Benjamin Poncet

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

180

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

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 104 (317,417)

Abstract:

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

2.

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 76 (385,295)

Abstract:

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