2 papers
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…
q-fin.RM2017
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…