Published material
authored or co-authored by Nematrian employees or directors from 2009 onwards includes
material set out below. Papers that are shown as co-authored generally involve
some authors who are not Nematrian employees. For a summary of the different
types of material included in this list see here.
For material authored or co-authored prior to 2009 see here.
|
Other material and
where published or presented
|
Type of document
(and authors)
|
Published
|
|
Inflation
risk management. Presentation to the Hungarian Actuarial Society
|
Presentation (Malcolm
Kemp)
|
Nov 2023
|
|
De-risking in
pensions, insurance and other financial services: good or bad?
Presentation to the Hungarian Actuarial Society
|
Presentation (Malcolm
Kemp)
|
Nov 2023
|
|
A
Primer on Inflation Risk Management. AAE Discussion Paper
|
Discussion Paper (Jason
Wiebe, Martin Melchior, Malcolm Kemp, Richard Deville, Sam Achord)
|
Nov 2023
|
|
Liability
Driven Investment and Financial Stability. Presentation to the 2nd
European Actuarial Day
|
Presentation (Malcolm
Kemp)
|
Jun 2023
|
|
Inflation,
pensions and insurance. Presentation to the Milliman European Forum
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Presentation (Malcolm
Kemp)
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Nov 2022
|
|
Efficient
Monte Carlo simulation of portfolio value, value-at-risk and other portfolio
metrics. Presentation to the 2022 ASTIN and AFIR/ERM Virtual Colloquia
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Presentation (Malcolm
Kemp)
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Jun 2022
|
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Group
testing equipment designs for Covid-19 (or other epidemiological) testing.
Nematrian
|
Nematrian Concept paper
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Jun 2022
|
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Actuarial
thoughts on the macroprudential concept of
“growth-at-risk”. European
Congress of Actuaries
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Presentation (Malcolm
Kemp)
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Jun 2022
|
|
Bank
business model transformation and financial stability consequences (I.
Over-regulation, optimal simplicity, interactions between prudential
instruments). MNB-OMFIF Financial Stability conference 2022
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Initial panel
discussion remarks (Malcolm Kemp)
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May 2022
|
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Digitalisation
and the future of financial services. Presentation to the Actuarial
Association of Europe Joint Meeting of Insurance Committee, Pension Committee
and Risk Management Committee
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Presentation (Malcolm
Kemp)
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Mar 2022
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Will
video kill the radio star? Digitalisation and the future of banking. Report
of the Advisory Scientific Committee of the European Systemic Risk Board, No 12
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Paper (Thorsten Beck,
Stephen Cecchetti, Magdalena Grothe, Malcolm Kemp, Loriana Pelizzon, Antonio
Sánchez Serrano)
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Jan 2022
|
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Financial
stability implications of IFRS 17 Insurance Contracts. European
Systemic Risk Board
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Paper by ESRB
Exploratory Group on Accounting Developments and Financial Stability
(including Samuel Achord, Nusret Calo, Alessandro D’Eri, Malcolm Kemp, Pablo
Pérez, Fabio Polimanti and Antonio Sánchez Serrano)
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Dec 2021
|
|
Macroprudential
Regulation and Systemic Risk. Presentation to Actuarial Association of
Europe Webinar
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Presentation (Malcolm
Kemp)
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Oct 2021
|
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Insurability
and Pandemic (or More Generally, Shared Resilience) Risk. AAE Position
Paper, Actuarial Association of Europe
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Paper (Malcolm Kemp,
