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Valuation In A World Of CVA And DVA: A Tutorial On Debt Securities And Interest Rate Derivatives

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Credit risk models invariably are mathematical, and can be dauntingly so. Nevertheless, an understanding of the impact of credit risk on the valuation of debt securities and derivatives is essential to investment analysis and risk management. The financial crisis that started in 2007 exposed the importance of counterparty credit risk; nowadays, CVA and DVA—credit valuation and debit (or debt) valuation adjustments, respectively—are part of the vocabulary of risk analysis in the “post-Lehman” world. This tutorial introduces the key parameters that drive CVA and DVA (the expected exposure to default loss, the probability of default, and the recovery rate) and demonstrates the impact of changes in credit risk on values of various types of debt securities and interest rate derivatives in a simplified format using diagrams and tables, albeit with some mathematics.

Paperback: 164 pages

Publisher: CreateSpace Independent Publishing Platform; 1 edition (August 12, 2015)

Language: English

ISBN-10: 1515096564

ISBN-13: 978-1515096566

Product Dimensions: 8.5 x 0.4 x 11 inches

Shipping Weight: 1.1 pounds (View shipping rates and policies)

Average Customer Review: 3.5 out of 5 stars  See all reviews (2 customer reviews)

Best Sellers Rank: #492,967 in Books (See Top 100 in Books) #50 in Books > Business & Money > Finance > Financial Risk Management

CVA really teach me how to build binomial tree. It is necessary to use this book to understand the inside of trading.

page 63-78 is missing.....

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