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Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives on Hardback by Donald J Smith
Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives on Hardback by Donald J Smith
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Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives

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Description

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.
Release date Australia
September 11th, 2017
Audiences
  • Professional & Vocational
  • Tertiary Education (US: College)
Pages
228
ISBN-13
9789813222748
Product ID
26789544

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