19 citations · 32 across the 21 of their papers we have counts for
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q-fin.GN2012
Will Central Counterparties become the New Rating Agencies?
Chris Kenyon, Andrew Green
Central Counterparties (CCPs) are widely promoted as a requirement for safe banking with little dissent except on technical grounds (such as proliferation of CCPs). Whilst CCPs can…
q-fin.PR2012
CDS pricing under Basel III: capital relief and default protection
Chris Kenyon, Andrew Green
Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CD…