Are all Credit Default Swap Databases Equal?

Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT44_weben.pdf (application/pdf)

Related works:
Working Paper: Are all Credit Default Swap Databases equal? (2022)
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)
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:cnv:wpaper:dt_44en

Ordering information: This working paper can be ordered from
Dpto. de Estudios y Estadísticas Comisión Nacional del Mercado de Valores Edison, 4 28006 Madrid, Spain

Access Statistics for this paper

More papers in CNMV Working Papers from CNMV- Spanish Securities Markets Commission - Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Jose María Moreno ().