/

Publication / Presentation Library

[this page | pdf | back links]

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.

 

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

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

Presentation (Malcolm Kemp)

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

Presentation (Malcolm Kemp)

Jun 2022

Group testing equipment designs for Covid-19 (or other epidemiological) testing. Nematrian

Nematrian Concept paper

Jun 2022

Actuarial thoughts on the macroprudential concept of

“growth-at-risk”. European Congress of Actuaries

Presentation (Malcolm Kemp)

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

Initial panel discussion remarks (Malcolm Kemp)

May 2022

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

Presentation (Malcolm Kemp)

Mar 2022

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

Paper (Thorsten Beck, Stephen Cecchetti, Magdalena Grothe, Malcolm Kemp, Loriana Pelizzon, Antonio Sánchez Serrano)

Jan 2022

Financial stability implications of IFRS 17 Insurance Contracts. European Systemic Risk Board

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)

Dec 2021

Macroprudential Regulation and Systemic Risk. Presentation to Actuarial Association of Europe Webinar

Presentation (Malcolm Kemp)

Oct 2021

Insurability and Pandemic (or More Generally, Shared Resilience) Risk. AAE Position Paper, Actuarial Association of Europe

Paper (Malcolm Kemp, Esko Kivisaari, Jan Martinek, Tony O’Riordan, Matthias Pillaudin, Lauri Saraste, Lutz Wilhelmy

Jun 2021

Actuaries and Operational Risk Management. Presentation to CERA Global Risk Conference 2021

Presentation (Malcolm Kemp)

Jun 2021

Actuaries and Operational Risk Management. Presentation to AAE European Actuarial Days 2021

Presentation (Malcolm Kemp)

Jun 2021

Actuaries and Operational Risk Management. Actuarial Association of Europe, Discussion Paper

Paper (Malcolm Kemp, Christoph Krischanitz, Daphné De Leval, Eddy Van den Borre

Jan 2021

Risk Margin Update. Actuarial Association of Europe, Webinar. [pre-print paper pdf]

Presentation (Malcolm Kemp)

Dec 2020

The Potential Impact of Multi-Year Dependencies on the Design of the Solvency II Risk Margin. Nematrian

Presentation (Malcolm Kemp)

Nov 2020

 

Managing Crisis and Creating Value-Add from the ORSA Process: Profiting from the ORSA Process. AFIR-ERM, Risk Book Webinar

Presentation (Malcolm Kemp)

Oct 2020

The Mathematics of Risk Measurement. Nematrian

Note (Malcolm Kemp)

Mar 2020

A review of the design of the Solvency II Risk Margin. Actuarial Association of Europe, Commentary Paper

Paper (published by AAE Solvency II Working Group members, chaired by Malcolm Kemp)

Dec 2019

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

Presentation (Malcolm Kemp)

Nov 2019

The European Safe Asset Debate. Nematrian

Paper (Malcolm Kemp)

Sep 2019

Regulatory complexity and the quest for robust regulation. SUERF Policy Note, Issue No 86

Paper (Prasanna Gai, Malcolm Kemp, Antonio Sánchez Serrano, Isabel Schnabel)

Jul 2019

Regulatory complexity and the quest for robust regulation. Report of the Advisory Scientific Committee of the European Systemic Risk Board, No 8

Paper (Prasanna Gai, Malcolm Kemp, Antonio Sánchez Serrano, Isabel Schnabel)

Jun 2019

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)

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)

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

 

Types of material listed above

 

Material listed above can involve a Book, Book Chapter, Paper, Speech, Presentation, Article, Note or Consultation Paper Response. Please note that some of the above papers may include ideas included in patent applications or for which other forms of intellectual property protection have been sought.

 

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.

 

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.

 


Desktop view | Switch to Mobile