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.
2025-07-05 11:23:00 Saturday ET

Former New York Times science author and Harvard psychologist Daniel Goleman explains why working with emotional intelligence helps hone our social skills f
2022-09-15 11:38:00 Thursday ET

Capital structure choices for private firms The Kauffman Firm Survey (KFS) database provides comprehensive panel data on 5,000+ American private firms fr
2024-05-05 10:31:00 Sunday ET

Stock Synopsis: Pharmaceutical post-pandemic patent development cycle In terms of stock market valuation, the major pharmaceutical sector remains at its
2019-06-07 04:02:05 Friday ET

The world seeks to reduce medicine prices and other health care costs to better regulate big pharma. Nowadays the Trump administration requires pharmaceutic
2020-03-26 10:31:00 Thursday ET

The unique controversial management style of Steve Jobs helps translate his business acumen into smart product development. Jay Elliot (2012) Leading
2018-07-03 11:42:00 Tuesday ET

President Trump's current trade policies appear like the Reagan administration's protectionist trade policies back in the 1980s. In comparison to th