XVA has been of great interest—and of equally great concern—to OTC derivatives market participants in recent years due to increasing awareness of the heavy costs, capital requirements, as well as the implementation and management challenges involved. Additionally, practices in trading, risk management, accounting and regulation of OTC derivatives continue to evolve in response to what seems like an ever-changing environment.

On Wednesday, April 17th Numerix will host an interactive XVA Forum being held at the PARKROYAL on Pickering in Singapore. Andrew McClelland, PhD, Director of Quantitative Research at Numerix will provide an overview of XVA and the related challenges the industry is focused on today. Dr. McClelland’s presentation will include an examination of:

  • XVA Greeks
  • The role of Algorithmic Differentiation
  • The costs of collateral transformation / liquidity transformation
  • The modeling of basis spreads
  • The cost of capital utilization (KVA)

Dr. McClelland will also discuss Initial Margin requirements, ISDA SIMM & clearing house rules, and how the associated costs are reflected in pricing (Margin Valuation Adjustment - MVA).

The presentation will be followed with open floor Q&A.



5:00 PM - 5:30 PM             Registration


5:30 PM - 6:30 PM             Evolution in XVA Methodologies and
    Market Practices
Speaker: Andrew McClelland

6:30 PM - 7:00 PM             Audience Q&A
     Moderator: James Sehgal

7:00 PM - 9:00 PM             Networking / Cocktails


Don't Wait, Space is Limited - Secure Your Spot Today!
Attendance is complimentary, but registration is required.



Jockle_NEXT365.pngAndrew McClelland, PhD, Director of Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

James Sehgal.pngJames Sehgal, Principal Consultant and Corporate Director, Invicta LTD
As Principal Consultant and Corporate Director at Invicta LTD and Managing Director of DerivAsia, James works with clients around the globe to address their risk capital and derivatives pricing challenges, focusing predominantly on XVA pricing, accounting and hedging of its components (CVA/DVA, FVA, KVA, MVA), as well as Derivative Regulations (Basel III, CRDIV, Initial Margining, FRTB, IFRS9) relating to the markets and treasury businesses. James has worked with clients advising them how to transform capital intensive business lines into learner business models through the use of risk mitigation initiatives and RWA optimisation.

James’ last position was Managing Director and Asia Pacific Head of XVA desk for Royal Bank of Scotland in Singapore. Prior to that he was in London working on the CVA desk with ABN Amro.

Overall James has around 20 years of banking experience primarily in market and credit risk across London, New York and Singapore. James has also co-authored handbook section on Counterparty risk and XVA/ Capital for PRMIA (Professional Risk Managers’ International Association). James is a regular speaker at regional and international risk conferences presenting mainly on technical topics of risk and capital relating to XVA, RWA optimisation and risk methodologies.

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