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How to compute a zero spread for unexpected loss
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Hymn
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6
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February 27th, 2012, 1:52 pm
How to compute a zero spread for unexpected loss
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#1
January 21st, 2021, 3:02 pm
Hi,
I have to discount a cash flows of mezzanine and junior note of NPL's securization, so the discount curve have to include a zero spread for unexpected loss, could you suggest me a proxy to estimate quickly this spread?
Thanks
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