Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives
- Indbinding:
- Hardback
- Sideantal:
- 228
- Udgivet:
- 11. september 2017
- Størrelse:
- 158x237x15 mm.
- Vægt:
- 524 g.
- 8-11 hverdage.
- 10. december 2024
På lager
Forlænget returret til d. 31. januar 2025
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Abonnementspris
- Rabat på køb af fysiske bøger
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding
Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding
Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.
Beskrivelse af 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 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.
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