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.
2018-03-11 08:27:00 Sunday ET
At 89 years old, Hong Kong billionaire Li Ka-Shing announces his retirement in March 2018. With a personal net worth of $35 billion, Li has an incredible ra
2018-12-21 11:39:00 Friday ET
The Internet and telecom conglomerate SoftBank Group raises $23 billion in the biggest IPO in Japan. Going public is part of the major corporate move away f
2017-07-07 10:33:00 Friday ET
Warren Buffett invests in American stocks across numerous industries such as energy, air transport, finance, technology, retail provision, and so forth.
2025-09-13 12:23:00 Saturday 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
2018-09-29 12:39:00 Saturday ET
The Securities and Exchange Commission (S.E.C.) sues Elon Musk for his August 2018 tweet that he has secured external finance to convert Tesla into a privat
2016-10-19 00:00:00 Wednesday ET
India's equivalent to Warren Buffett in America, Rakesh Jhunjhunwala, offers several key lessons for stock market investors: When the press o
