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Chris Kenyon

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

  • Lloyds Banking Group

SCHOLARLY PAPERS

27

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CITATIONS
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10

Scholarly Papers (27)

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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 R Dennis
Scotiabank, Lloyds Banking Group and Lloyds Banking Group
Downloads 1,388 (3,209)
Citation 2

Abstract:

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
Lloyds Banking Group
Downloads 998 (14,269)
Citation 1

Abstract:

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.

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
Lloyds Banking Group
Downloads 685 (23,892)

Abstract:

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

4.

Inflation is Normal

Risk, July 2008
Number of pages: 15 Posted: 23 Apr 2008 Last Revised: 13 Aug 2014
Chris Kenyon
Lloyds Banking Group
Downloads 572 (34,345)
Citation 3

Abstract:

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

5.

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 Lloyds Banking Group
Downloads 520 (19,505)

Abstract:

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

6.

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

Number of pages: 21 Posted: 26 Aug 2008
Chris Kenyon
Lloyds Banking Group
Downloads 390 (58,821)

Abstract:

exotic options, option pricing, without simulation, volatility smiles

7.

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, Lloyds Banking Group and Quaternion Risk Management
Downloads 378 (53,307)

Abstract:

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

8.

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

Number of pages: 19 Posted: 17 Sep 2010
Chris Kenyon
Lloyds Banking Group
Downloads 263 (91,947)
Citation 3

Abstract:

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

9.

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
Lloyds Banking Group and Scotiabank
Downloads 262 (80,971)

Abstract:

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

10.

Portfolio KVA: I Theory

Number of pages: 17 Posted: 06 Nov 2014
Andrew David Green and Chris Kenyon
Scotiabank and Lloyds Banking Group
Downloads 220 (53,143)

Abstract:

KVA, CVA, FVA, TVA, XVA, Leverage Ratio, Regulatory Capital, Return on Capital, Basel II, Basel III, CRD IV, Regulation, Pricing, Derivative Valuation

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
Lloyds Banking Group and Scotiabank
Downloads 160 (77,094)

Abstract:

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.

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
Lloyds Banking Group and Scotiabank
Downloads 147 (145,600)

Abstract:

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

13.

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
Lloyds Banking Group and Universität Augsburg
Downloads 119 (188,509)

Abstract:

recovery rates, CDS, stochastic models, CDO

14.

DVA for Assets

Risk, February 2013
Number of pages: 16 Posted: 23 Jan 2013
Chris Kenyon and Richard David Kenyon
Lloyds Banking Group and Birmingham City University
Downloads 112 (182,846)

Abstract:

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

15.

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
Lloyds Banking Group and Scotiabank
Downloads 106 (173,449)

Abstract:

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

16.

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 David Kenyon and Chris Kenyon
Birmingham City University and Lloyds Banking Group
Downloads 101 (47,470)

Abstract:

KVA, Accounting, Basel III, IFRS 13

17.

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
Lloyds Banking Group and Scotiabank
Downloads 101 (136,414)

Abstract:

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

18.

Collateral-Enhanced Default Risk

Number of pages: 12 Posted: 31 Jan 2013
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 91 (202,031)

Abstract:

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

19.

Dirac Processes and Default Risk

Number of pages: 33 Posted: 11 Apr 2015 Last Revised: 17 Apr 2015
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 84 (174,420)

Abstract:

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

20.

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
Lloyds Banking Group and IBM - IBM Zurich Research Laboratory
Downloads 84 (247,981)

Abstract:

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

21.

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
Lloyds Banking Group and Scotiabank
Downloads 80 (170,560)
Citation 1

Abstract:

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

22.

Self-Financing Trading and the Ito-Doeblin Lemma

Number of pages: 3 Posted: 13 Jan 2015
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 54 (223,224)

Abstract:

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

23.

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
Lloyds Banking Group and Scotiabank
Downloads 53 (267,327)

Abstract:

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

24.

Accounting for Derivatives with Initial Margin Under IFRS 13

Number of pages: 13 Posted: 23 Nov 2016
Richard David Kenyon and Chris Kenyon
Birmingham City University and Lloyds Banking Group
Downloads 0 (129,883)

Abstract:

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

25.

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 Lloyds Banking Group
Downloads 0 (185,091)

Abstract:

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

26.

Option-Based Pricing of Wrong Way Risk for CVA

Number of pages: 14 Posted: 27 Jul 2016 Last Revised: 04 Oct 2016
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Downloads 0 (214,307)

Abstract:

Wrong Way Risk, WWR, Credit Valuation Adjustment, CVA, Model-Free, Hedging, Options

27.

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
Lloyds Banking Group, Scotiabank and Lloyds Banking Group
Downloads 0 (147,180)

Abstract:

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

Other Papers (1)

Total Downloads: 23    Citations: 0
Actions:
Email selected abstracts
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
Lloyds Banking Group and Scotiabank
Downloads 8

Abstract:

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

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