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- crazyhorse
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CDS Data
Does anybody know a broker site which provides a CDS term structure (1y-7y) ??Thanks, Ch
CDS Data
QuoteOriginally posted by: crazyhorseDoes anybody know a broker site which provides a CDS term structure (1y-7y) ??Thanks, ChThere are actually excel workbooks you can download from bloomberg that get the correct spreads (bids & offers) for all obligors in iTraxx and CDX (various series).. just do a search for CDX and you should get 7 documents come back.. should be obvious from there. You will of course have to adjust the spreads at each maturity to make the average match the index level at that maturity but not too much of a problem./Mark
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- crazyhorse
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CDS Data
thanks! With most names we made the experience that you just get the 5Y quote and when we compare them with the quotes we get from the investment banks they are not very good. (Markit Partners would be a expensive solution)Cheers, Ch
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- ASbityakov
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CDS Data
markit is very good in my experience. they get the data from all the dealers and run stat methods to clean it up (remove stale curve submissions). they also show the curves from 1 to 30 years although you have to take that with a grain of salt since nothing above 10y ever trades. also for some of the less liquid names 5y has probably over 90% of trading, so you can't trust the other tenors as much.
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- monlavingia
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CDS Data
Does anybody have a paper or a site (or even a provider (although I only have limited access)) to single-name CDS spreads for a number of strikes. Really I only need this data and the underlying cds data to apply to a model that I am building for a thesis.Any ideas would be much appreciated!
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- allenishands
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CDS Data
The data you need is CDS spread data or CDS options data ?Actually options on CDS are traded at OTC so that they are not easily accessible.
CDS Data
QuoteOriginally posted by: monlavingiaDoes anybody have a paper or a site (or even a provider (although I only have limited access)) to single-name CDS spreads for a number of strikes. Really I only need this data and the underlying cds data to apply to a model that I am building for a thesis.Any ideas would be much appreciated!This page has a link for online calculation of CDS spreads for stock symbols. (CreditGrades calculator)Hope it helps
Last edited by asd on May 29th, 2006, 10:00 pm, edited 1 time in total.