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Are all Credit Default Swap Databases Equal?

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

No CNMV Working Papers no. 44. 2010, CNMV Working Papers from CNMV- Spanish Securities Markets Commission - Research and Statistics Department

Abstract: CONTENTS: This paper compares the six major sources of corporate CDS prices (GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan) using the most liquid single name 5-year CDS of the components of the leading market indexes, iTraxx and CDX, for the period 2004-2010. We find systematic differences between the data sets implying that deviations from the common trend among prices in the different databases are not purely random but are explained by idiosyncratic factors as well as liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. The results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases.

Keywords: Credit Default Swap prices; Databases; Liquidity (search for similar items in EconPapers)
JEL-codes: F33 G12 H63 (search for similar items in EconPapers)
Date: 2010
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Related works:
Journal Article: Are All Credit Default Swap Databases Equal? (2014) 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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