论文标题
所有信用默认交换数据库是否相等？
Are all Credit Default Swap Databases equal?
论文作者
论文摘要
我们比较了公司信用违约互换价格的五个主要来源：GFI，Fenics，Reuters，CMA和Markit，使用ITRAXX中最流动的单名5年CD和2004年至2010年的CDX索引。从不同数据库中的价格偏差并不是随机的，但差异不随机，但由IDIOSANCRIOSANCRISATIOS INFORTICTIOSANCRISANCRISANCRIOSANCRIOSANCRIASE CANTION CANTRATION CANTICTIOSANGENCTIOS ADIOSANCE CANDACTIOS AFNACTIOS AFNACTIOS，以及其他差异，以及其他差异。 CMA行情领导价格发现过程。此外，我们发现在股票和CDS收益之间的价格发现分析结果中，数据库之间没有完全协议。
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.
