Credit Benchmark today announced the publication of their latest White Paper “Sovereign Credit Default Swaps and Consensus Credit Estimates”.
The paper shows that consensus credit risk data sourced from IRB banks can be combined with market data to give realistic, indicative valuations for a broad range of traded and untraded assets.
This framework has many applications, not just for Sovereign CDS but also for Corporate CDS and bonds, as well as bilateral loan insurance pricing and CVA calibrations.
The paper also highlights the risks of relying too heavily on market implied measures – this is especially timely given the recent Basel Committee on Banking Supervision consultation exercise on IRB models.
Credit Benchmark Head of Research David Carruthers said: “This research makes a strong case for the value of Consensus Credit Estimates. It shows that data derived from the combined intelligence of the bank credit analyst community can bring a new level of transparency to asset valuations.”
To read the whitepaper, please click here