Chris Kenyon

MUFG Securities EMEA plc

25 Ropemaker St

London, EC2Y 9AJ

United Kingdom

University College London

Department of Mathematics

Gower Street

London, WC1E 6BT

United Kingdom

  • MUFG Securities EMEA plc

  • University College London

SCHOLARLY PAPERS

41

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85

Scholarly Papers (41)

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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 4,025 (5,222)
Citation 52

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

2.

Short-Rate Pricing After the Liquidity and Credit Shocks: Including the Basis

Risk, November 2010
Number of pages: 15 Posted: 24 Feb 2010 Last Revised: 13 Aug 2014
Chris Kenyon
MUFG Securities EMEA plc
Downloads 1,348 (29,238)
Citation 14

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Credit Crisis, Liquidity Crisis, Forward Curve, Discount Curve, Basis Swaps, Bootstrapping, Swaps, Swaptions, Counterparty Risk, CVA, Multi-Curve Term Structure Modeling, Closed Form Formulas

3.

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 1,306 (30,690)
Citation 14

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

4.

Pricing Covered Bonds

In Proceedings: C.R.E.D.I.T. 2009.
Number of pages: 20 Posted: 16 May 2009 Last Revised: 13 Aug 2014
Chris Kenyon
MUFG Securities EMEA plc
Downloads 1,018 (43,853)
Citation 1

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covered bonds, pricing, CDO, factor model, copula, issuer risk

5.

Inflation is Normal

Risk, July 2008
Number of pages: 15 Posted: 23 Apr 2008 Last Revised: 13 Aug 2014
Chris Kenyon
MUFG Securities EMEA plc
Downloads 840 (57,240)
Citation 10

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Inflation, option pricing, normal, volatility smile modeling, inflation derivatives

6.

Accounting for KVA under IFRS 13

Risk, March 2016 (shortened version)
Number of pages: 15 Posted: 20 Jun 2015 Last Revised: 29 Feb 2016
Richard Kenyon and Chris Kenyon
Aston University and MUFG Securities EMEA plc
Downloads 831 (58,064)
Citation 3

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KVA, Accounting, Basel III, IFRS 13

7.

Accounting for Derivatives with Initial Margin Under IFRS 13

Number of pages: 13 Posted: 23 Nov 2016
Richard Kenyon and Chris Kenyon
Aston University and MUFG Securities EMEA plc
Downloads 812 (59,873)
Citation 1

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MVA, Bilateral Initial Margin, BCBS-317, IFRS, Fair Value, Accounting, Non-Centrally Cleared Derivatives

8.

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 790 (62,191)
Citation 1

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

9.

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 674 (76,307)
Citation 2

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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

10.

Valuation of a Cashflow CDO Without Monte Carlo Simulation

Number of pages: 25 Posted: 16 Sep 2009
Donal A. Gallagher, James P. Gleeson, Chris Kenyon and Roland Lichters
Quaternion Risk Management, University of Limerick, Ireland, MUFG Securities EMEA plc and Quaternion Risk Management
Downloads 612 (86,115)

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cashflow CDO, CLO, tranche, pricing, derivatives, credit, Monte Carlo, simulation

11.

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 570 (94,299)
Citation 2

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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

12.

Pricing Strongly Path-Dependent Options in Libor Market Models without Simulation

Number of pages: 21 Posted: 26 Aug 2008
Chris Kenyon
MUFG Securities EMEA plc
Downloads 483 (115,539)
Citation 2

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exotic options, option pricing, without simulation, volatility smiles

13.

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 457 (123,383)

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

14.

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 421 (135,806)
Citation 4

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

15.

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 411 (139,689)
Citation 7

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

16.

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 399 (144,517)
Citation 1

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

17.

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 364 (160,110)

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

18.

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 339 (172,897)
Citation 4

Abstract:

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

19.

Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

Number of pages: 19 Posted: 17 Sep 2010
Chris Kenyon
MUFG Securities EMEA plc
Downloads 321 (183,285)
Citation 10

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CVA, Bilateral CVA, Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Interest Rate Swaps, Interest Rate Derivatives, Credit Valuation Adjustment, Bilateral Risk, Credit Spread Volatility, Wrong Way Risk, Goodwill, Equity

20.

XVA at the Exercise Boundary

Number of pages: 13 Posted: 27 Jul 2016 Last Revised: 16 Jul 2023
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 317 (185,644)
Citation 2

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

21.

