Read 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

Donald J. Smith

4.9/5 (14405 ratings)

Description: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: IntroductionAbout the AutorAn Introduction to Bond Valuation Using a Binomial TreeValuing Traditional Fixed-Rate Corporate BondsValuing Floating-Rate Notes and Interest Rate Caps and FloorsValuing Fixed-Income Bonds Having Embedded Call and Put OptionsValuing Interest Rate Swaps with CVA and DVAValuing an Interest Rate Swap Portfolio with CVA, DVA, and FVAStructured NotesSummaryReferencesAppendix: The Forward Rate Binomial Tree ModelReadership: Undergraduate and graduate students of finance, and CFA candidates. Key Features: There is no other book like itReaders can replicate the examples using a spreadsheetThe book supports and supplements the CFA(R) Level II curriculumWe have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives. To get started finding Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

Pages: 228

Format: PDF, EPUB & Kindle Edition

Publisher: —

Release: —

ISBN: 981322276X

Description: 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: IntroductionAbout the AutorAn Introduction to Bond Valuation Using a Binomial TreeValuing Traditional Fixed-Rate Corporate BondsValuing Floating-Rate Notes and Interest Rate Caps and FloorsValuing Fixed-Income Bonds Having Embedded Call and Put OptionsValuing Interest Rate Swaps with CVA and DVAValuing an Interest Rate Swap Portfolio with CVA, DVA, and FVAStructured NotesSummaryReferencesAppendix: The Forward Rate Binomial Tree ModelReadership: Undergraduate and graduate students of finance, and CFA candidates. Key Features: There is no other book like itReaders can replicate the examples using a spreadsheetThe book supports and supplements the CFA(R) Level II curriculumWe have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives. To get started finding Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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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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