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Spread Analysis of Fixed-Income Securities

December 30, 2015
Option exercised? Path-dependent Example Spread Measure Option Valuation Model
No Plain corp. Z-Spread
Yes No Callable corp. OAS Binomial
Yes Yes MBS OAS Monte Carlo
No Credit Card ABS Z-Spread
No Credit Card ABS Z-Spread
Yes Yes Quality Home Equity ABS OAS Monte Carlo
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From → Asset Valuation

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