Where can I download the CDS data or defaultable zero bond price data online?

robert32310 · March 10th, 2004, 1:41 am

I am PhD student in credit risk.I want to calibrate the default probability by using the real CDS spread. Do you know where can I download the data for credit default swap (CDS) ? THe data for defaultable zero bond is also OK. Creditgrades, creditex, enron don't have the history data. Morganmarkets needs an account. I am very sad now. I can't progress without any data. If any one of you have history data, I would like to buy it from you. Please pm me with any suggestion or help.Thanks a lot.

madmax · March 10th, 2004, 1:28 pm

what frequency are you looking for ? You can find some CDS data on Bloomberg if you have access to it. I do not know how good it is. You need to use the function CDSD, or CDSW I do not remember. But you should not have a lot of problems to get your hands on it. defaultable zero coupon, no way: you need to construct them by yourself.Try to get in touch with Houwelig. he used a lot of data on his PhD. He is working for some Dutch bank.Which topic are you working on ?

dgn2 · March 10th, 2004, 2:13 pm

BB data is terrible. You will not find a source of free CDS data.

robert32310 · March 10th, 2004, 10:05 pm

I am working on dependent portfolio risk. The best example would be CDS or COD. I had stopped for a while for the reason of data. I knew there was no free lunch. If anyone has it, no matter how old it is, I would buy it from you. Thanks a lot.