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- W2158587943 abstract "Abstract 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." @default.
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- W2158587943 date "2013-06-24" @default.
- W2158587943 modified "2023-10-05" @default.
- W2158587943 title "Are All Credit Default Swap Databases Equal?" @default.
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- W2158587943 doi "https://doi.org/10.1111/j.1468-036x.2013.12023.x" @default.
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