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Choosing CDS Data and Volatility Comparisons for a US Market Study

Article Quant Q&A · Author: Mikail Kilic
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Summary

The document concerns sourcing US credit default swap data for a study of the Corona pandemic period. A response suggests that Bloomberg's CMAN historical CDS spreads may be adequate when IHS Markit historical consensus data are unavailable, while noting a preference for the latter. It recommends focusing on the five-year tenor rather than mixing maturities.

For analysis, the response cautions against directly comparing CDS spreads with equity prices. It proposes comparing changes in five-year CDS spreads with changes in implied volatility from put options, and examining whether the correlation differs between stressed and calm periods. This is practical study-design guidance, not a reported empirical result: no dataset, dates, estimates, or correlation findings are provided. The suggested data source is described as a workable substitute, not as equivalent in quality, and the advice depends on the research question and available data access.

Key ideas

  • The response suggests CMAN historical CDS spreads as a possible substitute when IHS Markit data are unavailable.
  • It recommends restricting the CDS analysis to the five-year tenor.
  • It proposes comparing CDS spread changes with put-option implied volatility changes rather than equity prices.
  • It suggests comparing correlations across stressed and calm periods, but reports no empirical findings.

Tags

Fixed incomeOptionsVolatilityStatistics
Full text
# US Market CDS Data during the Corona Pandemic for Bachelor Thesis


# US Market CDS Data during the Corona Pandemic for Bachelor Thesis












I need CDS spread data over the US market. I would need data for an exact period. I can't find the data I need through Bloomberg. Does anyone by any chance have CRSP or WRDS and could help me out?

## Answer by Dimitri Vulis (score 2)

https://quant.stackexchange.com/a/64221

If I understand correctly, you don't have access to IHS Markit historical consensus CDS spreads, but you do have access to CMAN (CMA North America) historical CDS spreads on Bloomberg terminal. While IHS Markit would be a little better data, I think CMAN should be good enough for the study you're describing.

Don't look at any tenors other than 5Y.

Looking at equity price is like comparing apples and oranges. Rather, you should be comparing the changes in 5Y CDS spread to the changes in implied volatlity from put options, which you can get from Bloomberg terminal too.

It would be a good idea to compare the correlation during periods of stress to periods of calm.

Related old question: CDS Spreads and Equity Volatility

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.