Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives
Download or Read eBook Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives PDF written by Donald J Smith and published by #N/A. This book was released on 2017-07-20 with total page 226 pages. Available in PDF, EPUB and Kindle.
| Author | : Donald J Smith |
| Publisher | : #N/A |
| Total Pages | : 226 |
| Release | : 2017-07-20 |
| ISBN-10 | : 9789813222762 |
| ISBN-13 | : 981322276X |
| Rating | : 4/5 (62 Downloads) |
Book Synopsis Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives by : Donald J Smith
Book excerpt: 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® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.
