Valuation in a World of Cva, Dva, and Fva - Bookswagon UAE
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Home > Business and Economics > Finance and accounting > Finance and the finance industry > Investment and securities > Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives
Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives

Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives


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About the Book

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(R) fixed income curriculum and allows readers to replicate the examples using a spreadsheet. Contents: Introduction About the Autor An Introduction to Bond Valuation Using a Binomial Tree Valuing Traditional Fixed-Rate Corporate Bonds Valuing Floating-Rate Notes and Interest Rate Caps and Floors Valuing Fixed-Income Bonds Having Embedded Call and Put Options Valuing Interest Rate Swaps with CVA and DVA Valuing an Interest Rate Swap Portfolio with CVA, DVA, and FVA Structured Notes Summary References Appendix: The Forward Rate Binomial Tree Model Readership: Undergraduate and graduate students of finance, and CFA candidates. Key Features: There is no other book like it Readers can replicate the examples using a spreadsheet The book supports and supplements the CFA(R) Level II curriculum


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Product Details
  • ISBN-13: 9789813222762
  • Publisher: World Scientific Publishing Company
  • Publisher Imprint: World Scientific Publishing Company
  • Language: English
  • ISBN-10: 981322276X
  • Publisher Date: 20 Jul 2017
  • Binding: Digital (delivered electronically)
  • Sub Title: A Tutorial on Debt Securities and Interest Rate Derivatives


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Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives
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Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives
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