19 citations · 32 across the 21 of their papers we have counts for
4 papers · 1 filter
Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral
Chris Kenyon, Andrew Green
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Capital requirements are costly because derivatives desks are risky businesses; funding is costl…
Regulatory-Optimal Funding
Chris Kenyon, Andrew Green
Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always ri…
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…
DVA for Assets
Chris Kenyon, Richard David Kenyon
The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset wh…