Tuesday, September 16, 2008

CDR Counterparty Risk Index Swamps March High

Credit Derivatives Research has a Counterparty Risk Index (and a number of related sub-indices) which calculates the average credit spread of the 15 largest credit derivative dealers. Following the recent turmoil in the credit markets, the index now stands more than 50% higher than the previous March 2008 high.

Not surprisingly, the Markit CDX (credit default swap) indices are seeing similar spikes.

[graphic courtesy of Credit Derivatives Research]

4 comments:

JB said...

Does anyone know where to get real time quotes for the VIX?

It is delayed on the CBOE website and through Yahoo Finance real time quotes service.

Bill Luby said...

Your best bet is to get it through your broker.

Anonymous said...

being tracking the CDX, its indexes being consolidating for the past weeks. this puzzled me since the market being tanking during that time. then suddenly it makes a dramatic spike up on monday. guess it was making up for the complacency the past weeks.

jimmy

Distressed Volatility said...

I like creditresearch.com, thanks for that update.

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