Chris Kenyon

Global Head of Quant Innovation at MUFG

Chris Kenyon is global head of quant innovation at MUFG, and also global head of XVA quant modelling at MUFG. Previously Chris was head of XVA quant research at Lloyds Banking Group, worked at Credit Suisse and Depfa Bank plc where 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, as well as PFL as the replacement for PFE. More recently he introduced a climate change valuation adjustment (CCVA). Chris has a PhD from Cambridge University, published 17 papers in the Cutting Edge section of Risk magazine (twice joint top-cited author), holds 10 US patents, and was an author of the open source software QuantLib.