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- 2011-7-2
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- 2015-11-28
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OAS cannot cover default risk , because default is highly firm specific.
Plus in L2 if I remember right, the OAS calculation methodology mainly was applied to examples from MBS and used prepayment related data .i.e. the option part had to do with convexity and not default possibility. Default was not even a big deal up until 2008 anyway |
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发表于 2011-7-11 19:12
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