Valuation in a World of CVA, DVA, and FVA (PDF)
A Tutorial on Debt Securities and Interest Rate Derivatives
(Sprache: Englisch)
-->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...
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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: IntroductionAbout the AutorAn Introduction to Bond Valuation Using a Binomial TreeValuing Traditional Fixed-Rate Corporate BondsValuing Floating-Rate Notes and Interest Rate Caps and FloorsValuing Fixed-Income Bonds Having Embedded Call and Put OptionsValuing Interest Rate Swaps with CVA and DVAValuing an Interest Rate Swap Portfolio with CVA, DVA, and FVAStructured NotesSummaryReferencesAppendix: The Forward Rate Binomial Tree Model --> -->Readership: Undergraduate and graduate students of finance, and CFA candidates. -->
Bibliographische Angaben
- Autor: Donald J Smith
- 2017, 228 Seiten, Englisch
- Verlag: World Scientific Publishing Company
- ISBN-10: 9813222751
- ISBN-13: 9789813222755
- Erscheinungsdatum: 20.07.2017
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Größe: 5.10 MB
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Englisch
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