Valuation in a world of CVA, DVA, and FVA: a tutorial on debt securities and interest rate derivatives
"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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore
World Scientific Publishing Co. Pte Ltd.
c2018
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| Subjects: | |
| Online Access: | FHN01 Volltext |
| Summary: | "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."--Publisher's website |
| Item Description: | Title from PDF title page (viewed September 2, 2017) |
| Physical Description: | 1 online resource (226 p.) ill |
| ISBN: | 9789813222755 9813222751 |
Staff View
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Record in the Search Index
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV044637568 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:57:51Z |
| institution | BVB |
| isbn | 9789813222755 9813222751 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030035540 |
| oclc_num | 1012646161 |
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| physical | 1 online resource (226 p.) ill |
| psigel | ZDB-124-WOP ZDB-124-WOP FHN_PDA_WOP |
| publishDate | 2018 |
| publishDateSearch | 2018 |
| publishDateSort | 2018 |
| publisher | World Scientific Publishing Co. Pte Ltd. |
| record_format | marc |
| spelling | Smith, Donald J. 1947- Verfasser aut Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives Donald J Smith Singapore World Scientific Publishing Co. Pte Ltd. c2018 1 online resource (226 p.) ill txt rdacontent c rdamedia cr rdacarrier Title from PDF title page (viewed September 2, 2017) "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."--Publisher's website Bonds / Valuation Derivative securities / Valuation Electronic books http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc Verlag URL des Erstveroeffentlichers Volltext |
| spellingShingle | Smith, Donald J. 1947- Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives Bonds / Valuation Derivative securities / Valuation Electronic books |
| title | Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives |
| title_auth | Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives |
| title_exact_search | Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives |
| title_full | Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives Donald J Smith |
| title_fullStr | Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives Donald J Smith |
| title_full_unstemmed | Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives Donald J Smith |
| title_short | Valuation in a world of CVA, DVA, and FVA |
| title_sort | valuation in a world of cva dva and fva a tutorial on debt securities and interest rate derivatives |
| title_sub | a tutorial on debt securities and interest rate derivatives |
| topic | Bonds / Valuation Derivative securities / Valuation Electronic books |
| topic_facet | Bonds / Valuation Derivative securities / Valuation Electronic books |
| url | http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc |
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