When is it appropriate to use the zero-volatility spread approach rather than the OAS approach when valuing

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When is it appropriate to use the zero-volatility spread approach rather than the OAS approach when valuing an asset-backed security?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:02 AM

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When is it appropriate to use the zero-volatility spread approach rather than the OAS approach when valuing

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The zerovolatility spread Zspread approach and the optionadjusted spread OAS approach are two methods used to value assetbacked securities ABS and oth...View the full answer

Introduction To Fixed Income Analytics

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