Are All Credit Default Swap Databases Equal?

53 Pages Posted: 22 Nov 2010 Last revised: 17 Jan 2013

See all articles by Sergio Mayordomo

Sergio Mayordomo

Banco de España

Juan Ignacio Peña

Universidad Carlos III de Madrid - Department of Business Administration

Eduardo S. Schwartz

Simon Fraser University (SFU); University of California, Los Angeles (UCLA) - Finance Area; National Bureau of Economic Research (NBER)

Multiple version iconThere are 4 versions of this paper

Date Written: January 17, 2013

Abstract

In this study 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 of the components of the leading market indexes, iTraxx and CDX for the period from 2004 to 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 financial institutions financing costs, global risk, and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. The CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Moreover, we find that there is not a full consistency among databases in the results of price discovery (causality) analysis between stock and CDS returns.

Keywords: Credit Default Swap Prices, Databases, Liquidity

JEL Classification: F33, G12, H63

Suggested Citation

Mayordomo, Sergio and Peña, Juan Ignacio and Schwartz, Eduardo S., Are All Credit Default Swap Databases Equal? (January 17, 2013). Available at SSRN: https://ssrn.com/abstract=1713325 or http://dx.doi.org/10.2139/ssrn.1713325

Sergio Mayordomo (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Juan Ignacio Peña

Universidad Carlos III de Madrid - Department of Business Administration ( email )

Calle Madrid 126
Getafe, Madrid, Madrid 28903
Spain
34 91 624 9625 (Phone)
34 91 624 9608 (Fax)

Eduardo S. Schwartz

Simon Fraser University (SFU) ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6
Canada

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-1953 (Phone)
310-206-5455 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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