activity
20102022
most citedMVA: Initial Margin Valuation Adjustment by Replication and Regression

19 citations · 32 across the 21 of their papers we have counts for

collaborators

25 papers

q-fin.RM2022★ 1 cited

Transparency principle for carbon emissions drives sustainable finance

Chris Kenyon, Mourad Berrahoui, Andrea Macrina

Alignment of financial market incentives and carbon emissions disincentives is key to limiting global warming. Regulators and standards bodies have made a start by requiring some c…

q-fin.GN2021

Sustainability Manifesto for Financial Products: Carbon Equivalence Principle

Chris Kenyon, Mourad Berrahoui, Andrea Macrina

Sustainability is a key point for financial markets and the label "Green" is an attempt to address this. Acquisition of the label "Green" for financial products carries potential b…

q-fin.PR2021

Climate Change Valuation Adjustment (CCVA) using parameterized climate change impacts

Chris Kenyon, Mourad Berrahoui

We introduce Climate Change Valuation Adjustment (CCVA) to capture climate change impacts on CVA+FVA that are currently invisible assuming typical market practice. To discuss such…

q-fin.PR2020

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…

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.RM2019

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