Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives (Hardcover) (ISBN-13: 9789813222748)

CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA(R) fixed income curriculum and allows readers to replicate the examples using a spreadsheet.

Author: Donald J. Smith
ISBN-10: 9813222743
ISBN-13: 9789813222748
Publisher: World Scientific Publishing Company
Language: English
Published: 09/11/2017
Pages: 228
Format: Hardcover
Weight: 1.00lbs
Size: 9.10h x 6.20w x 0.70d