XVA Singapore

A two-day workshop will provide attendees with an overview of the current challenges facing the industry in the world of XVA.

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XVA Workshop

19-20 June 2019
Singapore
 

Register Now

This two-day workshop will provide attendees with an overview of the current challenges facing the industry in the world of XVA. Our exert speakers will address topics like credit valuation adjustment (CVA), margin valuation adjustment (MVA), funding valuation adjustment (FVA), capital valuation adjustment (KVA), the Fundamental Review of the Trading Book (FRTB), and where XVAs are headed next. 

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David Sasson

Director, xVA risk, Counterparty Credit Risk, Regulatory Capital

ANZ

I have over 15 years of banking experience in both front office Trading and Risk management. I have worked on a wide range of asset classes – IR, FX, Options, xVA, etc. – and in different geography - Madrid, HK, NY and Singapore. In my current position at ANZ, I oversee xVA risk, Counterparty Credit risk and Regulatory capital for Markets. I have a double degree in Industrial engineering from the Madrid Polytechnic University and the Polytechnic Institute of Grenoble, and a master in Finance.

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Alexandre Bon

Head of Marketing, APAC/ Senior SME (xVA & IBOR transition)

MUREX

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Training
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Networking
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Group Discussion
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What will you learn?
  • The different XVA methodologies, uses, and how to calculate them
  • The new CVA capital rules under FRTB
  • The basic definitions and background of counterparty credit risk, variation margin and initial margin 
  • MVA structure of an MVA calculation and forecasting sensitivities for IM
  • Technology options and data management for XVAs
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Who Should Attend:

Relevant departments may include but are not limited to:

  • XVA Desk
  • Quantitative Research
  • Market Risk Management
  • Counterparty Risk Management
  • Quantitative Modelling