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Results for “OAS” · papers 1 · wiki 36
Academic Papers · 1arXiv q-fin live 1 · desk corpus 0
arXiv · arXiv q-fin · 2009

Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis

In the third part of this series we introduce consistent relative value measures for CDS-Bond basis trades using the bond-implied CDS term structure derived from fitted survival rate curves. We explain why this measure is better than the traditionally used Z-spread or Libor OAS and offer simplified hedging and trading strategies which take advantage of the relative value across the entire range of maturities of cash …

Arthur M. Berd, Roy Mashal, Peili Wang
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Wiki Entities · 36
Credit

Investment Grade OAS

Investment Grade OAS measures the spread of high-quality corporate bonds over Treasuries after adjusting for embedded options, helping track broad corporate credit conditions.

Credit

High Yield OAS

High Yield OAS measures the spread of high-yield corporate bonds over risk-free Treasuries after adjusting for embedded options, serving as a key gauge of speculative credit stress.

Fixed Income

HY OAS

HY OAS (Fixed Income).

Fixed Income

IG OAS

IG OAS (Fixed Income).

Rates

Effective Duration

Effective Duration (Rates).

Fixed Income

OAS Window 1M

OAS Window 1M (Fixed Income).

Fixed Income

OAS Window 3M

OAS Window 3M (Fixed Income).

Fixed Income

OAS Window 6M

OAS Window 6M (Fixed Income).

Fixed Income

OAS Window 1Y

OAS Window 1Y (Fixed Income).

Fixed Income

OAS Window 2Y

OAS Window 2Y (Fixed Income).

Fixed Income

OAS Window 5Y

OAS Window 5Y (Fixed Income).

Fixed Income

OAS Window 7Y

OAS Window 7Y (Fixed Income).

Fixed Income

OAS Window 10Y

OAS Window 10Y (Fixed Income).

Fixed Income

OAS Window 20Y

OAS Window 20Y (Fixed Income).

Fixed Income

OAS Window 30Y

OAS Window 30Y (Fixed Income).

Fixed Income

OAS Window front

OAS Window front (Fixed Income).

Fixed Income

OAS Window belly

OAS Window belly (Fixed Income).

Fixed Income

OAS Window long-end

OAS Window long-end — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window ultra-long

OAS Window ultra-long — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window US

OAS Window US (Fixed Income).

Fixed Income

OAS Window Euro Area

OAS Window Euro Area — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window UK

OAS Window UK (Fixed Income).

Fixed Income

OAS Window Japan

OAS Window Japan (Fixed Income).

Fixed Income

OAS Window China

OAS Window China (Fixed Income).

Fixed Income

OAS Window EM Asia

OAS Window EM Asia — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window LatAm

OAS Window LatAm (Fixed Income).

Fixed Income

OAS Window CEEMEA

OAS Window CEEMEA — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window Canada

OAS Window Canada — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window Australia

OAS Window Australia — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window IG

OAS Window IG (Fixed Income).

Fixed Income

OAS Window HY

OAS Window HY (Fixed Income).

Fixed Income

OAS Window agency

OAS Window agency — Rates and credit cash-market concept for fixed-income desks.

Fixed Income

OAS Window sovereign

OAS Window sovereign — Rates and credit cash-market concept for fixed-income desks.

Credit

IG OAS 1M

IG OAS 1M (Credit).

Credit

IG OAS 3M

IG OAS 3M (Credit).

Credit

IG OAS 6M

IG OAS 6M (Credit).

Option Blackboard · 0
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Encyclopedia · 24
Credit · Foundations

High Yield OAS

High Yield OAS measures the spread of high-yield corporate bonds over risk-free Treasuries after adjusting for embedded options, serving as a key gauge of speculative credit stress.

Fixed Income · Foundations

HY OAS

HY OAS (Fixed Income).

Credit · Foundations

HY OAS 10Y

HY OAS 10Y (Credit).

Credit · Foundations

HY OAS 1M

HY OAS 1M (Credit).

Credit · Foundations

HY OAS 1Y

HY OAS 1Y (Credit).

Credit · Foundations

HY OAS 2Y

HY OAS 2Y (Credit).

Credit · Foundations

HY OAS 3M

HY OAS 3M (Credit).

Credit · Foundations

HY OAS 5Y

HY OAS 5Y (Credit).

Credit · Foundations

HY OAS 6M

HY OAS 6M (Credit).

Credit · Foundations

HY OAS 7Y

HY OAS 7Y (Credit).

Credit · Foundations

HY OAS autos

HY OAS autos (Credit).

Credit · Foundations

HY OAS EM hard

HY OAS EM hard (Credit).

Credit · Foundations

HY OAS energy

HY OAS energy (Credit).

Credit · Foundations

HY OAS EU HY

HY OAS EU HY (Credit).

Credit · Foundations

HY OAS EU IG

HY OAS EU IG (Credit).

Credit · Foundations

HY OAS financials

HY OAS financials (Credit).

Credit · Foundations

HY OAS real estate

HY OAS real estate (Credit).

Credit · Foundations

HY OAS telecom

HY OAS telecom (Credit).

Credit · Foundations

HY OAS US HY

HY OAS US HY (Credit).

Credit · Foundations

HY OAS US IG

HY OAS US IG (Credit).

Fixed Income · Foundations

IG OAS

IG OAS (Fixed Income).

Credit · Foundations

IG OAS 10Y

IG OAS 10Y (Credit).

Credit · Foundations

IG OAS 1M

IG OAS 1M (Credit).

Credit · Foundations

IG OAS 1Y

IG OAS 1Y (Credit).

Cards · 0
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