19 citations · 32 across the 21 of their papers we have counts for
6 papers · 1 filter
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…
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
Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL
Chris Kenyon, Mourad Berrahoui, Benjamin Poncet
The utility of Potential Future Exposure (PFE) for counterparty trading limits is being challenged by new market developments, notably widespread regulatory Initial Margin (using 9…
Which measure for PFE? The Risk Appetite Measure, A
Chris Kenyon, Andrew Green, Mourad Berrahoui
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has bee…
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…
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…