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Sovereign Credit Default Swaps And Consensus Credit Estimates

Posted by on Apr, 20 2016.

This White 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.

 

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Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk. Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.


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