Description

Book Synopsis
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.

Valuation In A World Of Cva, Dva, And Fva : A

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A Paperback / softback by Donald J Smith

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    View other formats and editions of Valuation In A World Of Cva, Dva, And Fva : A by Donald J Smith

    Publisher: World Scientific Publishing Co Pte Ltd
    Publication Date: 11/09/2017
    ISBN13: 9789813224162, 978-9813224162
    ISBN10: 9813224169
    Also in:
    Banking

    Description

    Book Synopsis
    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.

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