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

 

Education

        Ph.D.   University of Pennsylvania, Insurance and Finance, 1994

        M.A.    University of Pennsylvania, Insurance and Finance, 1992

        B.A.     Brigham Young University, Economics, 1989

Minors in Statistics and Japanese

 

Academic Experience

        2007 – Present    Professor, Brigham Young University, Provo, UT

        2000 – 2007          Associate Professor, Brigham Young University, Provo, UT

        1993 – 2000          Assistant Professor, Brigham Young University, Provo, UT

        1997                        Visiting Professor, Georgia State University, Atlanta, GA

        1991 – 1993         Research Assistant, University of Pennsylvania, Philadelphia, PA

        1988 – 1989          Instructor, Brigham Young University, Provo, UT

 

Honors and Awards

        Fellow, Wharton Financial Institutions Center, 2006 – present

        Grant Taggart Fellow of Insurance, Risk Management and Financial Services, Brigham Young University, 1993 – 2008

        Best Paper of 2002, North American Actuarial Journal

        BYU Finance Societys Outstanding Professor Award for 2000 – 2001

        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

        LECG Research Fellow, LECG, Inc. New York, NY, 1998

        Kemper Foundation Grant, Brigham Young University, 1997

        Summer Research Grant, Brigham Young University, 1994

        Huebner Foundation Fellowship, University of Pennsylvania, 1989 – 1993

        Rodney L. White Center Grant For Financial Research, 1991 – 1992

 

Publications in Peer Review Journals

        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.

        The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds, with Bing Han and Francis Longstaff, Journal of Finance, Dec. 2007.

        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.

        Real and Illusory Value Creation by Insurance Companies, with David F. Babbel, Journal of Risk and Insurance, March 2005. Lead article.

        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.

        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.

        A Note on the Solution to a Three-Factor Affine Term Structure Model, with Kabir Dutta, Journal of Fixed Income, December, 1999.

        Economic Valuation Models for Insurers, with David F. Babbel, North American Actuarial Journal, July 1998. Lead Article.

        Discussion of Two Paradigms for the Market Value of Liabilities. North American Actuarial Journal, October 1997.

        A Response to Time Diversification and Option Pricing Theory: Another Perspective, with Steven Thorley, Journal of Portfolio Management, Summer 1997.

        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.

        Interest-Rate Option Pricing Revisited, with David Babbel. Journal of Futures Markets, December 1996, Vol. 16, No. 8.

        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.

        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.

 

 

Work Under Review

        Rational Decumulation, with David F. Babbel, under review at the American Economic Review.

Other Publications

(The following are not blind review publications. Any review is noted.)

        Investing Your Lump Sum at Retirement, written with David F. Babbel, Wharton Financial Institutions Center, Policy Series, 2007.

        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.

        The Bullet GIC as an Example, written with David Babbel and Jeremy Gold, Risks and Rewards, February, 2001.

        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.

        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.

        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.

        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.

        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)

        A slightly modified version of this paper was published as a working paper in the Financial Sector Analysis Series, World Bank, September, 1995.

        Generating Stochastic Interest Rate Scenarios, invited presentation published in paper form in The Record of the Society of Actuaries, Vol. 21 No. 4, 1996.

        Option Pricing Mathematics, invited presentation published in paper form in The Record of the Society of Actuaries, Vol. 21 No. 1, 1996.

 

Presentations and Seminars

        Asset/Liability Management for Insurers, KPMG/Wharton Executive Education seminar, Wharton School, Philadelphia, 2002-2006.

        Quantitative Tools for Asset/Liability Management, Financial Risk Management Workshop, Milan, Italy, 2006.

        Advanced Asset/Liability Management for Life Insurers, Society of Actuaries and Wharton School, Philadelphia, 2001.

        Fair Value of Liabilities, Bowles Symposium, Georgia State University, Atlanta, 2001.

        New Thinking at the Business Schools: Financial Valuation of Insurance Liabilities, presented at the investment actuaries symposium, 2000.

        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.

        Financial Modeling Integration, panel presentation at the Society of Actuaries Annual Meeting in San Diego, 2000.

        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.

        Economic Valuation of Insurance Liabilities, presented in a plenary session of the American Risk and Insurance Association annual meetings, Vancouver, BC, 1999.

        Default Risk and Effective Duration, presented at Frontiers in Credit-Risk analysis: A Fixed-Income Conference and sponsored by the AIMR in Chicago, 1999.

        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.

        Financial Valuation of Insurance Liabilities, presented to the Academy of Actuaries task force on fair valuation of liabilities, New York, 1998.

        Financial Risk Management, presented at the American Risk and Insurance Association meetings in San Diego, 1997. Plenary session.

        Products Liability Loss Distributions and Liability Insurance Pricing, presented at University of Minnesota, faculty seminar, 1996.

        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.

        Generating Stochastic Interest Rate Scenarios, member of panel at the Society of Actuaries meetings in Boston, 1995.

        Option Pricing Mathematics, presented at the Society of Actuaries meetings in New Orleans, 1995.

        Duration of Risky Bonds, with David Babbel and William Panning, presented at New York University, Salomon Center, Financial Dynamics of the Insurance Industry, 1995.

        Optimal Social Security Pension Benefits With Heterogeneous Incomes, with Paul D. Thistle, presented at the Southern Economic Association meeting, Orlando FL., 1994.

        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.

        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.

 

Professional Service

Committee Assignments

        American Academy of Actuaries task force on fair value of liabilities, 1999 – 2001

        Awards Committee of the American Risk and Insurance Association, 1998 – 2001

        Les B. Strickler Innovation in Teaching Award Committee, American Risk and Insurance Association, 2000.

        Strategy Committee of the American Risk and Insurance Association, 1998 – 99

        Program Committee of the American Risk and Insurance Association, 1998 – 99

        Chairman, Insurance, Risk Management and Financial Services Faculty Committee, Brigham Young University, 1993 – Present

        Joint SoA/CAS Working Group on Course 2, Society of Actuaries, 1996

        Program Committee, Financial Management Association, 1995 – 96

        Program Committee, Financial Management Association, 1994 – 95

        Journal and Awards Committee, American Risk and Insurance Association, 1994 – 95

        Program Committee, American Risk and Insurance Association, 1994 – 95

 

Discussant

        American Finance Association, 1996

               Francisco Delgado, Optimal Exercise of Call Provision on Bonds

        American Risk and Insurance Association, 1995

               Moderator of Plenary Session on Corporate Risk Management

        American Risk and Insurance Association, 1994

David Cummins and David Sommer, Prices, Capital, and Risk in Property-Liability Insurance Markets

        Financial Management Association, 1994

Arthur Hogan and Samuel Cox, Life Insurer Risk-Based Capital: An Option Theoretic Approach

        Financial Management Association, 1994

Duane Stock and John Hu, The Impact of Junior Debt Upon the Systematic Risk of Senior Debt

        Financial Management Association, 1994

Duane Stock, Par Coupon Yield Curves for Callable Bonds and Amortizing Instruments

Reviewer

        Journal of Risk and Insurance

        Journal of Futures Markets

        North American Actuarial Journal

        The Financial Review

Areas of Interest

Research

        Fixed income securities and derivatives

        Asset-liability management

        Applications of financial pricing to insurance liabilities

Teaching

        Finance theory in MBA core

        Corporate risk management

Professional Affiliations

        American Finance Association

        American Risk and Insurance Association

        Risk and Insurance Management Society