{"title":"流行病中的信用风险","authors":"H. Byström","doi":"10.3905/JFI.2021.1.116","DOIUrl":null,"url":null,"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. Key Findings ▪ Two separate markets, the equity market and the credit (derivatives) market, are used to assess the level of credit risk. The level of credit risk among US blue chip companies increases in tandem with the spread of the Covid-19 virus. ▪ Using different measures of how the Covid-19 pandemic progresses, the weekly ups and downs in credit risk and virus impact are significantly positively correlated throughout the pandemic. ▪ The Basel II capital requirements increase significantly when the pandemic strikes but not to the levels seen during the 2008–09 Global Financial Crisis.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"31 1","pages":"48 - 67"},"PeriodicalIF":0.0000,"publicationDate":"2021-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Credit Risk in a Pandemic\",\"authors\":\"H. Byström\",\"doi\":\"10.3905/JFI.2021.1.116\",\"DOIUrl\":null,\"url\":null,\"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. Key Findings ▪ Two separate markets, the equity market and the credit (derivatives) market, are used to assess the level of credit risk. The level of credit risk among US blue chip companies increases in tandem with the spread of the Covid-19 virus. ▪ Using different measures of how the Covid-19 pandemic progresses, the weekly ups and downs in credit risk and virus impact are significantly positively correlated throughout the pandemic. ▪ The Basel II capital requirements increase significantly when the pandemic strikes but not to the levels seen during the 2008–09 Global Financial Crisis.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"31 1\",\"pages\":\"48 - 67\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-07-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/JFI.2021.1.116\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/JFI.2021.1.116","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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. Key Findings ▪ Two separate markets, the equity market and the credit (derivatives) market, are used to assess the level of credit risk. The level of credit risk among US blue chip companies increases in tandem with the spread of the Covid-19 virus. ▪ Using different measures of how the Covid-19 pandemic progresses, the weekly ups and downs in credit risk and virus impact are significantly positively correlated throughout the pandemic. ▪ The Basel II capital requirements increase significantly when the pandemic strikes but not to the levels seen during the 2008–09 Global Financial Crisis.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.