Deriv Asia holds a series of one day corporate technical workshops where we will focus on taking a deep dive into a particular topic such as OTC regulations, Collateral Management, Credit Risk Modelling & Mitigation or OTC Clearing.

A typical workshop would run a full day, 7 hours,  including lunch and coffee breaks.  We would also hold half day workshops.

We have the following workshops that we offer in the APAC region:

Module 1: Fundamentals of OTC Regulations: Clearing, Collateral & Risk Migitation reforms (1 day)

  • Overview of regulations: OTC regulations of Dodd Frank, EMIR & Basel 3:
  • Mandatory Clearing:
  • Risk Mitigation Techniques
  • Marginig Rules and Collateral Management
  • Basel 3: Proposed changes and impact on capital, liquidity and funding
  • Deep dive into key reforms:

Mandatory Clearing

  • Understanding client clearing methodology
  • Central Clearing and netting
  • Accessing clearing: clearing broker or clearing member
  • Assessing CCP risk: Margining Model, Default Waterfall structure, Default Management and insolvency
  • Client Asset Protection Models
  • Asian focus:
    Implementation & timelines for compliance in APAC .

Risk Mitigation Techniques for non cleared derivatives

Deep dive into Risk Mitigation Techniques

  • Confirmation, affirmation
  • Valuation
  • Reconciliation
  • Dispute Resolution
  • Compression
  • EMIR approach vs. Asia approach Implementation date
  • Challenges with implementation

Marginig Rules and Collateral Management

  • Enter the regulations: BCBS IOSCO Margin reform
  • Introduction of bi-lateral initial margin: methodologies, segregation models, operational requirements
  • Reform to current variation margin practices
  • Eligible collaterals, haircuts, concentration, MTA’s and thresholds
  • Treatment and safekeeping of collateral
  • Treatment of Intra-Group Transactions
  • Treatment of cross border transactions
  • Implementing margin reforms and global timelines
    Asian focus: Implementation & timelines for compliance in APAC


Module 2: Collateral Management: Principles of Collateral Management & case studies of front office collateral management and collateral optimisation models (1 day)

Fundamentals of Collateral Management

  • Fundamentals of credit risk
  • Basic workflows of collateral management
  • Using collateral to mitigate credit risk: essencial concepts
  • Negotiating and implementing a CSA (credit support annex) document
  • Managing lifecycle of a collateral management workflow
  • Implementing technology to support collateral management: to buy, build or outsource. Indepth cost and benefit analysis and case studies of each approach
  • Lastest regulations BCBS-IOSCO and the challenges with risk, liquidity and operations

Advanced applications of Enterprise Collateral Mgmt and Collateral Optimisation

  • Supply & Demand for collateral: Impact from regulatory changes
  • Dealing with a collateral shortage: principles of effective liquidity management
  • Transforming your back office collateral operations to front office collateral desk
  • Creating virtual inventory and effective collateral mobilisation and deployment
  • Constructing a target operating model for Enterprise Collateral Management
  • Understanding the principles of transfer pricing
  • Analysis of collateral optimisation models
  • End state model: Enterprise collateral management front office unit with optimisation algos and transfer pricing
  • End to End Collateral Solution: to buy, to build or to outsource. Quantitative and Qualitative assessment


Module 3: Risk & Capital: Essential Principles & Advanced Applications of market and credit risk (1 Day)
Part 1: Fundamentals of Risk Based Capital

  • Economic vs. Regulatory Capital
  • Unexpected loss vs. Expected Loss
  • Allocation of risk based capital
  • RWA calculation methodology: Calculating RWA for market, credit and operational risk
  • RWA calculation: Standardized vs. Advanced Approach
  • Market Risk concepts: VAR, Stressed VAR, incremental Risk Charge
  • Market Risk: Limitation of VAR and introduction to expected shortfall
  • Credit Risk concepts: Exposure at Default, Loss Given Default, Probability of Default, CVA
  • Credit Risk: Limitation of CVA and introduction to market sensitivity based credit calculation
  • Credit Risk: the move towards Potential Future Exposure.
  • PFE Calculation:
    • Standard approach: MTM + Add on
    • Montecarlo simulation approach
  • Monte Carlo methodology: Scenario analysis, valuation, aggregation

Part 2: Fundamental Review of Trading Book, New CVA charge and RWA optimisation strategies

