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losemind1


Total Posts: 18
Joined: Oct 2011
 
Posted: 2011-11-29 04:17

where can I find CDX and CDS historical data?

Hi all,

Are there downloadable historical data for CDX and CDS?

Thanks a lot!


Scotty


Total Posts: 721
Joined: Jun 2004
 
Posted: 2011-11-29 04:42
Markit Partners or large investment banks.

“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.”

Cheng


Total Posts: 2836
Joined: Feb 2005
 
Posted: 2011-11-29 08:34
Also Bloomberg but I wouldn't trust them in terms of data quality. MarkIt is the better solution.

"He's walking like a small child / But watch his eyes burn you away / Black holes in his golden stare / God knows he wants to go home / Children of the damned"

Bachelier
Transparent Doppelgänger

Total Posts: 692
Joined: Dec 2005
 
Posted: 2011-11-29 09:56
CME *has* the data, but are very poor at marketing it and vending it.

http://www.finextra.com/news/fullstory.aspx?newsitemid=18254

You can contact them for custom data cuts. I'm not sure if they still brand it "CMA" or not.

"Being a graduate student is like becoming all of the Seven Dwarves. In the beginning you're Dopey and Bashful. In the middle, you are usually sick (Sneezy), tired (Sleepy), and irritable (Grumpy). But at the end, they call you Doc, and then you're Happy."

gill


Total Posts: 190
Joined: Nov 2004
 
Posted: 2011-11-29 11:53
Do you need tranches or indices?

nnja


Total Posts: 236
Joined: Jul 2007
 
Posted: 2011-11-29 14:24
Also Bloomberg but I wouldn't trust them in terms of data quality. MarkIt is the better solution.

OK to trust BBG if you set pricing source as MKIT :)

I don't always test code, but when I do, I prefer it to be in production.

losemind1


Total Posts: 18
Joined: Oct 2011
 
Posted: 2011-11-29 15:46

Thank you and thanks everyone helping me here.

I am actually looking for free public data... for indices ...  wanted to try something at home...

Thanks a lot!


Bachelier
Transparent Doppelgänger

Total Posts: 692
Joined: Dec 2005
 
Posted: 2011-11-29 16:15
http://finance.yahoo.com/q/hp?s=XTXC.MI&a=06&b=22&c=1999&d=10&e=29&f=2011&g=d

"Being a graduate student is like becoming all of the Seven Dwarves. In the beginning you're Dopey and Bashful. In the middle, you are usually sick (Sneezy), tired (Sleepy), and irritable (Grumpy). But at the end, they call you Doc, and then you're Happy."

losemind1


Total Posts: 18
Joined: Oct 2011
 
Posted: 2011-11-30 02:26

Most of the volumes are 0s? How do I make sense of these data? They don't track the actual credit indices closely?

Thanks!


Cheng


Total Posts: 2836
Joined: Feb 2005
 
Posted: 2011-11-30 08:47
0 vol just means that it didn't trade. Which is not totally uncommon as of lately.

"He's walking like a small child / But watch his eyes burn you away / Black holes in his golden stare / God knows he wants to go home / Children of the damned"

FDAXHunter
Founding Member

Total Posts: 8349
Joined: Mar 2004
 
Posted: 2011-11-30 09:22
That's an ETF on the index you're looking at. It doesn't need to trade every day.

The Figs Protocol.

MoreLiver


Total Posts: 481
Joined: Dec 2004
 
Posted: 2011-11-30 09:58
historical sovereign CDS prices, implied default probs etc at Deutsche Bank's website. EDIT: the original data source is Bloomberg and the daily data goes back by 12 months.

Hard for many to understand inflation, but not for me.

losemind1


Total Posts: 18
Joined: Oct 2011
 
Posted: 2011-11-30 15:22
If it is an ETF on the CDX.NA.IG index, how do I back out the market present value for the CDX? I wanted to understand how close it is to the actual index... Thanks again!

zaza


Total Posts: 1
Joined: Sep 2017
 
Posted: 2017-09-15 18:44
AssetMacro.com covers credit default swaps historical data for approximately 4000 major companies and countries. Visit AssetMacro Credit Default Swaps to search through the database's contents. I think limited data are freely available
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