What exactly are you testing? The actual closure of the nickel market on the LME would at best be a credit default event on Hong Kong Exchange and Clearing derivatives. The CDS market is over-the-counter (OTC) and there is no place to obtain centralized quotes.
It is possible that there are options traded on the parent corp that might have indicated something. There are no options on any American exchanges AFAIK. The problem is the parent corp has a number of exchanges, so the closure of this market might not have been material enough to cause traders to sell the shares or debt.
According to this, there have been 3 clearing house failures in the past 50 years globally.
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Can a clearing house go bust?
They can, but it is very rare given there are several safety nets to burn through before that happens.
Using options to predict rare events is a well studied topic in financial economics: