Discounting, LIBOR, CVA and Funding—Interest Rate and Credit Pricing

DR. CHRIS KENYON (London, UK) is a Director at Lloyds Banking Group in the front office Quantitative Research – CVA / FVA group. Previously he was head quant for counterparty risk at Credit Suisse, and at DEPFA Bank PLC he was Head of Structured Credit Valuation (post crisis), working on pricing model development and validation and market risk. He has also held positions at IBM Research and Schlumberger, where he applied real options pricing to everything from offshore rig lease extension options to variable volume outsourcing contracts. Chris holds a PhD in Applied Mathematics from Cambridge University where he was a Research Fellow (Computer Modeling), and an MSc in Operations Research from the University of Austin, Texas. He is a regular writer and conference speaker, his papers have appeared in Quantitative Finance, Risk Magazine, Operations Research, IEEE Computer, amongst others, and presented at academic conferences and industry meetings including those organized by Bachelier Finance Society, WBS, Marcus Evans, Risk Magazine, and many more.

ROLAND STAMM is Head of Risk Methods and Valuation at HRE Group (formerly DEPFA Bank PLC), where he is responsible for (among other things) the development of new pricing models, model set up, validation and calibration, CVA adjustments, and market risk methodology. He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development, and Project Manager, all at DEPFA Bank. He holds a PhD in Mathematics (Algebraic Topology) from the Westfalische Wilhelms-Universitat, Munster, Germany, where he was awarded a magna cum laude for his thesis "The K- and L- Theory of Certain Discrete Groups," and he received a master's degree in Mathematics from the Johannes-Gutenberg-Universitat, Mainz.