2005 8

44 Statisti cal Research No. 8 2005

( OAS)
陈 蓉 郭晓武

ABSTRACT
Recently, OAS, which has caught the effect of term structure and optionality, has been more and
more important in the analysis of option- embedded bonds and has influenced the interest rate risk
management of some financial institutions. But the complexity and the non-standard feature of OAS often
lead inappropriate understanding and use. This article analyses the definition, computation and the main
use of OAS and discusses the pros and cons of OAS, which will help the pricing and risk management of
opt ion- embedded bonds.

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1
2

1 [ 1 ] Bartlett William W. , the Valuation of Mortgage-Backed

,
Securities [ M] . Richard D. Irwin, Inc. , 1994.
[ 2 ] David Audley, Richard chin, and Shrikant Ramamurthy,
2
MBS ,
OAS and Effective Duration , in the H andbook of Fixed-
Income Securities , ed. Fabozzi.McGraw-Hill, 1997.
[ 3 ] Fabozzi, Frank J. , Bond Market Analysis and Strategies , 4 th
( 2) , ed[ M] . Prentice Hall, Inc. , 2000.
, OAS [ 4 ] Kopprasch R W. , Option-Adjusted Spread Analysis: Going
OAS don the Wrong path? [ J] . Financial Analysts Journal, May-
; June 1994, 42~ 47.
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; 陈蓉( 1976 ) , 女, 厦门大学金融系金融学 博士毕业,
厦门大学经济 学院 金融 系 讲师, 现 为厦 门大 学经 济学 院
2 OAS , 金融系与厦门东南融通系统工 程有限公 司合作 培养的 博
, 士后, 主要研究方向为金融工程和固定收 益证券
OAS , 郭晓武( 1974 ) , 男, 财政学博士研究生, 厦门大学 经
OAS 济学院财政系