Chris Kenyon

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).

Book contributions by Chris Kenyon

Landmarks in XVA

Edited by Chris Kenyon and Andrew Green

Articles by Chris Kenyon

Cutting Edge

The carbon equivalence principle: methods for project finance

A method to price the environmental impact of financial products is proposed

04 Apr 2023

Cutting Edge

Data-driven wrong-way risk

A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced

13 Sep 2022

Banking

Capturing the effects of climate change on CVA and FVA

A framework to incorporate climate change risk into derivative prices is presented

28 Jul 2021

Banking

Client engineering of XVA

A client’s guide to reducing XVA in times of need

02 Dec 2020

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