Esko Kivisaari, Jan Martinek, Tony O’Riordan, Matthias Pillaudin, Lauri
Saraste, Lutz Wilhelmy
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Jun 2021
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Actuaries
and Operational Risk Management. Presentation to CERA Global Risk
Conference 2021
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Presentation (Malcolm
Kemp)
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Jun 2021
|
|
Actuaries
and Operational Risk Management. Presentation to AAE European
Actuarial Days 2021
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Presentation (Malcolm
Kemp)
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Jun 2021
|
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Actuaries
and Operational Risk Management. Actuarial Association of Europe, Discussion
Paper
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Paper (Malcolm Kemp,
Christoph Krischanitz, Daphné De Leval, Eddy Van den Borre
|
Jan 2021
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Risk Margin Update. Actuarial
Association of Europe, Webinar. [pre-print
paper pdf]
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Presentation (Malcolm
Kemp)
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Dec 2020
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The
Potential Impact of Multi-Year Dependencies on the Design of the Solvency II
Risk Margin. Nematrian
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Presentation (Malcolm
Kemp)
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Nov 2020
|
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Managing
Crisis and Creating Value-Add from the ORSA Process: Profiting from the ORSA
Process. AFIR-ERM, Risk Book Webinar
|
Presentation (Malcolm
Kemp)
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Oct 2020
|
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The
Mathematics of Risk Measurement. Nematrian
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Note (Malcolm Kemp)
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Mar 2020
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A
review of the design of the Solvency II Risk Margin. Actuarial
Association of Europe, Commentary Paper
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Paper (published by AAE
Solvency II Working Group members, chaired by Malcolm Kemp)
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Dec 2019
|
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The
Impact of Quantitative Easing on Risks and Risk
Management
Approaches in the Financial Sector.
Presentation to the
Autumn Seminar of the Norwegian Foundation for Promotion of the Actuarial
Profession
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Presentation (Malcolm
Kemp)
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Nov 2019
|
|
The
European Safe Asset Debate. Nematrian
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Paper (Malcolm Kemp)
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Sep 2019
|
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Regulatory
complexity and the quest for robust regulation. SUERF Policy Note,
Issue No 86
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Paper
(Prasanna Gai, Malcolm Kemp, Antonio Sánchez Serrano, Isabel Schnabel)
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Jul 2019
|
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Regulatory
complexity and the quest for robust regulation. Report of the Advisory
Scientific Committee of the European Systemic Risk Board, No 8
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Paper
(Prasanna Gai, Malcolm Kemp, Antonio Sánchez Serrano, Isabel Schnabel)
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Jun 2019
|
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Actuaries and
Operational Risk Management. Paper presented to European Congress of
Actuaries, June 2019 [pre-print
paper pdf]
|
Paper
(Malcolm Kemp, Christoph Krischanitz, Daphné de Leval, Eddy Van den Borre)
|
May 2019
|
|
Current
financial stability initiatives relating to insurers and pension funds. Paper
presented to the AFIR-ERM Colloquium, May 2019
|
Presentation (Malcolm
Kemp)
|
May 2019
|
|
Improving
valuation run-times for derivative books. Occasional Nematrian
research paper
|
