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Publication / Presentation Library

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Published material authored or co-authored by Nematrian employees 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.

 

Books

Type of document (and authors)

Published

Systemic Risk: A Practitioner’s Guide to Measurement, Management and Analysis

Palgrave Macmillan

Book (Malcolm Kemp)

2017

Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails

John Wiley & Sons

Book (Malcolm Kemp)

2011

Market Consistency: Model Calibration in Imperfect Markets

John Wiley and Sons

Book (Malcolm Kemp)

2009

 

Other material and where published or presented

Type of document (and authors)

Published

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)

Jul 2017

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

How the financial system helps society innovate and develop. Le Magazine Des Professions Financières & De L’Économie [pre-print pdf]

 

Article (Malcolm Kemp)

Dec 2016

Tail fitting probability distributions for risk management purposes

Presentation to Institute and Faculty of Actuaries Pension, Risk and Investment Conference, Edinburgh [pdf]

Presentation (Malcolm Kemp)

Jun 2016

Systemic Risk Relevance of Pension Funds, Insurers and Asset Managers

Occasional Nematrian research presentation [pdf]

Presentation (Malcolm Kemp)

May 2016

Own Risk and Solvency Assessment (ORSA). Chapter 10 of IAA Risk Book. IAA

Book Chapter (Maryellen Coggins, Nick Dexter, Malcolm Kemp and John Oost)

Mar 2016

Financial Market Conduct Risk and Financial Stability

Presentation to RiskMinds Risk and Regulation Forum, Brussels [pdf]

Presentation (Malcolm Kemp)

Jun 2015

ERM Developments and Opportunities for Actuaries

Presentation to ACA Sessional Meeting [pdf]

Presentation (Malcolm Kemp)

Dec 2014

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

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)

Apr 2014

Enterprise Risk Management

Presentation to Queens University Actuarial Seminar [pdf]

Presentation (Malcolm Kemp)

Feb 2014

Discounting

Presentation to Hungarian Actuarial Society Fall School, Visegrad [pdf]

Presentation (Malcolm Kemp)

Nov 2013

Possible Unintended Consequences of Basel III and Solvency II
Presentation to Hungarian Actuarial Society Fall School, Visegrad [pdf]

Presentation (Malcolm Kemp)

Nov 2013

Possible Unintended Consequences of Basel III and Solvency II
Presentation to RiskMinds Risk and Regulation Forum, Nice [pdf]

Presentation (Malcolm Kemp)

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)

Jan 2013

Market Consistency – an educational note

Actuarial Association of Europe

[local copy]

Paper (Philipp Keller, Malcolm Kemp, Christoph Krischanitz)

Dec 2012

Fat Tails and Extreme Events

Presentation to City Book Fair [pdf]

Presentation (Malcolm Kemp)

Nov 2012

Article about ten top actuaries, including Malcolm Kemp

Insurance ERM

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

Response to consultation paper

Jul 2012

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

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

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]

Presentation (Malcolm Kemp)

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

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

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

Risk-free rates of return [local copy]

Current issues in pensions seminar

Presentation (Malcolm Kemp, Andrew Smith)

Nov 2008

Coping with Extreme Events

Risk and Investment Conference, Manchester

[local copy]

Presentation (Malcolm Kemp)

June 2008

Market Consistent Discounting

Interim report of the Market Consistent Valuation Working Party to the Finance, Investment and Enterprise Risk Management Conference

[local copy]

Paper (Seamus Creedon, Iain Forrester, Parit Jakhria, Malcolm Kemp, Antoon Pelsser, Andrew Smith, Colin Wilson)

Jun 2008

Liability Driven Benchmarks for UK Defined Benefit Pension Schemes

Finance & Investment Conference, 2005

[local copy]

 

Paper (A.J. Chambers, A.E. Barnes, M. Barnes, L.J.Beukes, D.E. Dyer, P. Fulcher, M.H.D.Kemp, A.M. Lawrence, C.D. Tatham, N.M. Winter)

Jun 2005

Risk Management in a Fair Valuation World

Institute of Actuaries Sessional Meeting), British Actuarial Journal, 11(4), 595-725 [local copy]

Paper (Malcolm Kemp)

Apr 2005

Applications of Derivatives in Life Insurance

Faculty and Institute of Actuaries Investment Conference, 2000 [local copy]

Paper (Colin Wilson Gareth Derbyshire, Dan Jelicic, Malcolm Kemp, Matthew Williams)

Jun 2000

Investment Manager Style Analysis

Faculty and Institute of Actuaries Investment Conference, 2000 [local copy]

Paper (Malcolm Kemp, Mark Richardson, Colin Wilson)

Jun 2000

Demystifying Active Quant

Faculty and Institute of Actuaries Investment Conference, 2000 [local copy]

Paper (Dan Jelicic, Mike Brooks, Steve Holt, Simon Jagger, Malcolm Kemp, Paul Lavin, Colin Wilson)

Jan 2000

Portfolio Risk Measurement and Reporting: An Overview for Pension Funds. Institute of Actuaries [local copy]

Paper (Malcolm Kemp, Martin Cumberworth, Daniel Gardner, Julie Griffiths, Christopher Sandford)

 Jan 2000

The Role and Responsibilities of Actuaries in the Defined Contribution Environment in the United Kingdom

(Institute of Actuaries Sessional Meeting), British Actuarial Journal, 5(4), 763-800

Paper (M.A. Stocker, S.D. Dudley, G.E. Finlay, H.J.Fisher, O.C. Harvey Wood, M.H.D. Kemp, W. Lumb, M.W. Miles, S.L.Wasserman)

Apr 1999

Pricing Derivatives under the Wilkie Model

British Actuarial Journal, 5(3), 621-653

Paper (Malcolm Kemp)

2000

Actuaries and Derivatives

(Institute of Actuaries Sessional Meeting), British Actuarial Journal, 3(1), 51-180

Paper (Malcolm Kemp)

Oct 1996

Asset/liability modelling for pension funds [local copy]

Staple Inn Actuarial Society

Paper (Malcolm Kemp)

Oct 1996

Life Office Investment Strategy [local copy]

Staple Inn Actuarial Society

Paper (Malcolm Kemp)

May 1992

 

 

Types of material included in the above table

 

Material listed above can involve a Book, Book Chapter, Paper, Speech, Presentation, Article, Note or Consultation Paper Response.

 

Virtually all of the material shown above has been published externally in some manner. The majority of the above material 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.

 

Excluded from the above listing is client-specific material and general lecture material, e.g. lecture material on enterprise risk management or giving a high-level overview of Solvency II.

 


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