Juan Ignacio Pena
Universidad Carlos III
NBER Working Papers and Publications
|December 2010||Are all Credit Default Swap Databases Equal?|
with Sergio Mayordomo, Eduardo S. Schwartz: w16590
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 amou...
Published: Are All Credit Default Swap Databases Equal? Sergio Mayordomo1, Juan Ignacio Peña2 andEduardo S. Schwartz3 European Financial Management Volume 20, Issue 4, pages 677–713, September 2014
|September 2009||Towards a Common European Monetary Union Risk Free Rate|
with Sergio Mayordomo, Eduardo S. Schwartz: w15353
A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most ...