Andrew David Green

Scotiabank

MD and XVA Lead Quant

201 Bishopsgate

London, London EC2M 3NS

United Kingdom

SCHOLARLY PAPERS

17

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Top 5,607

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9,042

SSRN CITATIONS
Rank 15,136

SSRN RANKINGS

Top 15,136

in Total Papers Citations

21

CROSSREF CITATIONS

52

Scholarly Papers (17)

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1.

KVA: Capital Valuation Adjustment

Risk, December 2014
Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014
Andrew David Green, Chris Kenyon and Chris Dennis
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
Downloads 3,263 (3,985)
Citation 44

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Capital, Pricing, Regulation, Basel II, Basel III, Derivative Valuation, xVA, CVA, DVA, FVA, FCA, KVA

2.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Ryan Ferguson and Andrew David Green
Riskfuel and Scotiabank
Downloads 1,416 (15,756)
Citation 3

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Deep Learning, Neural Networks, Monte Carlo, Basket Options, GPU, Quantitative Finance, XVA, Valuation

3.

MVA: Initial Margin Valuation Adjustment by Replication and Regression

Number of pages: 15 Posted: 04 May 2014 Last Revised: 13 Jan 2015
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 1,109 (22,749)
Citation 11

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MVA, IM, FVA, BCBS-261, margins, non-centrally cleared derivatives, VAR, Longstaff-Schwartz, GPU, CCPs, Central Clearing

4.

Portfolio KVA: I Theory

Number of pages: 17 Posted: 06 Nov 2014
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 537 (61,144)
Citation 2

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KVA, CVA, FVA, TVA, XVA, Leverage Ratio, Regulatory Capital, Return on Capital, Basel II, Basel III, CRD IV, Regulation, Pricing, Derivative Valuation

5.

Efficient XVA Management: Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning

Number of pages: 17 Posted: 18 Dec 2014 Last Revised: 23 Dec 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 426 (81,219)
Citation 2

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Portfolio management, hedging, attribution, XVA, CVA, DVA, FVA, FCA, FBA, KVA, MVA, TVA, VAR, SVAR, Expected Shortfall, ES, CVAR, Regression, Longstaff-Schwartz, Stress Testing, AAD, AD

6.

CDS Pricing Under Basel III: Capital Relief and Default Protection

Risk (shortened version appeared October 2013)
Number of pages: 16 Posted: 27 Nov 2012 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 358 (99,277)
Citation 4

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CDS, Basel III, capital, capital relief, incomplete markets, IMM, CEM, regulations, hazard rates, CVA

7.

Which Measure for PFE? The Risk Appetite Measure A

Number of pages: 14 Posted: 17 Dec 2015
Chris Kenyon, Andrew David Green and Mourad Berrahoui
MUFG Securities EMEA plc, Scotiabank and Lloyds Banking Group
Downloads 283 (128,158)
Citation 7

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Risk, Pricing, PFE, VaR, ES, IMM, CVA, Measures, Risk Appetite

8.

Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences

Risk, February 2015 (shortened version)
Number of pages: 15 Posted: 12 Jul 2014 Last Revised: 16 Jan 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 229 (158,387)

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CVA, DVA, FVA, KVA, Partial Hedging, Tax, Replication, CDS, Default, Counterparty Credit Risk, TVA

9.

Will Central Counterparties Become the New Rating Agencies?

Risk (shortened version appeared September 2013)
Number of pages: 6 Posted: 27 Nov 2012 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 192 (186,779)
Citation 2

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central counterparty, CCP, collateral, rating agency, financial crisis, privileged prices, over-reliance, business model, oligopoly, systemic risk, regulation, Basel III

10.

XVA at the Exercise Boundary

Number of pages: 13 Posted: 27 Jul 2016 Last Revised: 08 Aug 2016
Andrew David Green and Chris Kenyon
Scotiabank and MUFG Securities EMEA plc
Downloads 186 (192,237)
Citation 2

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XVA, CVA, FVA, MVA, KVA, Options, Exercise, Boundary, Secured Trades, Regression

11.

VAR and ES/CVAR Dependence on Data Cleaning and Data Models: Analysis and Resolution

Number of pages: 22 Posted: 31 May 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 185 (193,180)
Citation 1

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VaR, Expected Shortfall, ES, Conditional VaR, CVAR, Stress, sVaR, sES, data cleaning, Data Model, standardization, Basel III, SIMM

12.

Dirac Processes and Default Risk

Number of pages: 33 Posted: 11 Apr 2015 Last Revised: 17 Apr 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 181 (196,902)

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Dirac processes, Dirac delta function, derivative pricing, default risk, CDS, implied volatility, CDS swaptions, option pricing

13.

Regulatory-Compliant Derivatives Pricing Is Not Risk-Neutral

Risk (Sept 2014)
Number of pages: 12 Posted: 03 Nov 2013 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 169 (208,996)
Citation 3

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Risk-neutral pricing, Regulators, regulations, FVA, CVA, capital, incomplete markets

14.

Option-Based Pricing of Wrong Way Risk for CVA

Number of pages: 14 Posted: 27 Jul 2016 Last Revised: 04 Oct 2016
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 147 (234,670)
Citation 2

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Wrong Way Risk, WWR, Credit Valuation Adjustment, CVA, Model-Free, Hedging, Options

15.

Collateral-Enhanced Default Risk

Number of pages: 12 Posted: 31 Jan 2013
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 134 (252,813)
Citation 1

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centeral counterparties, derivatives clearing, CVA, collateral, default, margining, risk transmission

16.

Self-Financing Trading and the Ito-Doeblin Lemma

Number of pages: 3 Posted: 13 Jan 2015
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 130 (258,609)

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self-financing trading strategy; stochastic calculus; finance; hedging

17.

Regulatory-Optimal Funding

Risk (shortened version appeared April 2014)
Number of pages: 20 Posted: 03 Nov 2013 Last Revised: 13 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 97 (317,791)
Citation 1

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FVA, funding, Treasury, optimization, measures, regulations, out-of-sample

Other Papers (1)

Total Downloads: 29
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1.

Exit Prices as Quantum States

Risk (shortened version appeared September 2014)
Number of pages: 3 Posted: 22 Aug 2014
Chris Kenyon and Andrew David Green
MUFG Securities EMEA plc and Scotiabank
Downloads 29

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Exit price, risk-neutral, CVA, FVA, KVA, leverage ratio, initial margin, price realization