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Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives

Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives

 Smith, Donald J.
 World Scientific Publishing Co., 2018 ISBN: 9789813222748
 Singapore : xviii, 207 p. ; 24 cm. English
Derivative instruments (Finances)Bonds (Securities)Derivative securitiesĐịnh giáTrái phiếuChứng khoán phái sinh
Mô tả biểu ghi
ID:70943
DDC 332.645
Tác giả CN Smith, Donald J.
Nhan đề Valuation in a world of CVA, DVA, and FVA : a tutorial on debt securities and interest rate derivatives / Donald J. Smith.
Thông tin xuất bản Singapore :World Scientific Publishing Co.,2018
Mô tả vật lý xviii, 207 p. ;24 cm.
Tóm tắt "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."
Thuật ngữ chủ đề Derivative instruments (Finances)
Thuật ngữ chủ đề Bonds (Securities)-Valuation
Thuật ngữ chủ đề Derivative securities-Valuation
Từ khóa tự do Định giá
Từ khóa tự do Trái phiếu
Từ khóa tự do Chứng khoán phái sinh
Địa chỉ 100TK_Tiếng Anh-AN(4): 000143010-3
Tệp tin điện tử http://lib.hanu.vn/kiposdata2/bookcover/000143010_thumbimage.jpg
MARC
Hiển thị đầy đủ trường & trường con
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300[ ] |a xviii, 207 p. ; |c 24 cm.
520[ ] |a "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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650[1 0] |a Derivative securities |x Valuation
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