Tema sobre estabilidad financiera. Metodología de valoración Optjon Adjusted Spread (OAS) para títulos garantizados con hipotecas

Jimmy Martínez Correa

Resumen


En el presente documento se ofrece una explicación detallada de la metodología de valoración Option Adjusled Sread (OAS) que permite calcular el valor de la opción de prepago en puntos básicos. Esta se mide como la diferencia entre el spread estático (SS) y el spread ajustado. Asimismo, se realiza una aplicación para Colombia de la metodología.

Este documento se divide en tres partes. En la primera se realiza una detallada exposición de la metodología. La segunda expone una aplicación para Colombia. Finalmente, la tercera parte corresponde a las conclusiones derivadas del documento.


Palabras clave


Metodología de Option Adjusled Sread; Interés; Liquidez; Créditos hipotecarios; Mercado; Prepagos

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Referencias


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