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.
2023-09-28 08:26:00 Thursday ET
Daron Acemoglu and James Robinson show a constant economic tussle between society and the state in the hot pursuit of liberty. Daron Acemoglu and James R
2019-01-11 10:33:00 Friday ET
The Economist Intelligence Unit (EIU) continues to track major business risks in light of volatile stock markets, elections, and geopolitics. EIU monitors g
2019-10-31 13:38:00 Thursday ET
AYA Analytica finbuzz podcast channel on YouTube October 2019 In this podcast, we discuss several topical issues as of October 2019: (1)
2017-10-03 18:39:00 Tuesday ET
President Trump has nominated Jerome Powell to run the Federal Reserve once Fed Chair Janet Yellen's current term expires in February 2018. Trump's
2023-08-28 08:26:00 Monday ET
Jared Diamond delves into how some societies fail, succeed, and revive in global human history. Jared Diamond (2004) Collapse: how societies
2025-06-20 08:27:00 Friday ET
President Trump poses new threats to Fed Chair monetary policy independence again. We describe, discuss, and delve into the mainstream reasons, conc
