marcusevans pan asia conferences

3rd Derivative Funding and Valuation

Discover industry practices for derivative valuation and compare the best practices for XVA methodologies with other banks

18-20 Sep 2019
Singapore, Singapore

Why You Should Attend

3rd Derivative Funding and Valuation

XVA developments in the APAC region is still a fairly new ground for many regional banks and with the up-and-coming benchmark rate reform as well as the introduction of initial margin, there are a lot of challenges that the banks have to be ready to tackle. The final phases of the uncleared margin rules will be coming into effect by September 2019 – 2020 and numerous banks in the APAC region would have to be compliant to the initial margin requirements. Potential areas that banks are looking to explore include the approaches to calculate initial margin, the margin valuation adjustment and how it will interact with existing XVAs. The other top priority for banks right now would be anticipating the interest rate benchmark reform and how transitioning to risk-free rates would impact the derivative contracts. There is a global movement that is shifting away from IBOR and banks will be looking to update their systems and valuations. As KVA, FVA and CVA begin to mature in the APAC market, banks will be also focusing on optimising the valuation adjustments, comparing methodologies in addition to updating themselves with the latest market changes including FRTB-CVA and the SA-CCR. There are multiple issues to tackle in the derivative space and banks will be preparing themselves to be ready for the market and regulatory changes.

Attending this premier GFMI conference will help delegates gain insights on the global shift towards the risk-free rates and the potential issues to address. Practical, real world examples of the various methodologies used in the computation of MVA and initial margin will be discussed as well as how banks can handle the challenges that come with. See how banks compare approaches to various XVAs such as MVA and KVA, leaving with an understanding of what the industry norms for pricing these are and the best methodologies for making the complex calculations involved. Detailed case studies will present on the role of the XVA desk in Asia so that delegates leave the event with a clear road map for the next steps in managing the derivative trading and funding of the bank.


Key Topics

  • DBS discuss the challenges of transitioning to the new risk-free rates and its impact on valuation
  • NAB offer an in-depth analysis on how to manage the contingent liquidity funding valuation adjustment in particular for collateral downgrades
  • ANZ look at the development of FRTB-CVA and how banks can transition from BA-CVA to the new risk framework
  • BNP Paribas talk about the challenges of pricing margin valuation adjustment in the Asian market

  • Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Sponsors
    Master Class Sponsor
    Murex Southeast Asia Pte Ltd
    Visit website >>

    Event Partners

    Practical Insights From

    Perumal Ramanathan
    Managing Director, Market Risk and Liquidity Risk
    DBS, Singapore

    David Sasson
    Director, xVA risk, Counterparty Credit Risk, Regulatory Capital
    ANZ, Singapore

    Trudy van der Straaten
    Director, XVA Desk, Markets
    National Australia Bank, Australia

    Yash Misra
    Head: Traded Credit Counterparty Risk Management, Margining and Credit Trading Market Risk
    DBS, Singapore

    David Maher
    Associate Director, Oversight of Interest Rate Derivatives, Fixed Income and Repo
    National Australia Bank, Australia

    Chris Kenyon
    Director: Head of XVA Quant Modelling
    MUFG Securities EMEA plc, UK

    Valery Thiriaux
    Head of Trading Risk, xVA, APAC
    BNP Paribas, Hong Kong

    Albert Chung
    Head, Market Risk Analytics, Asia
    Standard Chartered, Singapore

    Click Here For Full Agenda

    Voice of Our Customers
    • Comprehensive and well structured programme with an open and engaging style of presentation. Investec
    • Useful, actual, practical. OJSC Bank URALSIB
    • High level expertise, very well organised, very worth the time attending. OCBC
    • The conference was very professionally managed, good follow up from the coordinators. ANZ
    • Wonderful warm atmosphere, excellent networking opportunities; informative, motivational and awakening! Inspirational diverse range of subjects and speakers, very good program! I’ve fully enjoyed the experience Since I’ve arrive at the conference the new ideas keep coming and coming. HVB
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Miss Bernardine Michael - Regional Director (Digital,Media & PR) APAC & MEA

    marcus evans Kuala Lumpur , Suite A-20-1, Level 20
    Hampshire Place Office, 157 Hampshire, 1, Jalan Mayang Sari
    50250 Kuala Lumpur

    +603 2603 2597
    Fax: +603 2603 2597