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.
Solbjerg Plads 3, 2000 Frederiksberg