1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.RM2022★ 1 cited
Transparency principle for carbon emissions drives sustainable finance
Chris Kenyon, Mourad Berrahoui, Andrea Macrina
Alignment of financial market incentives and carbon emissions disincentives is key to limiting global warming. Regulators and standards bodies have made a start by requiring some c…
q-fin.PR2021
Climate Change Valuation Adjustment (CCVA) using parameterized climate change impacts
Chris Kenyon, Mourad Berrahoui
We introduce Climate Change Valuation Adjustment (CCVA) to capture climate change impacts on CVA+FVA that are currently invisible assuming typical market practice. To discuss such…
q-fin.RM2019
Revising SA-CCR
Mourad Berrahoui, Othmane Islah, Chris Kenyon
From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model