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

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

4.85 57,342 ratings · 5,935 reviews
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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 a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA(R) fixed income curriculum and allows readers to replicate the examples using a spreadsheet.Contents: IntroductionAbout the AutorAn Introduction to Bond Valuation Using a Binomial TreeValuing Traditional Fixed-Rate Corporate BondsValuing Floating-Rate Notes and Interest Rate Caps and FloorsValuing Fixed-Income Bonds Having Embedded Call and Put OptionsValuing Interest Rate Swaps with CVA and DVAValuing an Interest Rate Swap Portfolio with CVA, DVA, and FVAStructured NotesSummaryReferencesAppendix: The Forward Rate Binomial Tree ModelReadership: Undergraduate and graduate students of finance, and CFA candidates. Key Features: There is no other book like itReaders can replicate the examples using a spreadsheetThe book supports and supplements the CFA(R) Level II curriculum

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Pages 228
Published August 12, 2015
ISBN 35821653
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Donald J. Smith
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Donald J. Smith
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Donald J. Smith is the author of several novels. Originally from the East Coast, they now live in the Midwest with family. In addition to writing, Donald J. Smith enjoys gardening, cooking, and reading way past bedtime. Their work often explores the complexities of everyday life and human relationships.

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Melissa Brown
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Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
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Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
Robert Robinson
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
David Scott
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I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Jessica Perez
Jessica Perez November 09, 2024
A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
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Nicholas Allen November 14, 2025
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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Rebecca Nelson April 24, 2025
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Eric Sanchez
Eric Sanchez February 12, 2025
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
Mark White
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Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Daniel Moore
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Mark Rodriguez
Mark Rodriguez November 20, 2025
Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
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Emily Hill August 06, 2025
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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Patricia Adams July 15, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
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Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
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Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
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I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
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A very strong entry. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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Rebecca Carter August 04, 2025
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
Jacob Rivera
Jacob Rivera August 20, 2024
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Joshua Turner
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A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Jessica Carter
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I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
Mary Nelson
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A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
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Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
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Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
Stephanie Green
Stephanie Green November 29, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Ashley Evans
Ashley Evans November 20, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Lisa Sanchez
Lisa Sanchez July 10, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Deborah Perez
Deborah Perez August 29, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Nicholas Jackson
Nicholas Jackson January 10, 2024
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Kenneth Anderson
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Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
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Kimberly Jones February 18, 2025
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Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Betty Nelson
Betty Nelson March 12, 2025
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Joshua Flores
Joshua Flores November 24, 2025
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
Kimberly Green
Kimberly Green December 13, 2024
A decent, if standard, experience. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Unlikely to reread, but a reasonable expenditure of time.
Donna  Davis
Donna Davis October 03, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Daniel Campbell
Daniel Campbell December 17, 2025
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
Matthew Gomez
Matthew Gomez September 03, 2024
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Emily Perez
Emily Perez August 31, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Steven Scott
Steven Scott February 11, 2025
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
David Smith
David Smith July 02, 2024
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me.
Joshua Turner
Joshua Turner January 31, 2025
Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
Robert White
Robert White February 28, 2024
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Ashley Evans
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It was adequate. The prose was competent, yet the characters lacked the depth I usually seek. Suitable if your reading queue is empty.
Patricia Edwards
Patricia Edwards July 17, 2024
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Linda Johnson
Linda Johnson November 04, 2024
I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes.
Lisa King
Lisa King February 27, 2024
Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Matthew Young
Matthew Young November 27, 2025
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Jacob Rivera
Jacob Rivera April 23, 2025
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
Emily Hill
Emily Hill December 21, 2025
Not entirely to my refined tastes. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perhaps more aligned with a different audience's tastes.
Eric Ramirez
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A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
Charles Perez
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It was adequate. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Suitable if your reading queue is empty.
Thomas Gonzalez
Thomas Gonzalez March 29, 2024
A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Donna Jones
Donna Jones December 02, 2025
A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Nancy Roberts
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David Robinson
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Michael Torres
Michael Torres June 27, 2024
Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
Ryan Thomas
Ryan Thomas February 05, 2024
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
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