Independent study finds that CMA leads credit risk price discovery

25 January 2011

A recent independent study( attached) 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, Reuters EOD, Fenics, GFI, JP Morgan and Markit), using the most liquid single name 5-year CDS of the constituents 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.

It was published by Sergio Mayordomo, (Comisión Nacional del Mercado de Valores (CNMV) - Department of Research and Statistics, Madrid, Spain), J. Ignacio Pena, (Universidad Carlos III de Madrid - Department of Business Administration, Spain) and Eduardo S. Schwartz, (University of California, Los Angeles (UCLA) - Finance Area; National Bureau of Economic Research (NBER)).

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