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Hans Byström

Professor

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Credit Risk in a Pandemic

Författare

  • Hans Byström

Summary, in English

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.

Avdelning/ar

  • Nationalekonomiska institutionen

Publiceringsår

2021

Språk

Engelska

Publikation/Tidskrift/Serie

Working Papers

Avvikelse

2021:1

Dokumenttyp

Working paper

Ämne

  • Economics

Nyckelord

  • credit risk
  • covid-19
  • equity market
  • debt market
  • CDS
  • Merton model
  • Basel II
  • G10
  • G33
  • I18

Aktiv

Published