19 citations · 39 across the 15 of their papers we have counts for
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q-fin.PR2013
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…
q-fin.PR2013
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…
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…