collaborators

1 paper

q-fin.RM2022

Are all Credit Default Swap Databases equal?

Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz

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…