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?

  • $\begingroup$ I suggest making your question more specific. What CDS spread data? Indices? Single names? Sovereigns? What tenor(s)? Which "exact period"? $\endgroup$
    – user42108
    May 25 '21 at 18:28
  • $\begingroup$ Please clarify why you say that you can't find the data you need through Bloomberg. I'd expect the daily closes with source = CMAN to be adequate. Are you looking specifically for "IHS Markit" CDS spreads, which are not on Bloomberg? Also, I don't think CRSP has CDS spreads. $\endgroup$ May 25 '21 at 18:32
  • $\begingroup$ The idea of my thesis was to look at stock price reactions of companies and CDS spread changes over three periods (1) 01/30/2020 to 02/28/2020, (2) 03/02/2030 to 03/26/2020 (3) 01/30/2020 to 03/26/2020, and with various maturities CDS 6M, 1Y, 5Y, 10Y. I will then link firms’ stock price and CDS reactions to firms’ characteristics such as rollover risk in the quarter prior to the COVID crisis to study the cross-sectional variation in the market reactions to the shocks. I also want so include standard firm-level control variables to see how the shook effected single companys. $\endgroup$ May 25 '21 at 18:43
  • $\begingroup$ @DimitriVulis I unfortunately no access to IHS Markit spreads with my licencse of the university. I only have acces to 5y CDS and for my thesis it is not enough. $\endgroup$ May 25 '21 at 18:48
  • $\begingroup$ @user42108 It would be nice to have data on the whole market, but for me only 125 would be enough as in, for example, the index listed at Bloomborg as ,,IG/ Corp - MARKIT CDX IG''. $\endgroup$ May 25 '21 at 18:49

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

  • $\begingroup$ It's possible BBG restricts download of =CMAN data even if it can be viewed in the terminal. This certainly applies to BVOL which would be the likely source of put vols. $\endgroup$
    – user42108
    May 26 '21 at 16:40

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