Craig B. Merrill

Professor of Finance
Grant Taggart Fellow of Insurance and Risk Management
Finance, Department of

Download Vita

Office: W437G TNRB
Phone: 801-422-4782
Email: Craig_Merrill@byu.edu
Home Page: merrill.byu.edu
Expertise:
  • Financial markets
  • Fixed income securities and derivatives
  • Insurance liabilities: financial valuation
  • Risk management
Research:
  • Applications of financial pricing to insurance liabilities
  • Fixed income valuation
Education:
  • PhD, University of Pennsylvania, 1994
  • MA, University of Pennsylvania, 1992
  • BA, Econimics, Brigham Young University, 1989
Group Affiliations:
  • Finance and Economics - Primary
Selected Publications:
  • "Risky Loss Distributions and Modeling the Loss Reserve Pay-out Tail," Review of Applied Economics Volume 3, Issue 1, January, 2007    
  • "The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds," Journal of Finance Volume 62, Issue 6, December, 2007    
  • "Real and Illusory Value Creation by Insurance Companies," Journal of Risk and Insurance March, 2005    
  • "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis Volume 39, Issue 3, Pages 595-612, University of Washington, Seattle, September, 2004    V I E W   A B S T R A C T
  • "Fair Value of Liabilities: The Financial Economics Perspective," North American Actuarial Journal January, 2002    
  • "Fair Value of Liabilities: The Bullet GIC as an Example," Risks and Rewards February, 2001    V I E W   A B S T R A C T
  • "A Note on the Solution to a Three-Factor Affine Term Structure Model," December, 1999    
  • "Economic Valuation Models for Insurers," North American Actuarial Journal July, 1998    
  • "Time Diversification and Option Pricing Theory: Another Perspective," Journal of Portfolio Management 1997    
  • "Two Paradigms for the Market Value of Liabilities," North American Actuarial Journal 1997    
  • "Time Diversificatioin: Perspectives from Option Pricing," Financial Analyst Journal April, 1996    V I E W   A B S T R A C T
  • "Interest-Rate Option Pricing Revisited," Journal of Futures Markets Volume 16, Issue 8, January, 1996    V I E W   A B S T R A C T
Experience:
   Teaching
  • Professor, Brigham Young University, 2007
  • Associate Professor, Brigham Young University, 2000-2007
  • Visiting Professor, Georgia State University, 1997
  • Assistant Professor, Brigham Young University, 1993-2000
  • Research Assistant, University of Pennsylvania, 1991-1993
  • Instructor, Brigham Young University, 1988-1990
   Professional
  • AIG
  • Zenith Insurance Company
  • Swiss Re
  • Groupa Nacional Provicial
  • Law and Economics Consulting Group
  • Wilklevoss and Associates
  • Citibank
  • Goldman Sachs
  • National Economic Research Associates
  • Merrill Lynch
Awards:
  • Best Paper of 2002 , Society of Actuaries / North American Actuarial Journal , 2003
  • Outstanding Professor Award , BYU Finance Society , 2001
  • Graham Dodd Award of Excellence , AIMR , 1998
  • Research Fellow , LECG , 1998
  • Kemper Foundation Grant , Brigham Young University , 1997
  • Summer Research Grant , Brigham Young University , 1994
  • Grant Taggart Fellow of Insurance, Risk Management, and Financial Services, 1993-present , Brigham Young University , 1993
  • Grant for Financial Research , Rodney L. White Center , 1991
  • Huebner Foundation Fellowship, 1989-1993 , University of Pennsylvania , 1989
Web Links:
Edit Profile