descriptionPublicationkeyboard_double_arrow_right Article , Report , Preprint , Research , Other literature type 01 Jan 2010Embargo end date: 01 Jan 2022 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Sergio Mayordomo; Juan Ignacio Peña; Eduardo S. Schwartz;

doi: 10.2139/ssrn.3400607 , 10.2139/ssrn.1713325 , 10.3386/w16590 , 10.1111/j.1468-036x.2013.12023.x , 10.48550/arxiv.2202.02273

arXiv: 2202.02273

handle: 10016/13889 , 10016/9704

Are All Credit Default Swap Databases Equal?

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Abstract

AbstractWe compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5‐year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend among prices in the different databases are not random but are explained by idiosyncratic factors, financing costs, global risk, and other trading factors. The CMA quotes lead the price discovery process. Moreover, we find that there is not a full agreement among databases in the results of the price discovery analysis between stock and CDS returns.

Related Organizations

Carlos III University of Madrid
Spain
Simon Fraser University
Canada
National Bureau of Economic Research
United States
Carlos III University Madrid (UC3M)
Spain
University of Navarra
Spain

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Keywords

Credit default swap prices, Credit Default Swap prices, Database, FOS: Economics and business, Databases, Liquidity, Risk Management (q-fin.RM), H63, F33, G12, Empresa, Quantitative Finance - Risk Management, jel: jel:H63, jel: jel:G12, jel: jel:F33

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