IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789813222755_0008.html
   My bibliography  Save this book chapter

Summary

In: Valuation in a World of CVA, DVA, and FVA A Tutorial on Debt Securities and Interest Rate Derivatives

Author

Listed:
  • Donald J Smith

Abstract

This introduction to the valuation of debt securities and interest rate derivatives is an attempt to characterize the workings of the complex models used in practice by means of a simple, “artisanal” model of interest rate dynamics to obtain a value assuming no default and a separate, tabular calculation for the adjustments due to credit risk and funding costs. A novel aspect to the presentation is a link between the values in the binomial forward rate tree and the expected exposure to credit risk. While it is a caricature of its real-world counterparts, the binomial model of benchmark rates and CVA/DVA/FVA tables reveal some of the key assumptions that need to be made in the valuation process — for instance, the underlying stochastic process for the level and volatility of interest rates, collateralization, the probability of default, and the recovery rate if default occurs…

Suggested Citation

  • Donald J Smith, 2017. "Summary," World Scientific Book Chapters, in: Valuation in a World of CVA, DVA, and FVA A Tutorial on Debt Securities and Interest Rate Derivatives, chapter 8, pages 183-188, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813222755_0008
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789813222755_0008
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789813222755_0008
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    XVA; CVA; DVA; FVA; Debt Securities; Interest Rate Derivatives;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789813222755_0008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.