VALUATION IN A WORLD OF CVA, DVA, AND FVA

Name: VALUATION IN A WORLD OF CVA, DVA, AND FVA
Brand: World Scientific
Availability: OutOfStock
Rating: 5 (1 reviews)

By Smith Donald J

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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® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.

Product details

Binding:: Paperback
Edition:: 1
Number of Pages:: 230
Release Date:: 2017-07-20
Publication Date:: 2017-07-21
Publisher:: World Scientific
Languages:: Original: English
ISBN10:: 9813224169
ISBN13:: 9789813224162
GPSR Manufacturer Reference:: [email protected]
Weight:: 340 g
Height:: 15.2 cm
Width:: 22.9 cm
Thickness:: 1.3 cm

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