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Credit Risk in a Pandemic

Byström, Hans LU (2021) In Working Papers
Abstract
Using different measures of how the Covid-19 pandemic progresses we find that the level of credit risk among US blue chip companies increases in tandem with the Covid-19 virus spreading. The credit risk increases dramatically during the pandemic, but we find it to be short of the levels seen during the 2008–2009 financial crisis. Furthermore, we find weekly ups and downs in credit risk and virus impact to be significantly positively correlated throughout the pandemic. Finally, Basel II capital requirements increase drastically when the pandemic strikes but, again, not to the levels seen during the financial crisis.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working paper/Preprint
publication status
published
subject
keywords
credit risk, covid-19, equity market, debt market, CDS, Merton model, Basel II, G10, G33, I18
in
Working Papers
issue
2021:1
pages
31 pages
language
English
LU publication?
yes
id
e2c4ac72-11ed-4dda-857c-bee1ae618215
date added to LUP
2021-01-14 12:46:27
date last changed
2024-03-11 13:53:52
@misc{e2c4ac72-11ed-4dda-857c-bee1ae618215,
  abstract     = {{Using different measures of how the Covid-19 pandemic progresses we find that the level of credit risk among US blue chip companies increases in tandem with the Covid-19 virus spreading. The credit risk increases dramatically during the pandemic, but we find it to be short of the levels seen during the 2008–2009 financial crisis. Furthermore, we find weekly ups and downs in credit risk and virus impact to be significantly positively correlated throughout the pandemic. Finally, Basel II capital requirements increase drastically when the pandemic strikes but, again, not to the levels seen during the financial crisis.}},
  author       = {{Byström, Hans}},
  keywords     = {{credit risk; covid-19; equity market; debt market; CDS; Merton model; Basel II; G10; G33; I18}},
  language     = {{eng}},
  note         = {{Working Paper}},
  number       = {{2021:1}},
  series       = {{Working Papers}},
  title        = {{Credit Risk in a Pandemic}},
  url          = {{https://lup.lub.lu.se/search/files/173630496/WP21_1.pdf}},
  year         = {{2021}},
}