2 citations · 6 across the 5 of their papers we have counts for
5 papers
XVA at the Exercise Boundary
Andrew Green, Chris Kenyon
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and se…
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…