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Topic Title: CDS data from Bloomberg?
Created On Thu Mar 17, 05 02:39 PM
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vinnie
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Thu Mar 17, 05 02:39 PM
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I am planning to write my thesis on the performance of a CDS pricing model relative to that of a neural network. In a few weeks I will have acces to a Bloomberg terminal. Does anybody has experience with CDS data from Bloomberg? Is it reliable? Or is it better to contact data suppliers like, credittrade, mark-it or creditex?
 
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Wibble
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Thu Mar 17, 05 03:57 PM
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Are you just pricing vanilla CDS?
Are you trying to calc the curve from some other source?
if you want to compare pricing models then what's it matter if your data is up to date?
and finally, the data is generally out of date and a bit crap
 
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vinnie
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Fri Mar 18, 05 01:09 AM
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Yes, I am planning to price single name CDS. What are the major drawbacks of CDS data from BB? Why do most empirical studies use data from other sources?
 
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jomni
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Fri Mar 18, 05 02:52 AM
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CDS data in Bloomberg is good enough... in fact I use it. Bloomberg shows market data. The CDS prices are derived from quotes from different banks. Of couse some people would probably push their own model... Yet even the same model may result into different outputs.

Who is correct? The model or the market? Well one thing is for sure, deals are done on market prices and not theoretical model prices.

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visity my (dead) blog:

rmquant.blogspot.com
 
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Wibble
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Fri Mar 18, 05 09:02 AM
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BBG is not tick data i don't think it's even end of day data as the spreads are often wildly different, but as jomni says, the price is the price, you can have what you consider to be the best model in the world, but if everyone else is trading 5 bps away, guess where the price is?
 
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renikus
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Tue May 16, 06 05:34 PM
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What is the frequency of this CDS data and how deep is the time-series?

Im looking to test a CDO model and am trying to get hold of iTraxx time series (or CDX/iBoxx together) and time series of the the underlying obligor CDS spreads.

Rgds,

R.


 
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mrowell
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Wed May 17, 06 06:55 AM
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Regarding iTraxx constituents, Bloomberg provide excel sheets t grab curve data for each name. Look in help for iTraxx there will be a bunch of XLS files.

Mark
 
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renikus
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Wed May 17, 06 08:49 AM
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Sounds great, I dont have access to Bloomberg at the moment, but if I were to get access , how far do the curves go back, or are they just daily?

Rgds,

Ren.
 
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Wibble
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Wed May 17, 06 09:51 AM
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depends on the entity you're looking at, but most popular curves have 5 years of daily data, however, doesn't mean that was the price it traded at!
 
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MonicaCFA
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Wed May 17, 06 01:59 PM
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I worked at Bloomberg for a while, and if the financial community realized the amounts of errors we found daily, it would just stop using it immediately.
 
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jomni
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Thu May 18, 06 02:36 AM
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I figured. A few days back, I saw a jump in CDS spreads for a sovereign. This for sure is an error as counterparty quotes were extremely different. After a few days, spread history was fixed. This will matter much to people who have automated systems that directly process bloomberg fields without prior checking.

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visity my (dead) blog:

rmquant.blogspot.com
 
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Gmike2000
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Fri May 19, 06 12:15 AM
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Bloomberg CDS quotes are a freaking mess. There is no convention for getting the tickers for the curve points (e.g. like there is an easy convention for swap rates e.g. USSW5, EUSA10)...some names use 4 character tickers for 1-9 yr curve points, then 3 character tickers for 10+ points. Some others dont. Why?! Some curve points are up to date, some others may be 2 weeks old. Always load the time stamp of last update along with the quotes, so you can weed out the old ones.

For itraxx quotes, there is also no guarantee they are correct. This is because the given quotes come from many different sources and are sort of averaged. So what you download for, say, 7yr Hivol may well be a few bps away from the market if some stoupid bank keeps a stale quote for a couple of days. This is also true for many less liquid single name quotes by the way. I pull the itraxx quotes directly from the dealer sites on Bloomberg (e.g. JPM, Deutsche, Morgan Stanley...NOT HVB...)

Also, on top of all of the above, Bloomberg apparently does something to the numbers that the banks provide them with. For example, banks "roll" single name CDS every 3months (just like futures), but Bloomberg for some reason transforms them into constant maturity unless you change your personal default settings. This is crap...bloomberg should not fiddle with the data. On top of that, nobody....NOBODY...at bloomberg could tell me exactly what is done to the quotes. Not even the "credit specialist" they sent to my office (a talking head...an empty one).

Oh and by the way, the excel sheets they provide for the underlying tickers for itraxx and cdx are incorrect for some of the names. I could probably keep rambling on and on...it is time bloomberg gets some serious competition.

Edited: Thu Aug 17, 06 at 02:45 PM by Gmike2000
 
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johanneswunsch
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Mon Feb 23, 09 03:00 PM
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Can you tell me how to change the personal settings such that you get the fixed-maturity quotes instead of the constant maturity ones?

regards
Johannes
 
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