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Books > Business & Economics > Finance & accounting > Finance > Banking
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Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives (Paperback)
Loot Price: R1,299
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Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives (Paperback)
Expected to ship within 12 - 17 working days
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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.
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