Programme

Programme

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David Sasson

Head of Counterparty Credit Risk, xVA risk, CCR 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 & Strategy, APAC – Global co-lead LIBOR reform

Murex

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Julian Keenan

Head of Credit Portfolio Trading & CIB Treasury APAC Lead

J.P. MORGAN

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

J.P. MORGAN

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.

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James Sehgal

Principal Consultant

Invicta PTE LTD

Varun James Sehgal has a diverse experience over 20 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.  He has been a practitioner of XVA since 2005 and has worked across North America, London, UK, and Asia Pacific.   
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 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 at Invicta PTE LTD, based in Singapore, which is focused on Management Consulting and Training in the Financial Services, Banking, FinTech, and Supply Chain / Shipping Industries.
 

Programme

Day 1
Wednesday 19 June 2019, Singapore 

0900

Registration

0930

XVA adoption: State of play and challenges - an Asian perspective

  • A short history of XVA
  • Varying adoption models : business and technology challenges
  • Adoption of CVA & FVA by APAC institutions
  • What’s next?
    • The new FRTB-CVA charge
    • Impacts of the IBOR reforms on XVAs

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

1030

Morning coffee break

1100

MVA

  • How margining (VM/IM) impacts the various XVAs
  • Zoom on uncleared IM requirements and MVA
  • To what extent MVA and KVA will really be adopted/ implemented
  • Bringing it all together

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

1230

Lunch 

1330

CVA

  • CVA – Current best practice
  • Loss given default
  • Wrong-way risk (WWR)
  • CVA calculations
    • CDA rates in CVA calculations
  • How banks manage CVA?

Cedric De Carpentier, CVA/ EVA Trader, J.P. MORGAN 

1430

Afternoon coffee break

1500

FRTB- CVA

  • New FRTB-CVA explained
    • Capital comparison across regulatory models
    • Capital charge under the FRTB’s standardised approach
  • Basic approach (BA-CVA)
  • Standardised approach (SA-CVA)

David Sasson, Head of Counterparty Credit Risk, ANZ

1630

End of Day 1

Day 2
Thursday 20 June 2019, Singapore 

0830

Registration

0900

KVA

  • Regulatory Capital Models
    • Basel risk framework
      • CCR capital models
      • SA-CCR model
  • CVA Capital under now Fundamental Review of Trading Book (FRTB)
  • Pricing the Capital Value Adjustment (KVA)
  • KVA relationship to CVA
  • Leverage Ratio

James Sehgal, Principal Consultant, INVICTA PTE LTD

1030

Morning coffee break

1100

FVA

  • FVA – explanation, methodologies
  • Funding strategies and costs
    • Funding Benefit Adjustment (FBA)
    • Funding Cost Adjustment (FCA)

Julian Keenan, Head of Credit Portfolio Trading & CIB Treasury APAC Lead, J.P. MORGAN

1230

Lunch 

1330

Case Study: Putting XVA into practice

  • Demonstrated example of pricing XVA for Simple IRS / Cross Currency Swap on stand-alone and portfolio basis
  • Factors mitigating pricing of XVA (e.g. CSAs, Resets etc.)

James Sehgal, Principal Consultant, INVICTA PTE LTD

1500

Afternoon coffee break

1530

The Future of XVA

  • A second look at pricing derivatives and XVAs
  • Market infrastructure and systemic aspects of XVAs
  • XVA – the challenges to come

James Sehgal, Principal Consultant, INVICTA PTE LTD

1630

End of training course