Chris Kenyon

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

SCHOLARLY PAPERS

27

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CITATIONS
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Top 25,522

in Total Papers Citations

10

Scholarly Papers (27)

1.

KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
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
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 Universit├Ąt 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
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
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