Endorsements for Malcolm Kemp’s book
titled Market Consistency: Model Calibration in Imperfect Markets
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Endorsements for Market Consistency from leading
commentators include:
“In a period in which there is considerable confusion about
‘what the market has to say’ this work is a timely, comprehensive, up-to-date
and lucid treatment of all the concepts and techniques needed for marking
assets and liabilities to market across all financial service disciplines. With
its unique all-inclusive scope it is sure to become a standard reference for
bankers, insurers, fund managers and academics in finance.”
Professor Michael Dempster, Centre
for Financial Research Statistical Laboratory, University of Cambridge.
“This excellent and very timely book might reasonably have
been entitled How I Learned to have an Adult Relationship with Financial
Markets. I heartily commend this valuable contribution to present global
debates on regulation of banks and others. It should be on the bookshelves of
regulators and accounting standard-setters as well as of general managers and
non-executive directors of banks, insurers, and asset managers. It will be a
valuable tool in support of the education of the actuaries, accountants, risk managers
and asset managers of the future. It is very up to date and should stand the
test of time in future. A very welcome addition to the literature.”
Seamus Creedon, Consultant, KPMG
LLP.
“Malcolm Kemp has written a very timely book on
market-consistent valuation and model calibration. Given the recent market
developments and the upcoming changes in regulation in the EU (Solvency II),
the issue of market-consistent valuation has become a very hot topic. Kemp not
only gives a review of the relevant literature and offers in-depth discussion
of all the relevant issues surrounding market-consistent model calibration, but
also offers a practioner’s perspective. I feel this gives the book great added
value.”
Antoon Pelsser, Professor of
Actuarial Science, University of Amsterdam.
“This is a very timely book that will repay careful reading,
and help to develop insurance companies' and model designers' thinking in the
run-up to the implementation of Solvency II. Many tricky topics are covered in
a helpful and clear way, which can only improve the quality of communication
between the actuarial and accounting professions.”
Kathryn Morgan, Fellow of the
Institute of Actuaries.
“Malcolm Kemp has done a great job - he has put together
views from different perspectives, in an excellent and comprehensive way. This
book provides big and important support for actuarial practitioners, and
certainly for other mathematical professions as well.”
Christoph Krischanitz, President of
the Actuarial Association of Austria and Chairman of WG "Market
Consistency" Groupe Consultatif Actuariel Europeen.
“This is a timely and learned book on a highly topical
subject and contains many valuable insights. The scope is wide-ranging,
providing an overarching framework for the ‘principles and practices of market
consistency’ and showing clearly how different elements of financial practice
fit together within this framework. There is recognition that markets rarely
exhibit all the qualities needed to make the application of market consistency
straightforward and clear guidance on how to combine market information with
reasoned judgement. This book should make a significant contribution to the
debate on the use of market consistency and to improving the quality of market
consistent valuations derived in practice.”
Colin Wilson, Head of Investment
& Risk, Government Actuary's Department.
“The financial world more than ever needs clarity of
communication in setting business strategy, enterprise risk management,
regulatory supervision and more generally in providing advice to Board
Directors and senior management. Through Market Consistency Malcolm Kemp has
brought together great clarity in developing a rigorous framework of
well-defined terms, concepts and principles. The book is structured to be of
value to practitioners in advanced finance as well as financial practitioners
who are less mathematically inclined. Large parts of the book should be
essential reading for Board Directors responsible for their organisation’s
enterprise risk management, and equally for financial practitioners advising
those Directors.”
Tony Hewitt, Programme Director, MSc
Actuarial Finance, Imperial College Business School.
“The recent liquidity crisis has led many to call into
question market consistent methods. In this comprehensive and accessible
account the author successfully addresses the challenges posed to both the
theoretical justification for and practical application of such approaches
across a range of disciplines.”
Paul Fulcher, Managing Director,
Risk Advisory, UBS Investment Bank.