6 research outputs found
Climate change valuation adjustment using parameterised climate change impacts
Get PDFChris Kenyon and Mourad Berrahoui introduce the climate change valuation adjustment to capture the climate change effects on CVA and FVA that are currently invisible in typical market practice
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
No full textRevising SA-CCR
No full textIn this article, Mourad Berrahoui, Othmane Islah and Chris Kenyon propose a comparison for SA-CCR, termed Revisited SA-CCR, which reconstructs SA-CCR in a self-consistent and appropriately risk-sensitive way by cashflow decomposition in a three-factor Gaussian market model identified from SA-CCR itself. This framework can guide banks in resolving ambiguities in their SA-CCR interpretation
