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.
2017-07-25 10:44:00 Tuesday ET
NerdWallet's new simulation suggests that a 25-year-old millennial who earns an inflation-free base salary of $40,456 and saves 15% each year faces a 99
2018-10-23 12:36:00 Tuesday ET
Former Fed Chair Paul Volcker releases his memoir, talks about American public governance, and worries about plutocracy in America. Volcker suggests that pu
2018-08-19 10:34:00 Sunday ET
The World Economic Forum warns that artificial intelligence may destabilize the financial system. Artificial intelligence poses at least a trifecta of major
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
2025-10-07 10:30:00 Tuesday 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
2018-10-15 09:33:00 Monday ET
Several pharmaceutical companies now switch their primary focus from generic prescription drugs to medical specialties such as cardiovascular medications an
