Credit Risk in a Pandemic
(2021) In Journal of Fixed Income 31(2). p.48-67- Abstract
- Using different measures of how the Covid-19 pandemic progresses, the article confirms that the level of credit risk among US blue chip companies increases in tandem with the spread of the Covid-19 virus. The credit risk escalates dramatically during the pandemic but is still short of the levels seen during the 2008–09 Global Financial Crisis. In addition, the weekly ups and downs in credit risk and virus impact are significantly positively correlated throughout the pandemic. Furthermore, Basel II capital requirements rise drastically when the pandemic strikes but, again, not to the levels in evidence during the Global Financial Crisis.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8d7d6883-6196-488c-b18d-6398a42006c6
- author
- Byström, Hans LU
- organization
- publishing date
- 2021
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Journal of Fixed Income
- volume
- 31
- issue
- 2
- pages
- 20 pages
- publisher
- Portfolio Management Research
- external identifiers
-
- scopus:85120850842
- ISSN
- 1059-8596
- DOI
- 10.3905/jfi.2021.1.116
- language
- English
- LU publication?
- yes
- id
- 8d7d6883-6196-488c-b18d-6398a42006c6
- date added to LUP
- 2021-08-15 09:04:03
- date last changed
- 2022-04-25 03:41:33
@article{8d7d6883-6196-488c-b18d-6398a42006c6, abstract = {{Using different measures of how the Covid-19 pandemic progresses, the article confirms that the level of credit risk among US blue chip companies increases in tandem with the spread of the Covid-19 virus. The credit risk escalates dramatically during the pandemic but is still short of the levels seen during the 2008–09 Global Financial Crisis. In addition, the weekly ups and downs in credit risk and virus impact are significantly positively correlated throughout the pandemic. Furthermore, Basel II capital requirements rise drastically when the pandemic strikes but, again, not to the levels in evidence during the Global Financial Crisis.}}, author = {{Byström, Hans}}, issn = {{1059-8596}}, language = {{eng}}, number = {{2}}, pages = {{48--67}}, publisher = {{Portfolio Management Research}}, series = {{Journal of Fixed Income}}, title = {{Credit Risk in a Pandemic}}, url = {{http://dx.doi.org/10.3905/jfi.2021.1.116}}, doi = {{10.3905/jfi.2021.1.116}}, volume = {{31}}, year = {{2021}}, }