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 303 (194,858)

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

22.

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 264 (224,443)
Citation 2

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

23.

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 244 (242,564)

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

24.

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 235 (251,691)
Citation 2

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

25.

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 230 (256,919)
Citation 2

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

26.

A Short Note on Market-Consistent Calibration of Static Recovery Rates

In proceedings: International Conference on Operations Research, 2011.
Number of pages: 9 Posted: 12 Feb 2010 Last Revised: 13 Aug 2014
Chris Kenyon and Ralf Werner
MUFG Securities EMEA plc and Universität Augsburg
Downloads 222 (265,625)
Citation 1

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recovery rates, CDS, stochastic models, CDO

27.

Assessing reinforcement delta hedging

Number of pages: 26 Posted: 10 Sep 2021
Hirbod Assa, Chris Kenyon and Haodong Zhang
University of Essex - Department of Mathematics, MUFG Securities EMEA plc and affiliation not provided to SSRN
Downloads 204 (287,395)

Abstract:

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28.

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 202 (290,046)
Citation 3

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

29.

Behavioural Effects on XVA

Number of pages: 13 Posted: 10 Mar 2018
Chris Kenyon and Hayato Iida
MUFG Securities EMEA plc and MUFG Securities EMEA plc
Downloads 195 (299,435)
Citation 2

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XVA, CVA, MVA, FVA, KVA, Default, Hedging, Replication

30.

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 193 (302,252)
Citation 1

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

31.

DVA for Assets

Risk, February 2013
Number of pages: 16 Posted: 23 Jan 2013
Chris Kenyon and Richard Kenyon
MUFG Securities EMEA plc and Aston University
Downloads 178 (325,078)

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CVA, DVA, FVA, corporate finance, hedging, Goodwill, assets, derivatives, accounting, tax

32.

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 (336,792)

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

33.

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 165 (347,344)
Citation 3

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

34.

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 148 (380,237)

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

35.

SWOT Portfolio Construction and Validation Using Massive Language Models

Number of pages: 15 Posted: 16 Apr 2024
Arturs Meskovskis and Chris Kenyon
affiliation not provided to SSRN and MUFG Securities EMEA plc
Downloads 136 (411,250)

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SWOT, LLM, MLM, Sharpe, portfolio, validation, large language models, returns, machine learning

36.

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 129 (423,512)
Citation 1

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

37.

Client Engineering of XVA in Crisis and Normality: Restructuring, Mandatory Breaks and Resets

Number of pages: 14 Posted: 10 Sep 2020 Last Revised: 28 Sep 2020
Chris Kenyon
MUFG Securities EMEA plc
Downloads 123 (439,260)

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XVA, credit, funding, crisis, mandatory break, reset, restructuring, hedging, client valuation, Covid-19

38.

Provably Linkable Trading

Quantitative Finance, online 2009, in print 2010
Number of pages: 20 Posted: 26 Oct 2009 Last Revised: 13 Aug 2014
Chris Kenyon and Jan Camenisch
MUFG Securities EMEA plc and IBM Corporation - IBM Zurich Research Laboratory
Downloads 112 (471,267)

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reputation, anonymity removal, verifiable random functions, cryptographic signatures, trading, upstairs markets, downstairs markets, exchanges

39.

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 102 (503,962)
Citation 1

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

40.

Validation of Massive Language Model reasoning in SWOT portfolio construction

Number of pages: 8 Posted: 19 Aug 2024
Fin Campbell-Brady, Valerie June Loka, Chris Kenyon and Amir Esfahani
University of Surrey, affiliation not provided to SSRN, MUFG Securities EMEA plc and University of Surrey
Downloads 51 (734,673)

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LLM, MLM, SWOT, MLM validation, financial analysis

41.

Rhetorical engineering for SWOT-based portfolio construction: identity, emotion, intention

Number of pages: 21 Posted: 17 Jun 2024
Chris Kenyon, Arturs Meskovskis and Tom Cannon
MUFG Securities EMEA plc, affiliation not provided to SSRN and Independent
Downloads 39 (816,847)

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Large language models, LLM, portfolio construction, SWOT, Rhetoric, ethos, pathos, logos, prompt engineering, rhetorical engineering, Massive language models, MLM

Other Papers (1)

Total Downloads: 51
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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 51

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