Chris Kenyon

MUFG Securities EMEA plc

25 Ropemaker St

London, EC2Y 9AJ

United Kingdom

  • MUFG Securities EMEA plc

SCHOLARLY PAPERS

31

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Scholarly Papers (31)

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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 3,054 (3,442)

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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 1,208 (15,932)

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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 1,030 (20,220)

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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 858 (26,453)

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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 677 (36,650)

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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 608 (42,231)

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KVA, Accounting, Basel III, IFRS 13

7.

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 509 (53,121)

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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

8.

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 479 (57,375)

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

9.

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 419 (67,479)

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exotic options, option pricing, without simulation, volatility smiles

10.

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 390 (73,544)

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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

11.

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 343 (85,396)

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

12.

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 310 (95,553)

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

13.

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 285 (104,585)

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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

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 236 (127,197)

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

15.

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 213 (140,534)

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

16.

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 185 (160,127)

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

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 178 (165,796)

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

18.

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 169 (173,612)

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

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
MUFG Securities EMEA plc and Scotiabank
Downloads 160 (181,881)

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

20.

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 160 (181,881)

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

21.

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 139 (204,239)

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

22.

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
MUFG Securities EMEA plc and Scotiabank
Downloads 135 (209,104)

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

23.

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 133 (211,618)

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recovery rates, CDS, stochastic models, CDO

24.

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 129 (216,813)

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

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 121 (227,580)

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

26.

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 94 (271,193)

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

27.

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 92 (274,964)

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

28.

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 92 (274,964)

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

29.

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 89 (280,819)

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

30.

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 76 (308,898)

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

31.

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 14 (546,665)

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

Other Papers (1)

Total Downloads: 28    Citations: 0
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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 28

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