Credit Risk in a Pandemic

Research output: Contribution to journalArticlepeer-review

1 Citation (SciVal)

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.
Original languageEnglish
Pages (from-to)48-67
Number of pages20
JournalJournal of Fixed Income
Volume31
Issue number2
Early online date2021
DOIs
Publication statusPublished - 2021

Subject classification (UKÄ)

  • Economics

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