2nd Edition Derivative Funding and Valuation 2018 | Marcus Evans | 27 June 2018 | Singapore

Regulatory activity means that the valuation, pricing, and funding of derivatves grows ever more complex. This year has seen the much talked about margin reform finally coming into effect, meaning that derivatives businesses across Asia will finally start to get some visibility on the practical implications for their trading activity. as debate continues over the pricing/charging of more contentious XVAs such as MVA and KVA, the industry is looking for real world guidance on what these mean for the business on a day to day basis. The situation is complicated further by challenges unique to the Asia region, such as the lack of liquid CDS market for hedging.

Attending this GFMI conference will give delegates the guidance they need to tackle the practical implications of XVA in their derivatives trading business. They will come together with their peers to compare approaches to hotly debated XVAs such as MVA and KVA, leaving with an understanding of what the industry norms for charging/pricing these are and the best methodologies for making the complex calculations involved. Firms will also learn how to tackle some of the early practical challenges emerging from margin reform, such as the valuation of non cash collateral, and use of the SIMM model. There will also be detailed, hands on case studies explaining the role of the XVA desk in Asia including detailed guidance on set up, plus the opportunity to discuss what the function of the desk should be in the Asian environment and how this should work in practice.

2018 Speakers:

Kate Birchall
Head of Portfolio Optimisation, Clearing and Collateral, NAB

Jack Chung
APAC Head of XVA Trading, Group Asset and Liability Management, UBS

Perumal Ramanathan
Managing Director, Market Risk, DBS

Frankie Phua
Managing Director, Head of Group Risk, UOB

Duco Egressy
Director, Market Risk Management and Product Control, ING N.V. Singapore

Aseem Agrawal
APAC Head, Counterparty Portfolio Optimisation, Citi

Gavin Foh
Head of CVA Trading, ANZ

Niklas Palm
Head of Pricing and Capital, Nordea