Markit Unveils CDS Sensitivities Service

Markit has added a sensitivities report to its end-of-day prices for credit default swaps (CDS). This new service will provide users with information into how sensitive a particular CDS spread level is to changes in interest rates, credit quality, and recovery assumptions, according to the vendor.

"Having independent data to enable analysis of the relationship between price and variables like interest rates and credit quality is very valuable in giving additional metrics for quantitative and qualitative assessment of the potential volatility of a portfolio," says Armins Rusis, global head of data, indices and research at Markit.

In addition to helping traders make more informed decisions, Markit says that CDS Sensitivities will also help risk managers to comply with IFRS 7 and other regulations that require management to disclose how the firm perceives, measures and manages financial risk.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.