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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.PR2020
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…