I would like to create a risk index based on CDS prices for the largest companies (market value in USD) in the world.
If a company has debts but no CDS, which financial product can I use for the calculation of my risk index?
I know that cash spreads (floating rate note spreads or asset spreads) are in theorie the same as CDS spreads, if the instruments come from the same issuer, but in practice the spreads are different.
Do you know a substitute financial product in the market for CDS spreads to create such a risk index?
I tried to use floating rate note spreads, but their spreads are different in the market (due to fundamental and market factors) in comparison with CDS spreads.
Thanks a lot for your support!
Manuel Fischer
Switzerland
|