IDEAS home Printed from https://ideas.repec.org/b/wsi/wsbook/10511.html
   My bibliography  Save this book

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

Author

Listed:
  • Donald J Smith

    (Boston University, USA)

Abstract

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Donald J Smith, 2017. "Valuation in a World of CVA, DVA, and FVA:A Tutorial on Debt Securities and Interest Rate Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10511.
    • Handle: RePEc:wsi:wsbook:10511
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/worldscibooks/10.1142/10511
    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.

    Book Chapters

    The following chapters of this book are listed in IDEAS

    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:wsbook:10511. 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.