Andrew David Green

Scotiabank

MD and XVA Lead Quant

201 Bishopsgate

London, London EC2M 3NS

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 5,707

SSRN RANKINGS

Top 5,707

in Total Papers Downloads

6,269

CITATIONS
Rank 45,334

SSRN RANKINGS

Top 45,334

in Total Papers Citations

3

Scholarly Papers (16)

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 R Dennis
Scotiabank, Lloyds Banking Group and Lloyds Banking Group
Downloads 1,388 (3,209)
Citation 2

Abstract:

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 Lloyds Banking Group
Downloads 520 (19,505)

Abstract:

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

3.

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
Lloyds Banking Group and Scotiabank
Downloads 262 (80,971)

Abstract:

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

4.

Portfolio KVA: I Theory

Number of pages: 17 Posted: 06 Nov 2014
Andrew David Green and Chris Kenyon
Scotiabank and Lloyds Banking Group
Downloads 220 (53,143)

Abstract:

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
Lloyds Banking Group and Scotiabank
Downloads 160 (77,094)

Abstract:

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.

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
Lloyds Banking Group and Scotiabank
Downloads 147 (145,600)

Abstract:

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

7.

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
Lloyds Banking Group and Scotiabank
Downloads 106 (173,449)

Abstract:

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

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
Lloyds Banking Group and Scotiabank
Downloads 101 (136,414)

Abstract:

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

9.

Collateral-Enhanced Default Risk

Number of pages: 12 Posted: 31 Jan 2013
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 91 (202,031)

Abstract:

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

10.

Dirac Processes and Default Risk

Number of pages: 33 Posted: 11 Apr 2015 Last Revised: 17 Apr 2015
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 84 (174,420)

Abstract:

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

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
Lloyds Banking Group and Scotiabank
Downloads 80 (170,560)
Citation 1

Abstract:

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

12.

Self-Financing Trading and the Ito-Doeblin Lemma

Number of pages: 3 Posted: 13 Jan 2015
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 54 (223,224)

Abstract:

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

13.

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
Lloyds Banking Group and Scotiabank
Downloads 53 (267,327)

Abstract:

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

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
Lloyds Banking Group and Scotiabank
Downloads 0 (214,307)

Abstract:

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

15.

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 Lloyds Banking Group
Downloads 0 (185,091)

Abstract:

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

16.

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
Lloyds Banking Group, Scotiabank and Lloyds Banking Group
Downloads 0 (147,180)

Abstract:

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

Other Papers (1)

Total Downloads: 23    Citations: 0
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
Lloyds Banking Group and Scotiabank
Downloads 8

Abstract:

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