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Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and
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Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives Hardcover - 2017

by Donald J. Smith


From the publisher

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.

Details

  • Title Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives
  • Author Donald J. Smith
  • Binding Hardcover
  • Pages 228
  • Volumes 1
  • Language ENG
  • Publisher World Scientific Publishing Company
  • Date 2017-09-11
  • ISBN 9789813222748 / 9813222743
  • Weight 1 lbs (0.45 kg)
  • Dimensions 9.1 x 6.2 x 0.7 in (23.11 x 15.75 x 1.78 cm)
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Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate...
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Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives

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...
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Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives

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...
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Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives

by Smith, Donald J.

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ISBN 10 / ISBN 13
9789813222748 / 9813222743
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VALUATION IN A WORLD OF CVA, DVA, AND FVA : A TUTORIAL ON DEBT SECURITIES AND INTEREST RATE...
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VALUATION IN A WORLD OF CVA, DVA, AND FVA : A TUTORIAL ON DEBT SECURITIES AND INTEREST RATE DERIVATIVES

by Smith, Donald J

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