4 papers
Client engineering of XVA in crisis and normality: Restructuring, Mandatory Breaks and Resets
Chris Kenyon
Crises challenge client XVA management when continuous collateralization is not possible because a derivative locks in the client credit level and the provider's funding level, on…
Revising SA-CCR
Mourad Berrahoui, Othmane Islah, Chris Kenyon
From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model
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…
Collateral-Enhanced Default Risk
Chris Kenyon, Andrew Green
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework…