eBook - ePub

Valuation in a World of CVA, DVA, and FVA

Name: Valuation in a World of CVA, DVA, and FVA
Author: Donald J Smith

A Tutorial on Debt Securities and Interest Rate Derivatives

Donald J Smith,

English
ePUB (mobile friendly)
Available on iOS & Android

eBook - ePub

Valuation in a World of CVA, DVA, and FVA

A Tutorial on Debt Securities and Interest Rate Derivatives

Donald J Smith,

About this book

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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® 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

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--> 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® Level II curriculum

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Yes, you can access Valuation in a World of CVA, DVA, and FVA by Donald J Smith in PDF and/or ePUB format, as well as other popular books in Economics & Bonds. We have over one million books available in our catalogue for you to explore.