Are All Credit Default Swap Databases Equal?. (24th June 2013)

• Record Type: Journal Article
• Authors: Mayordomo, Sergio; Peña, Juan Ignacio; Schwartz, Eduardo S.
• Is Part Of: European financial management. Volume 20:Number 4(2014:Sep.)
• Page Start: 677
• Page End: 713
• Publication Date: 2013-06-24
• Subjects: Finance -- European Union countries -- Periodicals; International finance -- Periodicals; Corporations -- European Union countries -- Finance -- Periodicals; 332.094
• DOI: 10.1111/j.1468-036X.2013.12023.x
• Languages: English
• ISSNs: 1354-7798

Abstract

<abstract abstract-type="main" xml:lang="en"> <title>Abstract</title> <sec id="eufm12023-sec-0001" sec-type="section"> <p>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.</p> </sec> </abstract>