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