young University, 1994
á Huebner Foundation Fellowship, University of Pennsylvania, 1989 – 1993
á Rodney L. White Center Grant For Financial Research, 1991 – 1992
á Corporate Social Responsibility and the Risk Management Perspective: An Empirical Test and Theoretical Extension, with Paul Godfrey and Jared Hansen, Forthcoming, Academy of Management Journal.
á The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds, with Bing Han and Francis Longstaff, Journal of Finance, Dec. 2007.
á Risky Loss Distributions and Modelling the Loss Reserve Pay-out Tail, with J. David Cummins and James B. McDonald, Review of Applied Economics, Vol. 3, No. 1, 2007.
á Real and Illusory Value Creation by Insurance Companies, with David F. Babbel, Journal of Risk and Insurance, March 2005. Lead article.
á The Effect of Transaction Size on Off-the-Run Treasury Prices, with David Babbel, Mark Meyer, and Meiring de Villiers, Journal of Financial and Quantitative Analysis, September 2004.
á Fair Value of Liabilities: The Financial Economics Perspective, with David Babbel and Jeremy Gold, North American Actuarial Journal, January 2002. Lead Article, Awarded best paper of 2002.
This article was also published as Chapter 1 in Asset and Liability Management Tools: A Handbook for Best Practice, edited by Bernd Sherer, Risk Books, London, 2003.
á A Note on the Solution to a Three-Factor Affine Term Structure Model, with Kabir Dutta, Journal of Fixed Income, December, 1999.
á Economic Valuation Models for Insurers, with David F. Babbel, North American Actuarial Journal, July 1998. Lead Article.
á Discussion of ÒTwo Paradigms for the Market Value of Liabilities.Ó North American Actuarial Journal, October 1997.
á A Response to ÒTime Diversification and Option Pricing Theory: Another Perspective,Ó with Steven Thorley, Journal of Portfolio Management, Summer 1997.
á Default Risk and the Effective Duration of Bonds, with David F. Babbel and William Panning. Financial Analysts Journal, January / February 1997. Received a Graham and Dodd Award of Excellence.
This article was translated and published in the Security Analysts Journal of Japan, October 1998, Vol. 36, No 10.
á Interest-Rate Option Pricing Revisited, with David Babbel. Journal of Futures Markets, December 1996, Vol. 16, No. 8.
á Teaching Interest Rate Contingent Claims Pricing, with David F. Babbel. A new pedagogical approach to teaching interest rate contingent claims pricing. Journal of Financial Education, Fall 1996. Lead article in peer review section of this journal.
á Time Diversification: Perspectives from Option Pricing, with Steven Thorley. Using option pricing methodology to evaluate risk in equity investments for different investment horizons. Financial Analysts Journal, May/June 1996. Lead article.
á Rational Decumulation, with David F. Babbel, under review at the American Economic Review.
(The following are not blind review publications. Any review is noted.)
á Investing Your Lump Sum at Retirement, written with David F. Babbel, Wharton Financial Institutions Center, Policy Series, 2007.
á Fair Value of Liabilities: The Financial Economics Perspective, written with David F. Babbel and Jeremy Gold, first chapter in Asset and Liability Management Tools: A Handbook for Best Practice, Risk Books, London, 2003.
á The Bullet GIC as an Example, written with David Babbel and Jeremy Gold, Risks and Rewards, February, 2001.
á Default Risk and Effective Duration, presented at the AIMR seminar, Frontiers in Credit-Risk Analysis: A Fixed-Income Conference, and published in a proceedings book, 2000.
á The Ultimate Black Box, written with David Babbel and Algis Remeza, presented at a New York University, Salomon Center conference and printed as a chapter in Fair Value of Insurance Business, 2000.
á Toward a Unified Valuation Model for Life Insurers, written with David Babbel and published in Changes in the Life Insurance Industry: Efficiency, Technology and Risk Management, Kluwer, Norwell, MA, 1999.
á Valuing Interest-Sensitive Financial Instruments, a technical monograph written with David F. Babbel, Frank Fabozzi Publishers, 1996. (Reviewed by a panel of investments experts.) This monograph has been designated as required reading for the Associate of the Society of Actuaries designation exams.
á Duration of Risky Bonds, with David Babbel and William Panning, presented at New York University, Salomon Center, and published as a chapter in Financial Dynamics of the Insurance Industry, Irwin, 1995. (Blind Conference Review)
á A slightly modified version of this paper was published as a working paper in the Financial Sector Analysis Series, World Bank, September, 1995.
á Generating Stochastic Interest Rate Scenarios, invited presentation published in paper form in The Record of the Society of Actuaries, Vol. 21 No. 4, 1996.
á Option Pricing Mathematics, invited presentation published in paper form in The Record of the Society of Actuaries, Vol. 21 No. 1, 1996.
á Asset/Liability Management for Insurers, KPMG/Wharton Executive Education seminar, Wharton School, Philadelphia, 2002-2006.
