RT Generic
T1 Are all credit default swap databases equal?
A1 Mayordomo, Sergio
A1 Peña, Juan Ignacio
A1 Schwartz, Eduardo S.
AB The presence of different prices in different databases for the same securities can impair the comparabilityof research efforts and seriously damage the management decisions based upon such research. In thisstudy we compare the six major sources of corporate Credit Default Swap prices: GFI, Fenics, ReutersEOD, CMA, Markit and JP Morgan, using the most liquid single name 5-year CDS of the componentsof the leading market indexes, iTraxx (European firms) and CDX (US firms) for the period from 2004to 2010. We find systematic differences between the data sets implying that deviations from the commontrend among prices in the different databases are not purely random but are explained by idiosyncraticfactors as well as liquidity, global risk and other trading factors. The lower is the amount of transactionprices available the higher is the deviation among databases. Our results suggest that the CMA databasequotes lead the price discovery process in comparison with the quotes provided by other databases.Several robustness tests confirm these results.
PB National Bureau of Economic Research
SN 0898-2937
YR 2010
FD 2010-12
LK https://hdl.handle.net/10016/13889
UL https://hdl.handle.net/10016/13889
LA eng
DS e-Archivo
RD 18 jul. 2024