  • The convergence of market risk and credit risk: a move towards Fundamental Review of Trading Book and Market based sensitivity CVA calculation
  • Essential principles of FRTB
  • Banking and trading books boundary issues and internal risk transfers
  • The Standardised Approach: Sensitivity-based method, default risk
  • charge and residual risk add-on
  • The Internal Models Approach: Expected shortfall (ES) vs value at risk
  • (VaR), liquidity horizons, default risk, non-modellable risk factors
  • New CVA capital charge: using market and economic sensitivities for credit risk
  • Impact of Market and Credit risk changes to business lines by product
  • Implementation challenges of FRTB

Strategies to lower RWA: Case study approach

  1. Recycling of credit exposure to reduce capital charges through portfolio optimization and structured solutions for transactions
  2. CVA capital charge under Basel III and mitigation techniques
  3. Novation of portfolios and externalization of transactions to reduce RWA capital costs
  4. Optimisation of CSA terms and collateral funding to reduce capital charges
  5. Concept of Central Clearing (CCP) and RWA reduction
  6. Case studies of Global banks

Module 4: XVA: Principles of XVA and Advanced Applications (2 day)
Day 1: Credit Risk fundamentals of XVA: CVA / DVA

  1. Basic principles of :

Credit Valuation Adjustment / Debit Valuation Adjustment (CVA / DVA):

  • Theory of CVA and methodology
  • Valuation and hedging methodology of CVA and DVA
  • Monte-carlo valuation and generation of exposure profiles
  • Unilateral vs Bilateral CVA;
  • Netting and Collateral (CSA) as applied for CVA
  • Credit Spreads: Market Implied valuation vs Historic valuation for CVA
  • Probability of Defaults and LGDs for liquid counterparties and illiquid counterparties.
  • Set up of CVA desk as per best practice & organizational challenges
  • Portfolio management and Hedging of CVA
  • CVA Capital under Basel III, CRDIV, and Capital Optimisation of CVA Capital
  • Management of counterparty distressed and defaulted names under CVA. Close out of transactions

Day 2: Funding and tail end risk Adjustments of XVA: FVA, MVA & KVA

  • Concept of FVA, MVA and Valuation
  • FVA, MVA and relation to CSA secured trades and OIS Discounting in relation to the Bank’s funding requirement. Optimisation of collateral via OIS (differential) discounting in relation to central clearing.
  • Relationship of FVA to CVA & DVA
  • Funding Cost Adjustment (FCA) vs Funding Benefit Adjustment (FBA) as part of derivative pricing
  • Managing a FVA Portfolio
  • The FVA, MVA debate on derivative pricing

Wrong Way Risk

  • Define the concept and necessity for pricing, in particular FX WWR for Asian Emerging Markets
  • Best practice valuation of WWR using EPE shock scenarios and correlation
  • WWR in relation to CVA
  • Hedging of WWR risk
  • WWR as part of Basel III, CRDIV CVA capital charge

Capital Valuation Adjustment (KVA)

  • Definition and concept of KVA
  • Valuation of KVA and impact to tail events
  • KVA in relation to CVA
  • Industry practice on KVA for pricing and possible balance sheet record of KVA


Module 5: Introduction to Blockchain Technology and application of blockchain to financial markets (1 day)

  • Why the time is ripe for Blockchain: understanding the challenges financial institutions face today from regulations and capital constraints
  • Essential Principles of Blockchain
  • Crytocurrencies vs. Bitcoin vs. tokens
  • Understanding ‘mining’ and proof of work
  • Workflow of validation process
  • Smart Contracts: concept and working examples
  • Transacting in the Blockchain: a visual demo

Advanced application of Blockchain to Financial Markets

  • Settling Bond and Repos on Blockchain
  • KYC and AML on Blockchain
  • The derivatives life cycle on Blockchain: confirmation, reconciliation, disputes, settlement and custody
  • ISDA-CSA and Blockchain: can smart contracts replicate ISDA-CSA monitoring terms more efficiently
  • Collateral Management in Blockchain: life cycle of margining in the Blockchain
  • Prime Brokerage model in Blockchain: a move towards peer to peer platforms
  • Latest developments of Blockchain
  • Challenges of Adoption
  • The Regulatory Response

Please ask us for a quote for our workshops.

Besides the technical workshops, we also offer various workshops on topical banking and finance courses focused on  regulations, trading, risk and operations