19 citations · 39 across the 15 of their papers we have counts for
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q-fin.RM2015
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…
q-fin.RM2014
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…
q-fin.RM2013
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…