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Counterparty credit risk - DVA for assets
Kenyon, Chris; Kenyon, Richard - In: Risk : managing risk in the world's financial markets 26 (2013) 2, pp. 68-73
Persistent link: https://www.econbiz.de/10010084688
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Opinion - A clear alternative - The role played by rating agencies in the crisis is well documented, but the new regulatory framework gives similar powers and privileges to clearin...
Kenyon, Chris; Green, Andrew - In: Risk : managing risk in the world's financial markets 26 (2013) 9, pp. 33-33
Persistent link: https://www.econbiz.de/10010183153
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CUTTING EDGE - Inflation derivatives - Inflation is normal - The author introduces normal-based smile models for year-on-year inflation motivated by the observation that market log...
Kenyon, Chris - In: Risk : managing risk in the world's financial markets 21 (2008) 7, pp. 76-83
Persistent link: https://www.econbiz.de/10008081601
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Interest rate derivatives Post-shock short-rate pricing The basis between swaps referencing funded fixings and swaps referencing overnight collateralised fixings has increased in i...
Kenyon, Chris - In: Risk : managing risk in the world's financial markets 23 (2010) 11, pp. 79-84
Persistent link: https://www.econbiz.de/10009794288