Mourad Berrahoui

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

  • Lloyds Banking Group

SCHOLARLY PAPERS

11

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12

Scholarly Papers (11)

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1.

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 801 (62,604)
Citation 1

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

2.

The Carbon Equivalence Principle: Methods and Applications

Number of pages: 23 Posted: 16 Feb 2022 Last Revised: 31 Dec 2022
Chris Kenyon, Andrea Macrina and Mourad Berrahoui
MUFG Securities EMEA plc, University College London and Lloyds Banking Group
Downloads 466 (123,745)

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Sustainability, carbon pricing, disclosure, climate change, financial products, stranded assets, recovery, Green, ESG, carbon net-zero, financial net-zero

3.

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 416 (141,510)
Citation 7

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

4.

The carbon equivalence principle: minimizing the cost to carbon net zero

Number of pages: 25 Posted: 14 Dec 2021 Last Revised: 17 Jul 2023
Chris Kenyon, Mourad Berrahoui and Andrea Macrina
MUFG Securities EMEA plc, Lloyds Banking Group and University College London
Downloads 406 (145,489)
Citation 1

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Sustainability, carbon pricing, disclosure, climate change, financial products, Green, ESG

5.

CO2eVA: Pricing the transition of carbon externalities

Number of pages: 20 Posted: 24 Jun 2022 Last Revised: 15 May 2023
Chris Kenyon, Andrea Macrina and Mourad Berrahoui
MUFG Securities EMEA plc, University College London and Lloyds Banking Group
Downloads 383 (155,339)

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CO2, Valuation Adjustment, GHG, Greenhouse Gasses, Derivative Pricing, Carbon Pricing, Financial Products, Carbon Equivalence Principle, Airlines, Shipping, Portfolio

6.

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

Number of pages: 23 Posted: 27 Mar 2020 Last Revised: 09 Oct 2021
Chris Kenyon, Mourad Berrahoui and Benjamin Poncet
MUFG Securities EMEA plc, Lloyds Banking Group and Lloyds Banking Group
Downloads 316 (191,274)

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

7.

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 266 (228,845)
Citation 2

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

8.

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 171 (346,603)

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

9.

Rationale and Design of a Scope 3 Capital Charge

Number of pages: 22 Posted: 12 Jul 2023
Davide Trevisiani, Jose German Lopez, Chris Kenyon, Carlos Vazquez Cendon and Mourad Berrahoui
University of A Coruña, University of A Coruña, MUFG Securities EMEA plc, University of A Coruña and Lloyds Banking Group
Downloads 156 (374,657)

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Climate, CO2, Regulation, Capital, Pricing, Basel III, Derivative Valuation, CO2eVA, XVA

10.

Generation of Climate Shock Scenarios Using An Agent Based Model

Number of pages: 61 Posted: 01 Aug 2023 Last Revised: 04 Aug 2023
Mourad Berrahoui and Craig Mounfield
Lloyds Banking Group and Simulnova Software Ltd.
Downloads 119 (463,750)

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11.

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 104 (512,289)
Citation 1

Abstract:

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