FRIC Practitioner Seminar with Jakob Sidenius, Nordea Markets

FRIC Center for Financial Frictions is proud to announce the upcoming practitioner seminar with Jakob Sidenius, Head of Model Development at Nordea Markets

Title: CVA in Derivatives Trading

Abstract: We give a description of the mechanics of derivatives trading and then delve into the definition and calculation of CVA with details of how to handle collateral, ratings triggers, wrong-way risk and non-standard trades. Then we turn to the practical implications of recognising CVA in accounting, including a discussion of the treatment of unhedgeable credit risk. We conclude with some remarks about the future of CVA.

Literature: J. Gregory: Counterparty Credit Risk. Wiley 2010.

Location

Solbjerg Plads 3, 2000 Frederiksberg

Room: SP114