XVA quant Kenyon leaves Lloyds for MUFG

Chris Kenyon has left Lloyds Banking Group to join the Mitsubishi UFJ Financial Group as head of valuation adjustments (XVA) quantitative modelling, according to a spokesperson for MUFG. He will be part of the bank’s front-office solutions team, which develops tools and models to support the trading, sales and risk departments.

Kenyon spent more than five years at Lloyds, most recently as head of XVA quant research. Prior to that, he held two similar roles: in counterparty credit risk at Credit Suisse and in structured credit valuation at Depfa Bank, then a subsidiary of German bank Hypo Real Estate.

Kenyon has contributed considerably to research into XVA pricing and accounting in recent years. Notable papers include MVA by replication and regression, which introduced a framework for pricing margin valuation adjustment (MVA), and papers on accounting of capital valuation adjustment and MVA.

He also co-edited Landmarks in XVA: from counterparty risk to funding costs and capital, a book drawing on all the major papers that have led the evolution in XVA pricing.

Kenyon’s move comes after two similar departures of XVA quants from Lloyds.

Andrew Green, formerly the head of quantitative research at Lloyds and co-author of many of Kenyon’s published works, left the bank in May 2016. He was hired by Scotiabank to develop a new XVA pricing model.

And in July that year, Julian Keenan, then head of the credit valuation adjustment and funding valuation adjustment management team at Lloyds, left the bank to join JP Morgan as the head of its Asia credit portfolio trading team in Singapore.