NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Are all Credit Default Swap Databases Equal?

Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz

NBER Working Paper No. 16590
Issued in December 2010
NBER Program(s):   AP

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.

download in pdf format
   (394 K)

email paper

This paper is available as PDF (394 K) or via email.

Acknowledgments

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w16590

Mayordomo, S., Pena, J.I. and Schwartz, E.S., “Are all Credit Default Swap Databases Equal?”, European Financial Management, forthcoming. 102. Trolle, A.B. and Schwartz, E.S., “The Swaption Cube”, Review of

Users who downloaded this paper also downloaded these:
Stulz w15384 Credit Default Swaps and the Credit Crisis
Bolton and Oehmke w15999 Credit Default Swaps and the Empty Creditor Problem
Eichengreen, Mody, Nedeljkovic, and Sarno w14904 How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
Longstaff, Mithal, and Neis w10418 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Mayordomo, Pena, and Schwartz w15353 Towards a Common European Monetary Union Risk Free Rate
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us