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.
2018-07-30 11:36:00 Monday ET
Trumpism may now become the new populist world order of economic governance. Populist support contributes to Trump's 2016 presidential election victory
2017-10-15 07:38:00 Sunday ET
Ivanka Trump and Treasury Secretary Steven Mnuchin both press the case for GOP tax legislation as economic relief for the middle-class without substantial t
2023-01-09 10:31:00 Monday ET
Response to USPTO fintech patent protection As of early-January 2023, the U.S. Patent and Trademark Office (USPTO) has approved our U.S. utility patent
2020-10-13 08:27:00 Tuesday ET
Agile lean enterprises strive to design radical business models to remain competitive in the face of nimble startups and megatrends. Carsten Linz, Gunter
2025-03-03 04:11:06 Monday ET
Is higher stock market concentration good or bad for Corporate America? In recent years, S&P 500 stock market returns exhibit spectacular concentrati
2018-01-17 05:30:00 Wednesday ET
European Union antitrust regulators impose a fine on Qualcomm for advancing its key exclusive microchip deal with Apple to block out rivals such as Intel an