Paper (Malcolm Kemp)
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Apr 2019
|
|
ORSA
(Solvency II) vs ORA (IORP II). Presentation
to the Actuarial Association of Europe Joint Meeting of Insurance Committee,
Pension Committee and Risk Management Committee
|
Presentation (Malcolm
Kemp)
|
Sep 2018
|
|
Market
consistency and weighted Monte Carlo. Presentation to LSE Actuarial
Society [pdf]
|
Presentation (Malcolm
Kemp)
|
Feb 2018
|
|
Financial
stability implications of IFRS 9. European Systemic Risk Board
|
Report published by
ESRB Taskforce (which included Malcolm Kemp)
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Jul 2017
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Negative
Interest Rates and Their Technical Consequences. Actuarial Association
of Europe
|
Paper, published by AAE
Taskforce consisting of Malcolm Kemp, Philipp Keller, Christoph Krischanitz
(chair), Bertrand Lespinasse and Karel Goossens
|
Dec 2016
|
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How the financial
system helps society innovate and develop. Le Magazine Des
Professions Financières & De L’Économie [pre-print pdf]
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Article (Malcolm Kemp)
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Dec 2016
|
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Tail fitting
probability distributions for risk management purposes
Presentation to
Institute and Faculty of Actuaries Pension, Risk and Investment Conference,
Edinburgh [pdf]
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Presentation (Malcolm
Kemp)
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Jun 2016
|
|
Systemic
Risk Relevance of Pension Funds, Insurers and Asset Managers
Occasional Nematrian
research presentation [pdf]
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Presentation (Malcolm
Kemp)
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May 2016
|
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Own Risk and
Solvency Assessment (ORSA). Chapter 10 of IAA Risk Book. IAA
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Book Chapter (Maryellen
Coggins, Nick Dexter, Malcolm Kemp and John Oost)
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Mar 2016
|
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Financial
Market Conduct Risk and Financial Stability
Presentation to
RiskMinds Risk and Regulation Forum, Brussels [pdf]
|
Presentation (Malcolm
Kemp)
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Jun 2015
|
|
ERM
Developments and Opportunities for Actuaries
Presentation to ACA
Sessional Meeting [pdf]
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Presentation (Malcolm
Kemp)
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Dec 2014
|
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Changing
financial sector interconnectivities and their impact on regulatory
frameworks
Updated paper
including feedback received during a Workshop presentation at the
RiskMinds Risk and Regulation Forum, Barcelona (Sep 2014) and an Actuarial
Association of Europe Meeting (Oct 2014)
Appendix
A: Capital Adequacy: A conceptual framework
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Paper (Malcolm Kemp)
|
Dec 2014
|
|
Regulatory
costs and risk neutrality
Occasional Nematrian
research paper
|
Paper (Malcolm Kemp)
|
Oct 2014
|
|
Changing
financial sector interconnectivities and their impact on regulatory
frameworks
Workshop
presentation at the RiskMinds Risk and Regulation Forum, Barcelona [presentation
pdf, paper
pdf]
|
Presentation and Paper
(Malcolm Kemp)
|
Sep 2014
|
|
Pension
plan solvency and extreme market movements: a regime switching approach
European Journal of
Finance,
DOI:
10.1080/1351847X.2014.946528
|
Paper
(Niloufar Abourashchi,
Ian Clacher, Mark C. Freeman, David Hillier, Malcolm Kemp and Qi Zhang)
|
Sep 2014
|
|
Entity-wide
Risk Management for Pension Funds
Presentation of
paper to the International Congress of Actuaries 2014, Washington DC, USA
[presentation
pdf, paper
pre-print pdf]
|
Presentation (Malcolm
Kemp)
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Apr 2014
|
|
Enterprise Risk
Management
Presentation to
Queens University Actuarial Seminar [pdf]
|
Presentation (Malcolm
Kemp)
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Feb 2014
|
|
Discounting
