Donald J Smith,
Donald J Smith
Valuation in a World of CVA, DVA, and FVA
Gebonden EN 2017 9789813222748Levertijd ongeveer 16 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9789813222748
Taal:EN
Bindwijze:Gebonden
Aantal pagina's:228
Uitgever:World Scientific Publishing Co Pte Ltd
Hoofdrubriek:Financieel management, Financieel management
Thema:
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