Dr Chris Kenyon is a Director in the CVA / FVA Quantitative Research group at Lloyds Banking Group. Previously he was head quant for Counterparty Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc. He has published in Risk magazine (papers covering inflation, multi-curve pricing, and DVA), Quantitative Finance, Operations Research, IEEE Computer, and presented at numerous industry and academic conferences including Bachelier Finance Society and C.R.E.D.I.T. He holds several patents, is a contributor to the open-source software Quantlib, and is co-author of Discounting, Libor, CVA, and Funding: Interest Rate and Credit Pricing (Palgrave, 2012).
A method to price the environmental impact of financial products is proposed
A framework to incorporate climate change risk into derivative prices is presented