Book contributions by Chris Kenyon
Landmarks in XVA
Edited by Chris Kenyon and Andrew Green
Articles by Chris Kenyon
The carbon equivalence principle: minimising the cost to carbon net zero
A method to align incentives with sustainability in financial markets is introduced
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
The carbon equivalence principle: methods for project finance
A method to price the environmental impact of financial products is proposed
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Capturing the effects of climate change on CVA and FVA
A framework to incorporate climate change risk into derivative prices is presented
Client engineering of XVA
A client’s guide to reducing XVA in times of need