Bankruptcy, Credit Risk, and High Yield Junk Bonds / Edition 1

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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.
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Product Details

  • ISBN-13: 9780631225638
  • Publisher: Wiley
  • Publication date: 2/25/2002
  • Edition number: 1
  • Pages: 576
  • Product dimensions: 1.25 (w) x 10.00 (h) x 7.00 (d)

Meet the Author

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.
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Table of Contents

List of Figures
List of Tables
Introduction - Corporate Bankruptcy and Financial Markets: An Overview 1
Pt. I Distress Prediction Models and Some Applications 5
1 Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA Models 7
2 Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress 37
3 Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks (The Italian Experience) 60
4 Business Failure Classification Models: An International Survey 81
5 Emerging Market Corporate Bonds - A Scoring System 131
6 Managing a Return to Financial Health 140
7 Valuation, Loss Reserves, and Pricing of Commercial Loans 151
8 An Economic and Statistical Analysis of The Failing Company Doctrine 165
Pt. II Credit Risk Management 181
9 Credit-Risk Measurement and Management: The Ironic Challenge in the Next Decade 183
10 Credit Risk Measurement: Developments Over the Last 20 Years 190
11 Measuring Corporate Bond Mortality and Performance 208
12 Default Rates in the Syndicated Bank Loan Market: A Mortality Analysis 221
13 Almost Everything You Wanted to Know About Recoveries on Defaulted Bonds 242
14 Do Seniority Provisions Protect Bondholders' Investments? 253
15 Aggregate Influences on Business Failure Rates 265
16 An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings 278
Pt. III High Yield "Junk" Bonds and Distressed Securities 297
17 The Default Rate Experience on High-Yield Corporate Debt 299
18 A Yield Premium Model for the High-Yield Debt Market 314
19 Should We Regulate Junk Bonds? 327
20 The High Yield Bond Market: A Decade of Assessment, Comparing 1990 with 2000 331
21 The Implications of Corporate Bond Ratings Drift 345
22 Investing in Distressed Securities: The Anatomy of Defaulted Debt and Equities 364
23 Defaults and Returns on High Yield Bonds: Analysis Through 2000 and Default Outlook 377
24 Market Size and Investment Performance of Defaulted Bonds and Bank Loans: 1987-2000 418
Pt. IV Bankruptcy and Firm Valuation 441
25 A Further Empirical Investigation of the Bankruptcy Cost Question 443
26 Firm Valuation and Corporate Leveraged Restructurings 466
27 Evaluating the Chapter 11 Bankruptcy-Reorganization Process 489
28 Financial Distress and Restructuring Models 505
Index 533
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