á Quantitative Tools for Asset/Liability Management, Financial Risk Management Workshop, Milan, Italy, 2006.
á Advanced Asset/Liability Management for Life Insurers, Society of Actuaries and Wharton School, Philadelphia, 2001.
á Fair Value of Liabilities, Bowles Symposium, Georgia State University, Atlanta, 2001.
á New Thinking at the Business Schools: Financial Valuation of Insurance Liabilities, presented at the investment actuaries symposium, 2000.
á A 3+N-Factor Model of the Term Structure of Interest, with Closed-Form Solutions, with D. Babbel and A. Remeza, presented at the American Risk and Insurance Association annual meeting, 2000.
á Financial Modeling Integration, panel presentation at the Society of Actuaries Annual Meeting in San Diego, 2000.
á The Ultimate Black Box, written with David Babbel and Algis Remeza, presented at the New York University, Salomon Center conference in Fair Value of Insurance Business, 1999.
á Economic Valuation of Insurance Liabilities, presented in a plenary session of the American Risk and Insurance Association annual meetings, Vancouver, BC, 1999.
á Default Risk and Effective Duration, presented at Frontiers in Credit-Risk analysis: A Fixed-Income Conference and sponsored by the AIMR in Chicago, 1999.
á Toward a Unified Valuation Model for Life Insurers, written with David Babbel and presented at the New York University, Salomon Center conference Changes in the Life Insurance Industry: Efficiency, Technology and Risk Management, 1998.
á Financial Valuation of Insurance Liabilities, presented to the Academy of Actuaries task force on fair valuation of liabilities, New York, 1998.
á Financial Risk Management, presented at the American Risk and Insurance Association meetings in San Diego, 1997. Plenary session.
á Products Liability Loss Distributions and Liability Insurance Pricing, presented at University of Minnesota, faculty seminar, 1996.
á Mathematics of Option Pricing, presented at the Society of Actuaries meetings in Orlando, 1996. This was a day-long extension to the presentation in Boston, 1995.
á Generating Stochastic Interest Rate Scenarios, member of panel at the Society of Actuaries meetings in Boston, 1995.
á Option Pricing Mathematics, presented at the Society of Actuaries meetings in New Orleans, 1995.
á Duration of Risky Bonds, with David Babbel and William Panning, presented at New York University, Salomon Center, Financial Dynamics of the Insurance Industry, 1995.
á Optimal Social Security Pension Benefits With Heterogeneous Incomes, with Paul D. Thistle, presented at the Southern Economic Association meeting, Orlando FL., 1994.
á Heterogeneous Incomes and the Design of Social Security Programs, with Paul D. Thistle, presented at the American Risk and Insurance Association meetings, Washington D.C., 1992 and at a Georgia State University Faculty Seminar, 1994.
á Moonlighting and Deductibles: A Market-based Solution to the Problem of Insurance Contract Purchase Non-Observability, presented at the American Risk and Insurance Association meetings, Washington D.C., 1992 and at a Brigham Young University, Faculty Seminar, 1993.
á American Academy of Actuaries task force on fair value of liabilities, 1999 – 2001
á Awards Committee of the American Risk and Insurance Association, 1998 – 2001
á Les B. Strickler Innovation in Teaching Award Committee, American Risk and Insurance Association, 2000.
á Strategy Committee of the American Risk and Insurance Association, 1998 – 99
á Program Committee of the American Risk and Insurance Association, 1998 – 99
á Chairman, Insurance, Risk Management and Financial Services Faculty Committee, Brigham Young University, 1993 – Present
á Joint SoA/CAS Working Group on Course 2, Society of Actuaries, 1996
á Program Committee, Financial Management Association, 1995 – 96
á Program Committee, Financial Management Association, 1994 – 95
á Journal and Awards Committee, American Risk and Insurance Association, 1994 – 95
á Program Committee, American Risk and Insurance Association, 1994 – 95
á American Finance Association, 1996
Francisco Delgado, Optimal Exercise of Call Provision on Bonds
á American Risk and Insurance Association, 1995
Moderator of Plenary Session on Corporate Risk Management
á American Risk and Insurance Association, 1994
David Cummins and David Sommer, Prices, Capital, and Risk in Property-Liability Insurance Markets
á Financial Management Association, 1994
Arthur Hogan and Samuel Cox, Life Insurer Risk-Based Capital: An Option Theoretic Approach
á Financial Management Association, 1994
Duane Stock and John Hu, The Impact of Junior Debt Upon the Systematic Risk of Senior Debt
á Financial Management Association, 1994
Duane Stock, Par Coupon Yield Curves for Callable Bonds and Amortizing Instruments
á Journal of Risk and Insurance
á Journal of Futures Markets
á North American Actuarial Journal
á The Financial Review
á Fixed income securities and derivatives
á Asset-liability management
á Applications of financial pricing to insurance liabilities
á Finance theory in MBA core
á Corporate risk management
á American Finance Association
á American Risk and Insurance Association
á Risk and Insurance Management Society