XVA Singapore

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


XVA Workshop

19-20 June 2019


FTS Eligible | CPD Eligible

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

David Sasson

Head of Counterparty Credit Risk, xVA risk, CCR capital


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.

Alexandre Bon

Head of Marketing & Strategy, APAC – Global co-lead LIBOR reform


Julian Keenan

Head of Credit Portfolio Trading & CIB Treasury APAC Lead


Julian Keenan has over 20 years’ experience across derivative trading, risk management, portfolio management and treasury. He has set up XVA function at numerous banks. He moved to Asia in 2016 to join JP Morgan where he is currently the head of Credit Portfolio Trading and CIB Treasury lead for Asia.

Cedric De Carpentier

XVA Trader


Cedric de Carpentier has over 10 years experience in XVA trading/structuring. He was relocated to Asia in 2010 and currently XVA trader for the Asia portfolio at J.P. Morgan.

James Sehgal

Principal Consultant

Invicta PTE LTD

Invicta PTE LTD Principal Consultant and Kynec, Director

Varun James Sehgal has a diverse experience over 22 years across 3 continents (North America, Europe and Asia Pacific) in front office Markets Trading / Portfolio Management of XVA (CVA/DVA, FVA, WWR, Differential Discounting, Capital Optimisation etc), Funding, Collateral Optimisation, and Front Office Market Risk Oversight and more recently Clearing and Margin reforms.  He has been a practitioner of XVA since 2005 and formerly was Asia Pacific Head of XVA at a global bank based in Singapore.

As an ex-practitioner of XVA he has hands on experience in structuring of Derivatives, Regulations (Basel III, CRDIV, Capital Optimisation, and Funding / Differential Discounting), Risk Policy, Control and Governance. He has advised on projects associated to XVA, BCBS-IOSCO / SIMM regulation Margin Requirement for Non-Centrally Cleared Derivatives, FRTB (i.e. CVA-Capital) and IFRS9.
He co-authored a handbook section on Counterparty risk and XVA/ Capital for PRMIA (Professional Risk Managers’ International Association). He has chaired and presented at various industry conferences on CVA/XVA/Capital within Asia Pacific (Bloomberg, RiskMinds, Risk, Marcus Evans etc) and London, UK.
At present he is Principal Consultant of Financial Markets at Invicta PTE LTD, which is based in Singapore He is also Director of Kynec Ltd. which is focused on both CCP Direct Clearing of OTC Derivatives, Client Clearing and Margin Consolidation, which is based in London, U.K.


FTS - Eligible

This programme is recognised under the Financial Training Scheme (FTS) and is eligible for FTS claims subject to all eligibility criteria being met.

Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants’ business activities or job roles.

The FTS is available to eligible entities based on the prevalent funding eligibility, quantum and caps. FTS claims may only be made for recognised programmes with specified validity period.

Please refer to www.ibf.org.sg for more information.

Group Discussion
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
Who Should Attend:

Relevant departments may include but are not limited to:

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