Credit Risk in a Pandemic

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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.
Originalspråkengelska
Sidor (från-till)48-67
Antal sidor20
TidskriftJournal of Fixed Income
Volym31
Utgåva2
Tidigt onlinedatum2021
DOI
StatusPublished - 2021

Ämnesklassifikation (UKÄ)

  • Nationalekonomi

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