relative value between bond and CDS markets, and a key An investor who is long credit risk through CDS The chart illustrates the power of these market-. compare the six major sources of corporate Credit Default Swap prices: GFI, components of the leading market indexes, iTraxx (European firms) and CDX Aug 3, 2018 The following chart plots the Aussie iTraxx and the ASX All Ordinaries Index from January 2007 (i.e. pre-GFC) to date. Source: Bloomberg Figure Keywords: credit derivatives, credit default swap index, CDX, iTraxx, large The table below (Table 3) shows the impact of shock to the indices on equity returns
The Australian credit default swap (CDS) market has been increasingly used by turnover in Australia, and most of this is in the iTraxx Australia index (Graph 8).
Originally formed to provide banks with the means to transfer credit exposure, CDS has grown as an active portfolio management tool. The performance of CDS, like that of corporate bonds, is closely related to changes in credit spreads. This makes them an effective tool for hedging risk, and efficiently taking credit exposure. A credit default swap index is a credit derivative used to hedge credit risk or to take a position on a basket of credit entities. Unlike a credit default swap , which is an over the counter credit derivative, a credit default swap index is a completely standardized credit security and may therefore be more liquid and trade at a smaller bid (*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate. Because CDS theoretically represent a credit risk to the dealer (i.e. the dealer accepts the credit risk of a borrower in exchange for premium payments), a CDS is essentially priced by assuming that the dealer of the CDS is compensated for this credit risk through a credit spread over a risk-free security. A credit default swap (CDS) is a financial derivative or contract that allows an investor to "swap" or offset his or her credit risk with that of another investor. For example, if a lender is worried that a borrower is going to default on a loan, the lender could use a CDS to offset or swap that risk.
Jun 12, 2012 Table 1 gives summary statistics for the average daily number of trades for CDS on the top 1,000 single-name reference entities and for index
iTraxx indices are a family of European, Asian and emerging market tradable credit default swap indices. The rules-based iTraxx indices comprise the most liquid names in the European, Asian, Middle Eastern and African markets. The selection methodology ensures that the indices are replicable and represent the most liquid, traded part of the market. AssetMacro provides historical data for 4,000 Credit Default Swap Indicators covering Sovereign CDS and Corporate CDS. Enter your Email below to Download Historical Credit Default Swaps Data in Excel or via Quantitative Python API and get access to 120,000+ Macroeconomic, Financial Indicators and Market Data covering Stocks, Bonds, Commodities, Currencies and Financial Indices of 150 countries.