Mourad Berrahoui

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

846

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (6)

1.

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 290 (129,624)
Citation 7

Abstract:

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

2.

Revising SA-CCR

Number of pages: 20 Posted: 25 Feb 2019 Last Revised: 10 Apr 2019
Mourad Berrahoui, Othmane Islah and Chris Kenyon
Lloyds Banking Group, Lloyds Banking Group and MUFG Securities EMEA plc
Downloads 181 (203,887)
Citation 2

Abstract:

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Regulation, Capital, SA-CCR, Counterparty Credit Risk, Hull-White, Gaussian Market Model

3.

Climate Change Valuation Adjustment (CCVA) Using Parameterized Climate Change Impacts

Number of pages: 22 Posted: 23 Feb 2021 Last Revised: 10 May 2021
Chris Kenyon and Mourad Berrahoui
MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 161 (225,303)

Abstract:

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XVA, credit, funding, CVA, FVA, climate change, CDS, extrapolation, hazard rate

4.

Counterparty Trading Limits Revisited: CSAs, IM, SwapAgent®, from PFE to PFL

Shortened version in Risk, Forthcoming
Number of pages: 14 Posted: 10 Oct 2017 Last Revised: 25 Nov 2018
Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
MUFG Securities EMEA plc, Lloyds Banking Group and Lloyds Banking Group
Downloads 102 (317,786)

Abstract:

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PFE, exposure, CVA,initial margin, IM, SwapAgent, trading limits, capital

5.

Model Independent WWR for Regulatory CVA and for Accounting CVA and FVA

Number of pages: 17 Posted: 27 Mar 2020
Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
MUFG Securities EMEA plc, Lloyds Banking Group and Lloyds Banking Group
Downloads 74 (386,455)

Abstract:

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XVA, CVA, FVA, WWR, Accounting, Regulations, Capital, Funding, Default, Model Independent, Credit

6.

Technical Appendix To: From SA-CCR to RSA-CCR: Making SA-CCR Self-Consistent and Appropriately Risk-Sensitive by Cashflow Decomposition in a 3-Factor Gaussian Market Model

Number of pages: 20 Posted: 25 Feb 2019
Mourad Berrahoui, Othmane Islah and Chris Kenyon
Lloyds Banking Group, Lloyds Banking Group and MUFG Securities EMEA plc
Downloads 38 (521,508)
Citation 1

Abstract:

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Capital, Regulation, SA-CCR, Counterparty Credit Risk, Basel III