B*M
发帖数: 1340 | 1 作为investor该选哪个？
面试被问的一道题，回来查书也不确定， |
h****n
发帖数: 336 | 2 Correct me if I am wrong:
For mortgage investment, OAS is the so-call Static Spread less option cost (
option embeded in mortgage product). So within same risk level, higher OAS
is preferable than others.
Or think about it this way: when treasure rate falls, yield spread on
mortgage coupon widen, mortgages are more likely to be prepaid early. |
B*M
发帖数: 1340 | 3 问题在于within same risk level怎么定义的？
(
【在 h****n 的大作中提到】
: Correct me if I am wrong:
: For mortgage investment, OAS is the so-call Static Spread less option cost (
: option embeded in mortgage product). So within same risk level, higher OAS
: is preferable than others.
: Or think about it this way: when treasure rate falls, yield spread on
: mortgage coupon widen, mortgages are more likely to be prepaid early.
|
h****n
发帖数: 336 | 4 same credit rating, liquidity and rate.
I think the interviewer wanted to know if you understand the short option
feature of mortgage product. Higher OAS could mean lower option cost.
【在 B*M 的大作中提到】
: 问题在于within same risk level怎么定义的？
:
: (
|
B*M
发帖数: 1340 | 5 oas高是不是也代表风险高？
那不就和high yield和treasure哪个好一样的问题了？
(
【在 h****n 的大作中提到】
: Correct me if I am wrong:
: For mortgage investment, OAS is the so-call Static Spread less option cost (
: option embeded in mortgage product). So within same risk level, higher OAS
: is preferable than others.
: Or think about it this way: when treasure rate falls, yield spread on
: mortgage coupon widen, mortgages are more likely to be prepaid early.
|
h****n
发帖数: 336 | 6 well I don't think OAS is dominant factor of risk for MBS. |
B*M
发帖数: 1340 | 7 多谢你的解释，
oas对其他bond也有，callable,putable,stochastic rate,都可以影响oas,
【在 h****n 的大作中提到】
: well I don't think OAS is dominant factor of risk for MBS.
|
d*j
发帖数: 13780 | 8 高好
【在 B*M 的大作中提到】
: 作为investor该选哪个？
: 面试被问的一道题，回来查书也不确定，
|
a********e
发帖数: 508 | 9 这个问题单独这么拿出来感觉有点无厘头
就好像问买treasury好还是corporate bond好
通常OAS不一样的security的risk profile也不一样的
除非告诉你risk一样的情况下
【在 B*M 的大作中提到】
: 作为investor该选哪个？
: 面试被问的一道题，回来查书也不确定，
|
