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.
2018-03-05 07:34:00 Monday ET
Peter Thiel shares his money views of President Trump, Facebook, Bitcoin, global finance, and trade etc. As an early technology adopter, Thiel invests in Fa
2019-04-15 08:37:00 Monday ET
Chinese Belt-and-Road funds large international infrastructure investment projects primarily in East Asia, Central Asia, North Africa, and Italy. Chinese Be
2019-12-28 09:36:00 Saturday ET
Global debt surges to $250 trillion in the fiscal year 2019. The International Institute of Finance analytic report shows that both China and the U.S. accou
2023-12-04 12:30:00 Monday ET
Bank leverage and capital bias adjustment through the macroeconomic cycle Abstract We assess the quantitative effects of the recent proposal
2019-11-17 14:43:00 Sunday ET
New computer algorithms and passive mutual fund managers run the stock market. Morningstar suggests that the total dollar amount of passive equity assets re
2023-05-27 11:30:00 Saturday ET
Bank failure resolution and financial risk management: Silicon Valley Bank, Signature Bank, and First Republic Bank. What are the main root cau
