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.
2024-02-05 11:26:00 Monday ET

China poses new economic, technological, and military threats to the U.S. and many western allies. In the U.S. government assessment, China poses new eco
2018-07-19 18:38:00 Thursday ET

Goldman Sachs chief economist Jan Hatzius proposes designing a new Financial Conditions Index (FCI) to be a weighted-average of interest rates, exchange rat
2026-02-28 10:29:00 Saturday ET

AYA fintech network platform provides proprietary alpha stock signals and personal finance tools for stock market investors. As of March 2026, we have up
2019-07-23 09:22:00 Tuesday ET

Harvard economic platform researcher Dipayan Ghosh proposes some alternative solutions to breaking up tech titans such as Facebook, Google, Apple, and Amazo
2022-03-15 10:32:00 Tuesday ET

Capital structure theory and practice The genesis of modern capital structure theory traces back to the seminal work of Modigliani and Miller (1958
2025-01-31 09:26:00 Friday ET

The current homeland industrial policy stance worldwide seeks to embed the new notion of global resilience into economic statecraft. In the broader cont