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.
2025-10-12 13:32:00 Sunday 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
2018-09-05 08:34:00 Wednesday ET
Citron Research short-sellers initiate a class-action lawsuit against Tesla and its executive chairman Elon Musk because he might have deliberately orchestr
2020-10-13 08:27:00 Tuesday ET
Agile lean enterprises strive to design radical business models to remain competitive in the face of nimble startups and megatrends. Carsten Linz, Gunter
2017-08-01 09:40:00 Tuesday ET
In American states, all of the Top 4 richest people are self-made billionaires: Bill Gates in Washington, Warren Buffett in Nebraska, Michael Bloomberg in N
2026-01-19 10:30:00 Monday ET
Andy Yeh Alpha (AYA) fintech network platform: major milestones, key product features, and online social media services Introduction
2026-01-31 10:31:00 Saturday ET
In recent years, several central banks conduct, assess, and discuss the core lessons, rules, and challenges from their monetary policy framework r
