Snow Ball Merriment Snow Bear Plunge!
Pretty good answers for non-ESO'ers.

It is indeed a Nordic ritual but takes place at Windhelm during the annual New Life Festival. You jump from height into the freezing water from three different locations, then swim to the respective warming fire and have some mead.
This shot is after one such jump and I believe the warming bonfire depicted is near the base of Dead Man's Fall, just west of Windhelm.
It is only by the grace of Jerric's (Grits' character) gift to Buffy years ago of an enchanted toe ring of resist frost that the little wood elf can survive these jumps into freezing water.