Presentation to
Hungarian Actuarial Society Fall School, Visegrad [pdf]
|
Presentation (Malcolm
Kemp)
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Nov 2013
|
|
Possible
Unintended Consequences of Basel III and Solvency II
Presentation to Hungarian Actuarial Society Fall School, Visegrad [pdf]
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Presentation (Malcolm
Kemp)
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Nov 2013
|
|
Possible
Unintended Consequences of Basel III and Solvency II
Presentation to RiskMinds Risk and Regulation Forum, Nice [pdf]
|
Presentation (Malcolm
Kemp)
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Sep 2013
|
|
Techniques
for Handling Extreme Events in the Context of Portfolio Construction
Presentation to
Groupe Consultatif Summer School, Lyon, France [pdf]
|
Presentation (Malcolm
Kemp)
|
Jun 2013
|
|
Possible
Unintended Consequences of Basel III and Solvency II
Presentation to Institute and Faculty of Actuaries, Edinburgh and London
|
Presentation (Malcolm
Kemp)
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Jan 2013
|
|
Market
Consistency – an educational note
Actuarial
Association of Europe
[local
copy]
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Paper
(Philipp Keller, Malcolm Kemp, Christoph Krischanitz)
|
Dec 2012
|
|
Fat
Tails and Extreme Events
Presentation to City
Book Fair [pdf]
|
Presentation (Malcolm
Kemp)
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Nov 2012
|
|
Article
about ten top actuaries, including Malcolm Kemp
Insurance ERM
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Article (Insurance ERM)
|
Nov 2012
|
|
A
framework for the use of discount rates in actuarial work
Preprint of article
in Placard
|
Article (Malcolm Kemp)
|
Oct 2012
|
|
Responses
to questions to stakeholders on draft technical specifications for QIS of
EIOPA’s Advice on the Review of the IORP Directive
Nematrian note
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Response to
consultation paper
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Jul 2012
|
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Differences
and Similarities between Banks and Insurers
Nematrian note for
IAA contributing to debate on whether insurers are exposed to systemic risk
|
Note (Malcolm Kemp)
|
Jun 2012
|
|
Pension plan
solvency and extreme market movements: a regime switching approach
Presentation given
to sessional research meetings of the Institute and Faculty of Actuaries in
Leeds
|
Paper (Mark Freeman,
Iain Clacher, David Hillier, Malcolm Kemp, Niloufar Abourashchi and Qi Zhang)
|
Jun 2012
|
|
Financial
Management of the UK PPF
Opening comments at
Institute and Faculty of Actuaries Sessional Research Meeting
|
Speech (Malcolm Kemp)
|
Feb 2012
|
|
Applying EVT
and alternatives to portfolio construction and the management of risk
Presentation given
to Institute and Faculty of Actuaries Open Forum on Extreme Value Theory
[pdf]
|
Presentation (Malcolm
Kemp)
|
Jan 2012
|
|
Sponsor
covenants in risk-based capital
Life & Pensions
Risk, Dec 2011
[Oct 2011 Pre-print
version here]
[References and other
material: here]
|
Paper (Malcolm Kemp)
|
Dec 2011
|
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Risk
credentials for actuaries - ERM as a Growth Practice Area
Talk given to global
actuarial webinar organised by the Society of Actuaries [pdf]
|
Presentation (Malcolm
Kemp)
|
Dec 2011
|
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Insurance:
Just Part of the Financial Sector
Talk given to
Actuarial Society of Finland [pdf]
|
Presentation (Malcolm
Kemp)
|
Nov 2011
|
|
Actuaries
and Enterprise Risk Management
Talk given to a
Joint Actuarial Profession and Institution of Civil Engineers ERM Event
|
Speech
|
Oct 2011
|
|
Possible
unintended consequences of Basel III and Solvency II
Presentation to
Milliman Forum [pdf]
|
Presentation (Malcolm
Kemp)
|
Oct 2011
|
|
Possible
unintended consequences of Basel III and Solvency II
Presentation to the
International Actuarial Association [pdf]
|
Presentation (Malcolm
Kemp)
|
Sep 2011
|
|
ERM For
Pension Funds and their sponsors
Presentation to the
Pensions, Benefits and Social Security Colloquium 2011, Edinburgh [pdf]
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Presentation (Malcolm
Kemp)
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Sep 2011
