Market risk generally refers to the risk associated with the uncertain value of a portfolio of investments supporting an organization. Uncertainty and changes in the value of investment portfolios are caused by market movements resulting from any number of market-related factors. As such, market risk encompasses changes in equity values, interest rate shifts, and other market value changes.

Market risk is generally managed with a short term focus where the effort to minimize losses is employed on a day-to-day basis. A number of metrics are used to help managers assess and manage their exposures. These metrics may include duration and convexity measures, value at risk, etc.

Clearly, market risk can present challenges for life insurance companies as recent experience indicates. With these challenges in mind, the Society of Actuaries' Committee on Finance Research is interested in surveying companies to explore the best practices for life insurance company management of market risk.

The Society of Actuaries' Committee on Finance Research is seeking researchers to conduct a survey that explores market risk best practices for life insurance companies. The researchers will draft and issue a survey intended to be completed by individuals within life insurance companies responsible for managing market risk. Based on the results of the survey, the researchers will prepare a report summarizing the survey results with observations about best practices. A Project Oversight Group will be recruited to provide advice and help oversee the project. The survey questions will be formulated by the researchers with review by the Project Oversight Group. Sample anticipated questions include the following:

1. How does market risk rank as compared to all other risks for the organization–top, high, medium, low?
2. What metrics are used to assess market risk?
3. What type of background and expertise does the staff managing market risk have?
4. How large is the staff managing market risk?
5. What are the greatest challenges facing management of market risk?

The responses to these survey questions and others will benefit both life insurance companies dealing with market risk and those interested in a grounding of market risk issues.

To facilitate the evaluation of proposals, the following information should be submitted:

1. Resumes of the authors, including any graduate student(s) expected to participate, indicating how their background, education, and experience bear on their qualifications to undertake the research. If more than one author is involved for each report, a single individual should be designated as the lead researcher and primary contact. The person submitting the proposal must be authorized to speak on behalf of all the authors as well as for the firm or institution on whose behalf the proposal is submitted.
2. An outline of the approach to be used. Details should be given regarding the manner in which appropriate published material will be identified and evaluated, search techniques to be used, collateral material to be consulted, and possible limitations of the review and analysis.
3. Cost estimates for the research, including computer time, salaries, report preparation, research costs, etc. Such estimates can be in the form of hourly rates, but in such cases, time estimates should also be included. Any guarantees as to total cost should be given and will be considered in the evaluation of the proposal. While cost will be a factor in the evaluation of the proposal, it will not necessarily be the decisive factor.
4. A schedule for completion of the research, identifying key dates or time frames for research completion and report submission.
5. Other related factors that give evidence of a proposer's capabilities to perform in a superior fashion should be detailed.

The SOA's Committee on Finance Research is responsible for the selection of the proposal to be funded. Input from other knowledgeable individuals may also be sought, but the SOA's Committee on Finance Research will make the final decision. The SOA's Research Actuary will provide staff actuarial support. A Project Oversight Group (POG) will be appointed to oversee the project upon selection of the proposal.

Any questions regarding this RFP should be directed to:

• Steven Siegel, SOA Research Actuary at ssiegel@soa.org
• ph: 847.706.3578
• f: 847.273.8578

If you intend to submit a proposal, please e–mail written notification by November 15, 2009 to:

• Barbara Scott, SOA Research Administrator
• Society of Actuaries
• 475 N. Martingale Road, Suite 600
• Schaumburg, IL 60173–2226
• ph: 847.706.3592
• f: 847.273.3592

Please e–mail a copy of the proposal to Barbara Scott at bscott@soa.org.

Proposals must be received no later than December 1, 2009. It is anticipated that all authors who have submitted proposals will be informed of the status of their proposal in January 2010.

Note: Proposals are considered confidential and proprietary.

The SOA reserves the right to not award a contract for this research. Reasons for not awarding a contract could include, but are not limited to, a lack of acceptable proposals or a finding that insufficient funds are available. The SOA also reserves the right to redirect the project as is deemed advisable.

The SOA intends to copyright and publish the results of this research. The research will be considered work–for–hire and all rights thereto belong to the SOA. However, appropriate credit will be given to the researcher(s).