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

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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, APAC/ Senior SME (xVA & IBOR transition)


Feng Chang

Managing Director & Head of Asia Pacific XVA Trading


Feng Chang is a Managing Director and head of Asia Pacific Cross Valuation Adjustment (XVA) Trading at Bank of America. She is based in Hong Kong.

In this role, she leads the team that is responsible for all aspects of pricing and dynamically hedging counterparty credit risk and the bank’s funding risk. She also advises on capital allocation efficiency for the OTC derivatives business in the region. In addition to her responsibility for generating P&L and managing risk, she is at the forefront of bank’s evolution in the derivative business and the Regulatory changes the industry has been confronted with.

Feng has propelled large-scale, multifunctional strategic initiatives to advance analytical capabilities to integrate xVA across asset classes, improve the efficiency of xVA analysis, optimize internal resources to enhance competitive advantages, and improve return per dollar of resource used.

Feng has more than 15 years’ experience in the rates, foreign exchange and credit derivatives trading business. More recently, she has focused on risk reduction and capital and collateral optimization for OTC derivatives across global markets businesses. Feng is also very active in participating and leading inter-bank xVA Working Committee, CCP committee, contributing ideas and raising issues related to counterparty credit and funding risk.She has worked in both London and Hong Kong.

Feng holds a Ph.D. in Mathematical Finance from Imperial College, London.

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.

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