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

37

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23

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84

Scholarly Papers (37)

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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 3,559 (4,397)
Citation 49

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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 1,278 (22,536)
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 1,171 (25,650)
Citation 12

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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 922 (36,102)
Citation 1

Abstract:

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

5.

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 745 (48,243)
Citation 3

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KVA, Accounting, Basel III, IFRS 13

6.

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 733 (49,284)
Citation 10

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

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 573 (67,719)
Citation 1

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

8.

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 567 (68,605)
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

9.

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 530 (74,654)

Abstract:

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

10.

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 505 (79,234)

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

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 472 (85,912)
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 440 (93,297)
Citation 1

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exotic options, option pricing, without simulation, volatility smiles

13.

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 370 (113,851)
Citation 4

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

14.

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 329 (129,913)
Citation 7

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

15.

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 291 (147,213)
Citation 9

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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

16.

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 246 (174,107)

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

17.

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 MUFG Securities EMEA plc
Downloads 209 (203,206)
Citation 2

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

18.

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 200 (211,592)
Citation 2

Abstract:

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

19.

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 199 (212,551)
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

20.

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 193 (218,439)
Citation 1

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

21.

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 192 (219,450)

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

22.

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 176 (236,562)
Citation 3

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

23.

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 147 (274,578)
Citation 2

Abstract:

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

24.

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 146 (276,037)

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

25.

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 145 (277,565)

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

26.

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 141 (283,656)
Citation 1

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

27.

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 139 (286,907)

Abstract:

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recovery rates, CDS, stochastic models, CDO

28.

The Carbon Equivalence Principle: Methods and Applications

Number of pages: 16 Posted: 16 Feb 2022 Last Revised: 18 Apr 2022
Chris Kenyon, Andrea Macrina and Mourad Berrahoui
MUFG Securities EMEA plc, University College London and Lloyds Banking Group
Downloads 132 (298,410)

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

29.

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 115 (329,889)

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

30.

The Carbon Equivalence Principle

Number of pages: 14 Posted: 14 Dec 2021 Last Revised: 18 Apr 2022
Chris Kenyon, Mourad Berrahoui and Andrea Macrina
MUFG Securities EMEA plc, Lloyds Banking Group and University College London
Downloads 108 (344,502)

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

31.

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 108 (344,502)

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

32.

Assessing reinforcement delta hedging

Number of pages: 26 Posted: 10 Sep 2021
Hirbod Assa, Chris Kenyon and Haodong Zhang
Kent Business School, MUFG Securities EMEA plc and affiliation not provided to SSRN
Downloads 104 (353,375)

Abstract:

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33.

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 101 (360,221)
Citation 1

Abstract:

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

34.

CO2eVA: Pricing the transition of carbon externalities

Number of pages: 16 Posted: 24 Jun 2022 Last Revised: 28 Jul 2022
Chris Kenyon, Andrea Macrina and Mourad Berrahoui
MUFG Securities EMEA plc, University College London and Lloyds Banking Group
Downloads 96 (372,093)

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

35.

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 91 (384,774)

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

36.

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 90 (387,404)

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

37.

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 54 (507,319)
Citation 1

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

Other Papers (1)

Total Downloads: 30
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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 30

Abstract:

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