Andrew David Green

Scotiabank

MD and XVA Lead Quant

201 Bishopsgate

London, London EC2M 3NS

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 5,420

SSRN RANKINGS

Top 5,420

in Total Papers Downloads

7,652

CITATIONS
Rank 8,274

SSRN RANKINGS

Top 8,274

in Total Papers Citations

67

Scholarly Papers (17)

1.

KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
Andrew David Green, Chris Kenyon and Chris Dennis
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 3,060 (3,457)
Citation 35

Abstract:

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Capital, Pricing, Regulation, Basel II, Basel III, Derivative Valuation, xVA, CVA, DVA, FVA, FCA, KVA

2.

MVA: Initial Margin Valuation Adjustment by Replication and Regression

Number of pages: 15 Posted: 04 May 2014 Last Revised: 13 Jan 2015
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 1,030 (20,342)
Citation 16

Abstract:

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MVA, IM, FVA, BCBS-261, margins, non-centrally cleared derivatives, VAR, Longstaff-Schwartz, GPU, CCPs, Central Clearing

3.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Ryan Ferguson and Andrew David Green
Scotiabank and Scotiabank
Downloads 537 (49,898)
Citation 1

Abstract:

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Deep Learning, Neural Networks, Monte Carlo, Basket Options, GPU, Quantitative Finance, XVA, Valuation

4.

Portfolio KVA: I Theory

Number of pages: 17 Posted: 06 Nov 2014
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 511 (53,166)
Citation 2

Abstract:

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KVA, CVA, FVA, TVA, XVA, Leverage Ratio, Regulatory Capital, Return on Capital, Basel II, Basel III, CRD IV, Regulation, Pricing, Derivative Valuation

5.

Efficient XVA Management: Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning

Number of pages: 17 Posted: 18 Dec 2014 Last Revised: 23 Dec 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 390 (73,957)
Citation 3

Abstract:

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Portfolio management, hedging, attribution, XVA, CVA, DVA, FVA, FCA, FBA, KVA, MVA, TVA, VAR, SVAR, Expected Shortfall, ES, CVAR, Regression, Longstaff-Schwartz, Stress Testing, AAD, AD

6.

CDS Pricing Under Basel III: Capital Relief and Default Protection

Risk (shortened version appeared October 2013)
Number of pages: 16 Posted: 27 Nov 2012 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 344 (85,592)
Citation 5

Abstract:

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CDS, Basel III, capital, capital relief, incomplete markets, IMM, CEM, regulations, hazard rates, CVA

7.

Which Measure for PFE? The Risk Appetite Measure A

Number of pages: 14 Posted: 17 Dec 2015
Chris Kenyon, Andrew David Green and Mourad Berrahoui
MUFG Securities EMEA plc, Scotiabank and Lloyds Banking Group
Downloads 236 (127,911)
Citation 5

Abstract:

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Risk, Pricing, PFE, VaR, ES, IMM, CVA, Measures, Risk Appetite

8.

Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences

Risk, February 2015 (shortened version)
Number of pages: 15 Posted: 12 Jul 2014 Last Revised: 16 Jan 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 213 (141,310)
Citation 6

Abstract:

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CVA, DVA, FVA, KVA, Partial Hedging, Tax, Replication, CDS, Default, Counterparty Credit Risk, TVA

9.

Will Central Counterparties Become the New Rating Agencies?

Risk (shortened version appeared September 2013)
Number of pages: 6 Posted: 27 Nov 2012 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 186 (160,240)

Abstract:

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central counterparty, CCP, collateral, rating agency, financial crisis, privileged prices, over-reliance, business model, oligopoly, systemic risk, regulation, Basel III

10.

XVA at the Exercise Boundary

Number of pages: 13 Posted: 27 Jul 2016 Last Revised: 08 Aug 2016
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 178 (166,693)
Citation 2

Abstract:

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XVA, CVA, FVA, MVA, KVA, Options, Exercise, Boundary, Secured Trades, Regression

11.

VAR and ES/CVAR Dependence on Data Cleaning and Data Models: Analysis and Resolution

Number of pages: 22 Posted: 31 May 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 169 (174,549)
Citation 1

Abstract:

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VaR, Expected Shortfall, ES, Conditional VaR, CVAR, Stress, sVaR, sES, data cleaning, Data Model, standardization, Basel III, SIMM

12.

Dirac Processes and Default Risk

Number of pages: 33 Posted: 11 Apr 2015 Last Revised: 17 Apr 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 161 (181,848)

Abstract:

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Dirac processes, Dirac delta function, derivative pricing, default risk, CDS, implied volatility, CDS swaptions, option pricing

13.

Regulatory-Compliant Derivatives Pricing Is Not Risk-Neutral

Risk (Sept 2014)
Number of pages: 12 Posted: 03 Nov 2013 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 160 (182,862)
Citation 1

Abstract:

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Risk-neutral pricing, Regulators, regulations, FVA, CVA, capital, incomplete markets

14.

Option-Based Pricing of Wrong Way Risk for CVA

Number of pages: 14 Posted: 27 Jul 2016 Last Revised: 04 Oct 2016
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 135 (210,191)
Citation 2

Abstract:

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Wrong Way Risk, WWR, Credit Valuation Adjustment, CVA, Model-Free, Hedging, Options

15.

Collateral-Enhanced Default Risk

Number of pages: 12 Posted: 31 Jan 2013
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 129 (217,939)

Abstract:

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centeral counterparties, derivatives clearing, CVA, collateral, default, margining, risk transmission

16.

Self-Financing Trading and the Ito-Doeblin Lemma

Number of pages: 3 Posted: 13 Jan 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 121 (228,760)

Abstract:

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self-financing trading strategy; stochastic calculus; finance; hedging

17.

Regulatory-Optimal Funding

Risk (shortened version appeared April 2014)
Number of pages: 20 Posted: 03 Nov 2013 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 92 (276,341)
Citation 1

Abstract:

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FVA, funding, Treasury, optimization, measures, regulations, out-of-sample

Other Papers (1)

Total Downloads: 28
1.

Exit Prices as Quantum States

Risk (shortened version appeared September 2014)
Number of pages: 3 Posted: 22 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 28

Abstract:

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Exit price, risk-neutral, CVA, FVA, KVA, leverage ratio, initial margin, price realization