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An OAS Framework for Portfolio Attribution Analysis
Authors: William Burns, Ph.D., Wensong Chu, Ph.D.
Price: $25.00

Detailed Description

The authors present an option-adjusted spread (OAS)-based approach for fixed income portfolio performance attribution analysis. They demonstrate how total return can be decomposed into several specific scenario returns according to the underlying pricing models for each fixed income security. A sequential evolution of variables from the beginning of the period to the end of the period defines these specific scenarios.

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