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. The four major and related themes explored here are: Distress Prediction Models. Credit Risk Management. High Yield "Junk" Bonds and Distressed Securities. 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.

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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.


Foreword (J. Fred Weston).



Introduction: Corporate Bankruptcy and Financial Markets: AnOverview. .

Part I: Distress Prediction Models and SomeApplications.

1. Predicting Financial Distress of Companies: Revisiting theZ-Score and Zeta® Models.

2. Introducing Recursive Partitioning for FinancialClassification: The Case of Financial Distress (Halina Frydman andDuen-Li Kao).

3. Corporate Distress Diagnosis: Comparisons Using LinearDiscriminant Analysis and Neural Networks (The Italian Experience)(Giancarlo Marco and Franco Varetto).

4. Business Failure Classification Models: An InternationalSurvey (Paul Narayanan.

5. Emerging Market Corporate Bonds: A Scoring System (JohnHartzell and Matthew Peck).

6. Managing a Return to Financial Health (James K. LaFleur).

7. Valuation, Loss Reserves, and Pricing of CommercialLoans.

8. An Economic and Statistical Analysis of The Failing CompanyDoctrine (Laurie S. Goodman).

Part II: Credit Risk Management.

9. Credit-Risk Measurement and Management: The Ironic Challengein the Next Decade (John B. Caouette and Paul Narayanan).

10. Credit Risk Management: Developments Over the Last 20 Years(Anthony Saunders).

11. Measuring Corporate Bond Mortality and Performance.

12. Default Rates in the Syndicated Bank Loan Market: AMortality Analysis (Heather J. Suggitt).

13. Almost Everything You Wanted to Know About Recoveries onDefaulted Bonds (Vellore M. Kishore).

14. Do Seniority Provisions Protect Bondholders' Investments(Allan C. Eberhart).

15. Aggregate Influences on Business Failure Rates.

16. An Analysis and Critique of the BIS Proposal on CapitalAdequacy and Ratings (Anthony Saunders).

Part III: High Yield "Junk" Bonds and DistressedSecurities.

17. The Default Rate Experience on High-Yield Corporate Debt(Scott A. Nammacher).

18. A Yield Premium Model for the High-Yield Debt Market (JosephC. Bencivenga).

19. Should We Regulate Junk Bonds.

20. The High Yield Bond Market: A Decade of Assessment,Comparing 1990: with 2000.

21. The Implications of Corporate Bond Ratings Drift (Duen-LiKao).

22. Investing in Distressed Securities: The Anatomy of DefaultedDebt and Equities.

23. Defaults and Returns on High Yield Bonds: Analysis Through2000 and Default Outlook (Brenda Karlin).

24. Market Size and Investment Performance of Defaulted Bondsand Bank Loans: 19872000 (Keith Cyrus).

Part IV: Bankruptcy and Firm Valuation.

25. A Further Empirical Investigation of the Bankruptcy CostQuestion.

26. Firm Valuation and Corporate Leveraged Restructurings (RoyC. Smith).

27. Evaluating the Chapter 11 Bankruptcy-ReorganizationProcess.

28. Financial Distress and Restructuring Models (Yehning Chenand J. Fred Weston).


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