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Chris Kenyon

Head of XVA Quantitative Research at Lloyds Banking Group


Dr Chris Kenyon is active in the XVA area, including coining the terms KVA and MVA, with Andrew Green, in Risk papers 2014-2015. He is a Director in the CVA / FVA Quantitative Research group at Lloyds Banking Group. Previously he was head quant for Counterparty Credit Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc. He has twelve papers in the Cutting Edge technical section of Risk magazine, co-wrote “Discounting, LIBOR, CVA and Funding” (Palgrave 2012) and co-edited “Landmarks in XVA” (Risk 2016). He has a Ph.D. from Cambridge and is an author of the open-source software Quantlib.

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