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.
2018-09-07 07:33:00 Friday ET

The Economist re-evaluates the realistic scenario that the world has learned few lessons of the global financial crisis from 2008 to 2009 over the past deca
2018-05-04 06:29:00 Friday ET

Commerce Secretary Wilbur Ross suggests that 5G remains a U.S. top technology priority in light of the telecom merger proposal between Sprint and T-Mobile a
2017-04-13 10:42:00 Thursday ET

President Donald Trump unveils the dramatic *tax overhaul proposal*. Through this tax plan, Trump replaces the current 7 income tax brackets with 3 leane
2018-11-01 08:36:00 Thursday ET

Ford and Baidu team up to test autonomous cars in China. For the next few years, Ford and Baidu plan to collaborate on the car design and user acceptance te
2019-01-12 10:33:00 Saturday ET

With majority control, House Democrats pass 2 bills to reopen the U.S. government without funding the Trump border wall. President Trump makes a surprise Wh
2017-11-17 09:42:00 Friday ET

The Trump administration garners congressional support from both Senate and the House of Representatives to pass the $1.5 trillion tax overhaul (Tax Cuts &a