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.
1132543665
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 CFA® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.
38.0
In Stock
5
1
VALUATION IN A WORLD OF CVA, DVA, AND FVA: A Tutorial on Debt Securities and Interest Rate Derivatives
228
VALUATION IN A WORLD OF CVA, DVA, AND FVA: A Tutorial on Debt Securities and Interest Rate Derivatives
228Related collections and offers
38.0
In Stock
Product Details
| ISBN-13: | 9789813222762 |
|---|---|
| Publisher: | World Scientific Publishing Company, Incorporated |
| Publication date: | 07/20/2017 |
| Sold by: | Barnes & Noble |
| Format: | eBook |
| Pages: | 228 |
| File size: | 18 MB |
| Note: | This product may take a few minutes to download. |
From the B&N Reads Blog