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Credit Risk in a Pandemic

Byström, Hans LU (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:
author
organization
publishing date
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}},
}