Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
An empirical implementation of CreditGrades
Andy Jia-Yuh Yeh
Abstract
ABSTRACT
We use the CreditGrades credit risk model to value credit default swap spreads for companies found at the intersection of the S&P 100 index and Moody's Bottom Rung report for the period 2007Q3-2009Q2. We implement the above credit risk model in accordance with the "CreditGrades technical document" jointly developed by Deutsche Bank, Goldman Sachs, JP Morgan and RiskMetrics. This paper focuses on the strengths and weaknesses of the chosen model by analyzing the main results using a number of statistical and qualitative tests.
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