CMA leads credit risk price discovery according to independent study
Jan Thu 13 2011 at 11.27 am
A recent independent study by the National Bureau of Economic Research 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, EOD, Fenice, GFI, JP Morgan and Markit), using the most liquid single name 5-year CDS of the components 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.