Chris Kenyon

Global Head of Quant Innovation at MUFG Securities

Speaker

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 quantitative sustainable 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 valuation adjustment (CO2eVA). Chris has degrees from University of Texas – Austin, and Cambridge University; he published 18 papers in the Cutting Edge section of Risk magazine, was an author of the open source software QuantLib, and holds 10 US patents.