Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives
Author:   Donald J Smith (Boston Univ, Usa)
Publisher:   World Scientific Publishing Co Pte Ltd
ISBN:  

9789813222748


Pages:   228
Publication Date:   11 September 2017
Format:   Hardback
Availability:   In Print   Availability explained
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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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Overview

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.

Full Product Details

Author:   Donald J Smith (Boston Univ, Usa)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
ISBN:  

9789813222748


ISBN 10:   9813222743
Pages:   228
Publication Date:   11 September 2017
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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