Are all Credit Default Swap Databases equal?

Sergio Mayordomo, Juan Ignacio Pe\~na and Eduardo S. Schwartz

Papers from arXiv.org

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: 2022-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2202.02273 Latest version (application/pdf)

Related works:
Journal Article: Are All Credit Default Swap Databases Equal? (2014)
Working Paper: Are all Credit Default Swap Databases Equal? (2010)
Working Paper: Are all Credit Default Swap databases equal? (2010)
Working Paper: Are all Credit Default Swap Databases Equal? (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.02273

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().