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