FRIC Practitioner Seminar with Jakob Sidenius, Nordea Markets

FRIC practitioner Seminar with Jakob Sidenius, Head of Model Development at Nordea Markets: CVA in Derivatives Trading

Tuesday, November 5, 2013 - 15:30 to 17:00

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

Room: SP114

The page was last edited by: Center for Financial Frictions // 07/20/2018