Dr Chris Kenyon leads AI transformation for the front office at MUFG Securities EMEA plc, and is global head of XVA quant research for MUFG. Chris is also honorary associate professor of mathematics at University College London. 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 formalised 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). As well as climate work, Chris introduced Rhetorical Engineering to structure and generalise prompt engineering for LLM communication.
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.