Credit Data Vendors Focus on Liquidity Metrics

In a whitepaper due to be released this week by CME Group's credit data vendor subsidiary Credit Market Analysis, Michal Koblas, senior quantitative analyst at CMA, stresses the importance of analyzing liquidity for risk management purposes, suggesting that certain liquidity indicators-such as the frequency with which market markers issue quotes in certain securities-can act as leading indicators to future movements in credit spreads.

The research studies patterns in quoting activity surrounding

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