Sovereign CDS and Bond Pricing Dynamics in the Euro-Area
Apr Thu 12 2012 at 9.00 am
A recent study by the National Bureau Of Economic Research looks at the pricing dynamics of sovereign CDS and Bonds within Europe. CMA’s historical sovereign data for both CDS and Bonds was selected for this report based on its credibility and reputation within the financial market and academic practices worldwide.
A recent study by the National Bureau Of Economic Research looks at the pricing dynamics of sovereign CDS and Bonds within Europe. CMA’s historical sovereign data for both CDS and Bonds was selected for this report based on its credibility and reputation within the financial market and academic practices worldwide.
The report suggests that the sovereign CDS market is ahead of the sovereign Bond market when it comes to price discovery.
Liquidity Commonalities in the CDS Market
Apr Wed 11 2012 at 9.00 am
An independent study looking at how the commonality’s within the CDS market differs within the time period of 2005-2010. CMA's historical CDS data was chosen by the authors as the basis for this academic report based on our reputation for reliable data and unique liquidity metrics.
An independent study looking at how the commonality’s within the CDS market differs within the time period of 2005-2010. CMA's historical CDS data was chosen by the authors as the basis for this academic report based on our reputation for reliable data and unique liquidity metrics.
The report finds that commonalities vary over time, and are strongest at times when counterparty risk, global risk and funding costs increase. Other factors which have less effect on the liquidity commonalities include: the firms market value, the magnitude of the CDS spread, the effect of derived data, instead of observed CDS prices or the existence of several influential single-name CDS with the highest credit risk. The report concludes that the CDS market has a higher probability (compared to the stock market) of suffering sudden changes in aggregate liquidity.
Are All Credit Default Swap Databases Equal?
Jan Thu 13 2011 at 11.27 am
A recent independent study by the National Bureau of Economic Research found that " different data sources do not reflect credit risk information equally efficiently and that CMA' Datavision "leads the credit risk price discovery process."
A recent independent study by the National Bureau of Economic Research found that " different data sources do not reflect credit risk information equally efficiently and that CMA' Datavision "leads the credit risk price discovery process."
The study compares the six major sources of corporate credit default swap prices (CMA, EOD, Fenice, GFI, JP Morgan and Markit), using the most liquid single name 5-year CDS of the components of the leading market indexes, (iTraxx for European firms and CDX for US firms) from 2004 to 2010. It found systematic departures from the common trend across these data sources and the price discovery analysis across the six data sources found that CMA Datavision contributes to the "formation of prices" to a greater extent than the other data sources, providing newer and more influential information.
Liquidity Signals in the CDS Markets
Jul Mon 26 2010 at 9.04 am
On the day when KfW wired €300m to the defaulted Lehman Bros, it became clear that a new regime for risk control and counterparty risk assessment was required.
On the day when KfW wired €300m to the defaulted Lehman Bros, it became clear that a new regime for risk control and counterparty risk assessment was required.
No longer could the middle office operate in an end-of day or end-of-week environment whilst the front office operated in real-time. There was a requirement to extend dynamic environments from the front office into departments responsible for managing counterparty credit risk.
This article illustrates how an institution can significantly enhance their ability to actively manage their counterparty credit exposures by using CDS market activity information provided by CMA's independent CDS data service. This article will also introduce CMA's market activity indicators, which provide CDS market information that is not contained in CDS price levels but can have a significant and valuable impact on counterparty credit assessment.
