Valuation in a World of Cva, Dva, and Fva: A Tutorial on Debt Securities and Interest Rate Derivatives

by Donald J. Smith

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 9813224169
• ISBN13: 9789813224162
• Release Date: July 2017
• Publisher: World Scientific Publishing Company
• Length: 228 Pages
• Weight: 0.75 lbs.
• Dimensions: 0.6" x 6.0" x 8.9"