| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16590 |
| 来源ID | Working Paper 16590 |
| Are all Credit Default Swap Databases Equal? | |
| Sergio Mayordomo; Juan Ignacio Peña; Eduardo S. Schwartz | |
| 发表日期 | 2010-12-09 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap 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 (European firms) and CDX (US firms) 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 liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. Our results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Several robustness tests confirm these results. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w16590 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574265 |
| 推荐引用方式 GB/T 7714 | Sergio Mayordomo,Juan Ignacio Peña,Eduardo S. Schwartz. Are all Credit Default Swap Databases Equal?. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16590.pdf（393KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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