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Are All Credit Default Swap Databases Equal?

Sergio Mayordomo (), Juan Ignacio Peña and Eduardo S. Schwartz

European Financial Management, 2014, vol. 20, issue 4, 677-713

Abstract: We 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.

Date: 2014
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https://doi.org/10.1111/j.1468-036X.2013.12023.x

Related works:
Working Paper: Are all Credit Default Swap Databases Equal? (2010) Downloads
Working Paper: Are all Credit Default Swap databases equal? (2010) Downloads
Working Paper: Are all Credit Default Swap Databases Equal? (2010) Downloads
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