19 citations · 32 across the 21 of their papers we have counts for
16 papers · 1 filter
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…
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…
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…
Behavioural effects on XVA
Chris Kenyon, Hayato Iida
Bank behaviour is important for pricing XVA because it links different counterparties and thus breaks the usual XVA pricing assumption of counterparty independence. Consider a typi…
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…
Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon, Andrew Green
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free wor…