1 citations · 1 across the 5 of their papers we have counts for
7 papers
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…
Sustainability Manifesto for Financial Products: Carbon Equivalence Principle
Chris Kenyon, Mourad Berrahoui, Andrea Macrina
Sustainability is a key point for financial markets and the label "Green" is an attempt to address this. Acquisition of the label "Green" for financial products carries potential b…
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…
Model independent WWR for regulatory CVA and for accounting CVA and FVA
Chris Kenyon, Mourad Berrahoui, Benjamin Poncet
General wrong way risk (WWR) estimation is necessary for regulatory CVA capital and useful for pricing CVA and FVA. We introduce a model independent method for calculating WWR and…
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
Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL
Chris Kenyon, Mourad Berrahoui, Benjamin Poncet
The utility of Potential Future Exposure (PFE) for counterparty trading limits is being challenged by new market developments, notably widespread regulatory Initial Margin (using 9…
Which measure for PFE? The Risk Appetite Measure, A
Chris Kenyon, Andrew Green, Mourad Berrahoui
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has bee…