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Are all Credit Default Swap Databases Equal?

Author

Listed:
  • Sergio Mayordomo
  • Juan Ignacio Peña
  • Eduardo S. Schwartz

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.

Suggested Citation

  • Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010. "Are all Credit Default Swap Databases Equal?," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  • Handle: RePEc:cnv:wpaper:dt_44en
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    More about this item

    Keywords

    Credit Default Swap prices; Databases; Liquidity;
    All these keywords.

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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