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标题: EOC R29- Q26(hanover green) [打印本页]

作者: brain_wash_your 时间: 2011-7-13 16:49 标题: EOC R29- Q26(hanover green)

Since when does OAS exclude default risk? What default risk are they talking about?

作者: skycfa 时间: 2011-7-13 16:49

I think OAS is estimated using a prepayment model , and there is no factoring of credit risk in it. Default risk is a component of credit risk

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