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VALUATION IN A WORLD OF CVA, DVA, AND FVA

VALUATION IN A WORLD OF CVA, DVA, AND FVA

Valuation in a World of CVA, DVA, and FVA

DONALD J SMITH / SMITH DONALD J

53,84 €
IVA incluido
Disponible
Editorial:
World Scientific Publishing Co Pte Ltd
Año de edición:
2017
Materia
Inversiones y títulos valores
ISBN:
9789813224162
53,84 €
IVA incluido
Disponible

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Sobre IBD

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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Otros libros del autor

  • VALUATION IN A WORLD OF CVA, DVA, AND FVA
    DONALD J SMITH / SMITH DONALD J
    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 ex...