|
|
Possible
Unintended Consequences of Basel III and Solvency II
IMF Working Paper
No. 11/187
[References and other
material: here]
|
Paper (Ahmed Al-Darwish,
Michael Hafeman, Gregorio Impavido, Malcolm Kemp, Padraic O’Malley)
|
Aug 2011
|
|
Insights
on Enterprise Risk Management
Presentation to SAAX
(South African Actuaries working in the UK) [pdf]
|
Presentation (Malcolm
Kemp)
|
July 2011
|
|
ERM – The
wider context
Presentation to
Institute and Faculty of Actuaries Event on ERM for pension funds and their
sponsors [pdf]
|
Presentation (Malcolm
Kemp)
|
Apr 2011
|
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Entity-wide
risk management for pension funds (local copy)
Presentation to
Groupe Consultatif
|
Presentation (Malcolm
Kemp and Chinu Patel)
|
Mar 2011
|
|
Entity-wide
risk management for pension funds
[local
copy, pre-print
of paper, local
copy of presentation]
Sessional research
meetings, Edinburgh and London
[Note: a Japanese
translation of this paper is available here,
References and other material are here: here]
|
Paper (Malcolm Kemp and
Chinu Patel)
|
Feb 2011
|
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Entity-wide
Risk Management for Pension Funds: Model Example
Part of presentation
given to sessional research meetings of the Institute and Faculty of
Actuaries in Edinburgh and London
|
Backing material for
Presentation (Malcolm Kemp)
|
Feb 2011
|
|
Developing
a framework for the use of discount rates in actuarial work
Sessional research
meetings, Edinburgh and London
[local
copy; references and other material: here]
|
Paper (Charles Cowling,
Ralph Frankland, Robert Hails, Malcolm Kemp, Ruth Loseby, James Orr, Andrew
Smith)
|
Jan 2011
|
|
Extreme Events -
Robust Portfolio Construction in the Presence of Fat Tails – A summary
Presentation to the
International Actuarial Profession’s Global Enterprise Risk Management
webinar, 14 January 2011 (based around material in Malcolm Kemp’s book with
the same title)
|
Presentation (Malcolm
Kemp)
|
Jan 2011
|
|
Actuaries
and Enterprise Risk Management
Talk given to VIP
dinner on behalf of UK actuarial profession
|
Speech (Malcolm Kemp)
|
Nov 2010
|
|
Solvency II
High-level Overview
Client presentation
|
Presentation (Malcolm
Kemp)
|
Oct 2010
|
|
Regulatory
frameworks – lessons learned and potential implications of the Credit Crisis
Risk and Investment
Conference, Edinburgh
[local
copy and Backing
paper (local copy); references and other material: here and
here]
|
Presentation and paper
(Malcolm Kemp, Elliot Varnell)
|
Jun 2010
|
|
Extreme Events
and Portfolio Construction
Risk and Investment
Conference, Edinburgh
[local
copy]
|
Presentation (Malcolm
Kemp)
|
Jun 2010
|
|
Meeting the
Regulatory and Business Expectations of Stress Testing and Back Testing
Infoline UCITS III
& IV Risk Management Conference, London
[backing material: UCITS
Risk Management: Stress Testing And Back Testing]
|
Presentation (Malcolm
Kemp)
|
Jun 2010
|
|
Modelling in
financial markets
Presentation to
Austrian Actuarial Association, Vienna
|
Presentation (Malcolm
Kemp)
|
Jun 2010
|
|
Regulatory
Change and the Credit/Liquidity Crisis
Lecture at Imperial
College, London
|
Presentation (Malcolm
Kemp)
|
May 2010
|
|
Funding
the Country’s Infrastructure Needs
Article in Financial
News, February 2010
|
Article (Malcolm Kemp)
|
Feb 2010
|
|
Views on
non-Normal markets
Lecture at Imperial
College, London
|
Presentation (Malcolm
Kemp)
|
Dec 2009
|
|
Stress
Testing and Back-testing for UCITS Funds
Infoline UCITS Risk
Management Conference, London
|
Presentation (Malcolm
Kemp)
|
Nov 2009
|
|
Extreme events:
Blending principal components analysis with independent components analysis
Quant Congress,
London
[pdf]
|
Presentation (Malcolm
Kemp)
|
Nov 2009
|
|
Liquidity
Risk – Its Relevance To Actuaries
Lecture at Imperial
College, London
|
Presentation (Malcolm
Kemp)
|
Jun 2009
|
|
The VaR vs Tail VaR Mindsets
[local copy]
Open Forum: Capital
adequacy – Is VaR the best approach?
|
Presentation (Malcolm
Kemp)
|
Mar 2009
|
Virtually all the
material shown above has been published externally in some manner. The majority
is also available from the Nematrian website but some of the links listed above
are to documents on other websites, some of which may be subscription based.