Kamakura has added credit default swap (CDS) correlations for 16,000 CDS to its online credit information service.Kamakura, based in Honolulu, will publish quotations for 16,000 companies covered by its Kris information service. It will also publish default correlations for 2.8 billion pairs of companies.
CDS quotations for maturities of one, two, three, four, five, seven and 10 years will be calculated using Kamakura's own hybrid model.
The company said its data would allow CDO analysts to use more accurate correlation and credit spread figures: "CDO analysts have been forced to make simple assumptions about default correlations and credit spreads because of a lack of data," says Warren Sherman, Kamakura president and chief operating officer. "Research by Kamakura and many others shows that credit spreads are not determined by default probabilities and recovery rates alone."
Topics: Kamakura Corp
More on Credit Derivatives
Active deals seen as “the next step” after last year’s revival of static CDOs
Risk Awards 2015: BlueMountain founder is at the centre of a changing market
Innovative approach finds best CDS prices often come from the buy side
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.