Are All Credit Default Swap Databases Equal? Articles uri icon

publication date

  • September 2014

start page

  • 677

end page

  • 713

issue

  • 4

volume

  • 20

International Standard Serial Number (ISSN)

  • 1354-7798

Electronic International Standard Serial Number (EISSN)

  • 1468-036X

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.

keywords

  • 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; error rates; risk; market; spreads; diversification; compustat; contagion; models; equity; crsp