Application of the CreditGradesTM Model to Sovereign Credit Default Swaps

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237571" target="_blank" >RIV/61989100:27510/17:10237571 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/frpfi/cs/sbornik_prispevku/soubory/Part_III_b.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/frpfi/cs/sbornik_prispevku/soubory/Part_III_b.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Application of the CreditGradesTM Model to Sovereign Credit Default Swaps
Original language description
The topic of the paper is application of the CreditGradesTM model to sovereign credit default swaps. The goal is to estimate a benchmark for the CreditGradesTM 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 CreditGradesTM model, and the results are compared with the real prices of sovereign CDSs. The results show that the CreditGradesTM model can track credit spreads well and provide timely information about the real sovereign CDS prices, but some appropriated modifications are still required.
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions : 11th international scientific conference : 6th - 7th September 2017, Ostrava, Czech Republic : proceedings.
ISBN
978-80-248-4138-0
ISSN
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e-ISSN
2336-162X
Number of pages
8
Pages from-to
843-850
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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