Journal of Credit Risk

Risk.net

An empirical implementation of CreditGrades

Andy Jia-Yuh Yeh

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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