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.
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.
2023-12-08 08:28:00 Friday ET
Tax policy pluralism for addressing special interests Economists often praise as pluralism the interplay of special interest groups in public policy. In
2019-04-21 10:07:54 Sunday ET
Central bank independence remains important for core inflation containment in the current age of political populism. In accordance with the dual mandate of
2018-03-09 08:33:00 Friday ET
David Solomon succeeds Lloyd Blankfein as the new CEO of Goldman Sachs. Unlike his predecessors Lloyd Blankfein and Gary Cohn, Solomon has been an investmen
2018-12-29 09:32:00 Saturday ET
Andy Yeh Alpha (AYA) AYA Analytica financial health memo (FHM) podcast channel on YouTube December 2018 AYA Analytica is our online regular podcast and news
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
