19 citations · 29 across the 7 of their papers we have counts for
7 papers
Dirac Processes and Default Risk
Chris Kenyon, Andrew Green
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffu…
Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
Chris Kenyon, Andrew Green
Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so managem…
Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences
Chris Kenyon, Andrew Green
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be…
VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
Chris Kenyon, Andrew Green
Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. Howe…
KVA: Capital Valuation Adjustment
Andrew Green, Chris Kenyon
Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks…
MVA: Initial Margin Valuation Adjustment by Replication and Regression
Andrew Green, Chris Kenyon
Initial margin requirements are becoming an increasingly common feature of derivative markets. However, while the valuation of derivatives under collateralisation (Piterbarg 2010,…