Application of the CreditGrades™ Model to Sovereign Credit Default Swaps

被引：0
|
作者：
Tian, Yuan [1 ]
Novotny, Josef [1 ]
机构：
[1] VSB Tech Univ Ostrava, Dept Finance, Fac Econ, Sokolska Trida 33, Ostrava 70200, Czech Republic
来源：
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2017年
关键词：
Sovereign CDS; credit risk; CreditGardes (TM); sovereign debt; structural model; SECURITIES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The topic of the paper is application of the CreditGrades (TM) model to sovereign credit default swaps. The goal is to estimate a benchmark for the CreditGrades (TM) model, one of structural models, and apply it to forecast the prices of sovereign credit default swaps. The prices of sovereign CDSs of ten selected countries are calculated by the modified CreditGrades (TM) model, and the results are compared with the real prices of sovereign CDSs. The results show that the CreditGrades (TM) model can track credit spreads well and provide timely information about the real sovereign CDS prices, but some appropriated modifications are still required.
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页码：843 / 850
页数：8
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