Home > Library > An empirical implementation of CreditGrades
Author Andy Yeh Alpha
This research article empirically implements the novel and non-obvious credit risk model CreditGrades.
Description:
We use the CreditGrades credit risk model to value credit default swap (CDS) spreads for public companies at the intersection of the S&P 100 index and Moody's Bottom Rung report for the global financial crisis period from 2007Q3 to 2009Q2. We implement this canonical credit risk model in accordance with the *CreditGrades technical document* jointly developed by Goldman Sachs, JP Morgan, Deutsche Bank, and RiskMetrics. Our empirical study focuses on the strengths and weaknesses of the chosen risk model by analyzing the main empirical results with several complementary statistical and qualitative tests for better triangulation.
2025-06-28 10:39:00 Saturday ET
Former New York Times science author and Harvard psychologist Daniel Goleman explains why great mental focus serves as a vital mainstream driver of personal
2017-06-09 06:37:00 Friday ET
To complement President Trump's pro-business economic policies such as low taxation, new infrastructure, greater job creation, and technological in
2019-02-04 07:42:00 Monday ET
Federal Reserve remains patient on future interest rate adjustments due to global headwinds and impasses over American trade and fiscal budget negotiations.
2019-04-15 08:37:00 Monday ET
Chinese Belt-and-Road funds large international infrastructure investment projects primarily in East Asia, Central Asia, North Africa, and Italy. Chinese Be
2018-08-01 11:43:00 Wednesday ET
Apple becomes the first company to hit $1 trillion stock market valuation. The tech titan sells about the same number of smart phones or 41 million iPhones
2025-10-01 10:29:00 Wednesday ET
Stock Synopsis: With a new Python program, we use, adapt, apply, and leverage each of the mainstream Gemini Gen AI models to conduct this comprehensive fund
