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Finding and using financial data at Princeton University

Guide to major sources of financial data available to Princeton University researchers for academic research.
Markit*

Major source for credit default swap data.  Earliest data tends to be around 2001.  Includes indices and constituents.

Notes:  To obtain CDS sovereigns.
  • Look up the Redcodes (the unique ID in Markit) for the country CDSs and add the variable REFERENCEENTITY
  • Go to the “Entities” section and make “Reference Entity Type = Sov” note that it’s case sensitive. This will give you the country Redcodes.  Upload the Redcodes to the “Credit Default Swap” section as a .txt file
  • For sovereigns the most heavily used time series are “Spread10Y” and “Spread5Y”
  • In the screening variables section, 
    1. Currency: Only check  USD for every CDS. Note that the United States CDS is not priced in USD so you have to get that in a different currency
    2. Document clause: You can buy CDSs that will default based on different criteria.  Generally use “MR”.
      1. See - Per Chodorow-Reich, p 14, the most liquid contracts are contracts with the MR (modified restructuring) clause. "Effects of Unconventional Monetary Policy on Financial Institutions."
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Datastream International* Data is supplied by Credit Market Analysis up to 9/30/10. CMA data has some issues from 2002 but largely starts in 2003. After that data is from Refinitiv. To match on Datastream CMA CDSs (which end in Datastream on 9/30/10) to Thomson Reuters CDSs (which go past 9/30/10), see the DSS site.  Also has credit default swap indexes too. However, these are not continuous (not "on the run") & only the CDS industry indexes are available after 9/30/10. Available on the workstations located near Firestone A-13-J & Stokes Library through Refinitiv Workspace. 
Bloomberg* Type CDSD and hit [GO].  Also has many of the major credit default swap (CDS) indexes. These are continuous ( "on the run"). Type CDXI [GO] Available on the workstations located near Firestone A-13-J, Robertson 046, Andlinger 211A, Master of Finance lounge in JRR, and Sherrerd lower level. 


 

*Must be used for academic purposes only, that is, to support the teaching and research of Princeton