Chris Kenyon
MUFG Securities EMEA plc and University College London, UK
Dr. Chris Kenyon is global head of quant innovation at MUFG, and global head of XVA quant modelling for MUFG. Chris is also honorary associate professor of mathematics at University College London, where he teaches on mathematical climate finance. Previously, Chris was head of XVA quant research at Lloyds Banking Group, worked at Credit Suisse, and at Depfa Bank plc he was the post-crisis head of structured credit valuation, after working on inflation-rates hybrids introducing new smile models. Chris formalized KVA and MVA with Andrew Green.
More recently he introduced a climate change valuation adjustment (CCVA), the carbon equivalence principle (CEP), and a CO2-equivalent Scope 3 valuation adjustment (CO2eVA). Chris has degrees from University of Texas - Austin, and Cambridge University. He is an author of the open source software QuantLib, holds 10 US patents, and published 21 papers in the peer-reviewed Cutting Edge section of Risk magazine.
