Bankruptcy, Credit Risk, and High Yield Junk Bonds

by Altman, Edward I.

• ISBN13: 9780631225638
• ISBN10: 0631225633
• Edition: 1st
• Format: Hardcover
• Copyright: 2002-02-15
• Publisher: Wiley-Blackwell

Summary

This is the authoritative collection of the writings of Dr. Edward I. Altman, the world's leading authority on bankruptcy, corporate distress, and defaults, and creator of the widely-used Z-Score model. This book contains both classic and never-before-published articles, along with Altman's comprehensive introduction that places all the articles in context. The four major and related themes explored here are: bull; bull;Distress Prediction Models. bull;Credit Risk Management. bull;High Yield Junk Bonds and Distressed Securities. bull;Bankruptcy and Firm Valuation. These articles span more than 30 years of contributions to scholarly and professional publications and for government regulatory and policy considerations. Altman's pioneering works have formed the basis for modern credit risk management procedures and policies by practitioners and regulators, and have motivated and guided works from other scholars around the globe.

Author Biography

Edward I. Altman is the Max L. Heine Professor of Finance at the Leonar N. Stern School of Business, New York University. Since 1990, he has directed the research effort in Fixed Income and Credit Markets at the NYU Salomon Center and is currently the Vice-Director of the Center. Professor Altman is the current editor of the Handbook of Corporate Finance and the Handbook of Financial Markets and Institutions.

Table of Contents

List of Figures	vii
List of Tables	ix
Contributors	xvii
Foreword	xxi
J. Fred Weston
Preface	xxiii
Acknowledgments	xxvii
Introduction -- Corporate Bankruptcy and Financial Markets: An Overview	1	(4)
Part I: Distress Prediction Models and Some Applications	5	(176)
Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® Models	7	(30)
Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress	37	(23)
Halina Frydman
Duen-Li Kao
Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks (The Italian Experience)	60	(21)
Giancarlo Marco
Franco Varetto
Business Failure Classification Models: An International Survey	81	(50)
Paul Narayanan
Emerging Market Corporate Bonds -- A Scoring System	131	(9)
John Hartzell
Matthew Peck
Managing a Return to Financial Health	140	(11)
James K. La Fleur
Valuation, Loss Reserves, and Pricing of Commercial Loans	151	(14)
An Economic and Statistical Analysis of The Failing Company Doctrine	165	(16)
Laurie S. Goodman
Part II: Credit Risk Management	181	(116)
Credit-Risk Measurement and Management: The Ironic Challenge in the Next Decade	183	(7)
John B. Caouette
Paul Narayanan
Credit Risk Measurement: Developments Over the Last 20 Years	190	(18)
Anthony Saunders
Measuring Corporate Bond Mortality and Performance	208	(13)
Default Rates in the Syndicated Bank Loan Market: A Mortality Analysis	221	(21)
Heather J. Suggitt
Almost Everything You Wanted to Know About Recoveries on Defaulted Bonds	242	(11)
Vellore M. Kishore
Do Seniority Provisions Protect Bondholders' Investments?	253	(12)
Allan C. Eberhart
Aggregate Influences on Business Failure Rates	265	(13)
An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings	278	(19)
Anthony Saunders
Part III: High Yield ``Junk'' Bonds and Distressed Securities	297	(144)
The Default Rate Experience on High-Yield Corporate Debt	299	(15)
Scott A. Nammacher
A Yield Premium Model for the High-Yield Debt Market	314	(13)
Joseph C. Bencivenga
Should We Regulate Junk Bonds?	327	(4)
The High Yield Bond Market: A Decade of Assessment, Comparing 1990 with 2000	331	(14)
The Implications of Corporate Bond Ratings Drift	345	(19)
Duen-Li Kao
Investing in Distressed Securities: The Anatomy of Defaulted Debt and Equities	364	(13)
Defaults and Returns on High Yield Bonds: Analysis Through 2000 and Default Outlook	377	(41)
Brenda Karlin
Market Size and Investment Performance of Defaulted Bonds and Bank Loans: 1987--2000	418	(23)
Keith Cyrus
Part IV: Bankruptcy and Firm Valuation	441	(92)
A Further Empirical Investigation of the Bankruptcy Cost Question	443	(23)
Firm Valuation and Corporate Leveraged Restructurings	466	(23)
Roy C. Smith
Evaluating the Chapter 11 Bankruptcy-Reorganization Process	489	(16)
Financial Distress and Restructuring Models	505	(28)
Yehning Chen
J. Fred Weston
Index	533