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Sources and Limitations of Historical CDX Credit Risk Data

Article Quant Q&A · Author: Amir Yousefi
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Summary

The document discusses accessible historical credit-risk data for a research project, focusing on CDX credit default swap indexes as a possible proxy. One response says Bloomberg provides CDX data without an extra charge, but notes that its price series may not account for index rolls in a total-return calculation. It offers an example of a Bloomberg series identifier.

Another response points to Markit’s daily “Biggest Credit Movers” reports, which cover CDX and other credit indexes and markets. These reports highlight the largest changes, not necessarily the widest spreads or riskiest credits, so they may not provide a representative credit-risk history. The source also describes Markit’s documentation on methodology and index constituents as useful context. The post does not establish that CDX is a suitable proxy for the credit risk of a particular financial institution, nor does it provide a full historical dataset or assess licensing and coverage constraints.

Key ideas

  • CDX indexes are suggested as a possible source of historical credit-risk data.
  • Bloomberg is described as offering CDX prices, though its series may not adjust for index rolls in total-return calculations.
  • Markit’s daily reports include selected credit-market movers, not necessarily the widest spreads or riskiest names.
  • Methodology and constituent documentation help interpret index data, but CDX suitability for institution-level analysis remains unresolved.

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Fixed incomeStatistics
Full text
# Credit risk data


# Credit risk data












I am trying to get historical data for credit risk and do some analysis on it as a school project. I thought CDX index might be a good proxy for typical credit risk data, but I am not sure. Typically what might be a good and also accessible set of data for credit risk of a financial institution.

Also, if CDX is a good proxy, where can I find historical data for it. I get nothing out of Bloomberg and Markit.com. Is it an extra on Bloomberg?

## Answer by Brian B (score 3, accepted)

https://quant.stackexchange.com/a/7580

CDX is available from Bloomberg at no extra cost, though they do not (so far as I know) form a total-return series that takes rolls into account. See, for example, `CDX HY CDSI S19 5Y PRC Corp` or Bloomberg ID `CXPHY519`.

## Answer by jeff m (score 1)

https://quant.stackexchange.com/a/7575

As others have noted, Markit is a great source for this. For CDX in particular, they publish on a daily basis their "Biggest Credit Movers" which includes CDX, iTraxx, iBoxx, Sovereign Credit improvement/deterioration, and Corporate credit improvement/deterioration. Here is a sample report, which you can also sign up to have emailed to you every day. Keep in mind that this list will only include the largest changes and not the widest spreads/riskiest credit, but for your purposes might prove to have all the data you need.

Also, they have pretty thorough documentation of their methodology, definitions, and index components, which is a huge plus plus.

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.