FRIC Practitioner Seminar Martin Dalskov Linderstrøm
The first FRIC Practitioner Seminar will take place Tuesday September 25.
Martin Dalskov Linderstrøm, Danske Bank will be presenting:Collateral consistent derivatives pricing.
View the abstract here:
Collateral consistent derivatives pricing
What are the links between the pricing of OTC derivatives and the underlying collateral agreements? Which problems are legacy collateral agreements causing in the market place? What is the ISDA standardised CSA and which challenges does this present in modern swap curve building? How can optionality in collateral postings be incorporated into the valuation of derivatives and why is this potentially important in long dated trades?
See the slides here: collateral_consistent_derivatives_pricing.pdf
About FRIC Practitioner Seminars
FRIC Practitioner Seminars feature practitioners from financial institutions, central banks, regulatory authorities, asset management firms and other central players in the finance industry. The purpose of the seminars is to help finance researchers understand the institutional setting of financial markets, and to keep up with financial innovation and changes in the regulatory environment. Arguably, it was the failure to understand the plumbing of the financial system rather than a lack of theoretical tools that prevented most academics from seeing the financial crisis coming. The Practitioner Seminars series aim to fill this gap. Ultimately, the FRIC Practitioner Seminars should stimulate new research into the role of financial frictions that will help answering concrete and pressing questions in financial markets.