Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt

Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives

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 CFAÂ® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.
Country USA
Brand World Scientific Publishing Company
Manufacturer WSPC
Binding Paperback
ItemPartNumber 9789813224162
ReleaseDate 2017-07-20
UnitCount 1
EANs 9789813224162

Country	USA
Brand	World Scientific Publishing Company
Manufacturer	WSPC
Binding	Paperback
ItemPartNumber	9789813224162
ReleaseDate	2017-07-20
UnitCount	1
EANs	9789813224162

Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives