19 citations · 39 across the 15 of their papers we have counts for
10 papers · 1 filter
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…
Dirac Processes and Default Risk
Chris Kenyon, Andrew Green
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffu…
Self-Financing Trading and the Ito-Doeblin Lemma
Chris Kenyon, Andrew Green
The objective of the note is to remind readers on how self-financing works in Quantitative Finance. The authors have observed continuing uncertainty on this issue which may be beca…
Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences
Chris Kenyon, Andrew Green
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be…
KVA: Capital Valuation Adjustment
Andrew Green, Chris Kenyon
Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks…