Less anonymous

Our anonymous friend at the Institute told us about this page published over the weekend, listing the members of the joint review Board for the Equity Release project. Kudos to the Institute for actually publishing this.

  • Professor Johnny Li (Chair) – ARC Director / ARC Associate Director
  • Steven Findlay (Chair) – ABI
  • Andrew Rendell – ABI
  • Peter Stanley – ABI
  • Chris Hursey – ABI
  • Charles Golding – IFoA
  • Gina Craske – IFoA
  • TBC – IFoA (academic)
  • Sarah Mathieson, IFoA Head of Research and Knowledge
  • Vanessa Bennett – IFoA Executive (Research Project Manager)

It can hardly be said the Board is independent. Chris Hursey is surely the capital manager at Just Group, unless there is another so-called. Gina Craske is a director at KPMG (auditor of Just), and a long-time member of the ERM working group. Charles Golding is a director of Golding Smith and Partners.

However Johnny Li has form on ERM valuation. He is the author, together with Mary Hardy, and Ken Tan, of “On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms” (Journal of Risk and Insurance, Vol. 77, Issue 2, pp. 499-522, June 2010), which was cited in DP 1/16 as a footnote to Question 10 on p.13

One of the assumptions of the Black-Scholes framework is that the underlying asset follows a geometric Brownian motion. How appropriate do you consider this assumption is to residential property, given there is evidence that residential property prices display time series effects such as mean-reversion and volatility clustering?”

I shall discuss the effect of mean reversion, volatility clustering and non-Gaussian time series in later posts, see this for now.