2 citations · 4 across the 4 of their papers we have counts for
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q-fin.PR2014★ 2 cited
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…
q-fin.PR2014★ 2 cited
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…