Edward I. Altman

 

RECENT PAPERS

 

Anatomy of Bank Distress: The Information Content of Accounting Fundamentals Within and Across Countries

 

Revisiting the Recidivism-Chapter 22 Phenomenon in the U.S. Bankruptcy System

 

Distressed Firm and Bankruptcy prediction in an international context: a review and empirical analysis of Altman’s Z-Score Model

 

The Role of Distressed Debt Markets, Hedge Funds and Recent Trends in Bankruptcy on the Outcome of Chapter 11 Reorganizations

 

Ultimate Recovery Mixtures

 

The Return/Volatility Tradeoff of Distressed Corporate Debt Portfolios

 

The Value of Non-Financial Information in SME Risk Management

 

Z-Score Models’ application to Italian companies subject to extraordinary administration

 

Corporate financial distress diagnosis model and application in credit rating for listing firms in China

 

Transparent and Unique Sovereign Default Risk Assessment

 

Z-Score Model’s Application to Italian Companies Subject to Extraordinary Administration

 

Revisiting the Altman Definition of Distressed Debt and a New Mechanism for Measuring the Liquidity Premium of the High-Yield Market

 

The Fate of the Euro: It is Still Italia!

 

Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2011 in Review and Outlook

 

The Investment Performance and Market Dynamics of Defaulted Bonds and Bank Loans: 2011 Review and 2012 Outlook

 

Practitioner Related Publications

 

The value of non-financial information in small and medium-sized enterprise risk management

 

Italy: The Hero or the Villain of the Euro

 

Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2010 in Review and Outlook

 

The Investment Performance and Market Dynamics of Defaulted Bonds and Bank Loans: 2010 Review and 2011 Outlook

 

Technical Appendix to “A Simple Empirical Model of Equity-Implied Probabilities of Default”

 

Toward a Bottom-Up Approach to Assessing Sovereign Default Risk

 

ZETA™ Analysis: A new model to identify bankruptcy risk of corporations

 

Business Failure Classification Models: An International Survey

 

Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® Models

 

Corporate Distress Diagnosis: Comparisons using Linear Discriminant Analysis & Neural Networks

 

Predicting Corporate Bankruptcy: The Z-Score Model

 

Managing a Return to Financial Health

 

A Simple Empirical Model of Equity-Implied Probabilities of Default

 

Defaults & Returns in the High-Yield Bond & Distressed Debt Market: The Year 2009 in Review & Outlook

 

The Investment Performance & Market Dynamics of Defaulted Bonds & Bank Loans: 2009 Review & 2010 Outlook

 

Bank Debt versus Bond Debt: Evidence from Secondary Market Prices

 

Avoiding Chapter 22: Why Post-Emergence Liquidity, Profitability and Leverage Make All the Difference

 

The Z-Metrics Methodology for Estimating Company Credit Ratings and Default Risk Probabilities

 

The Reemergence of Distressed Exchanges in Corporate Restructurings

 

The Value of Qualitative Information in SME Risk Management

 

Post-Chapter 11 Bankruptcy Performance: Avoiding Chapter 22

 

An Emerging Market Credit Scoring System for Corporate Bonds

 

Commentary: Bankruptcy With A Twist

 

Why GM Should File for Bankruptcy with a DIP-Twist Help from Its Friends

 

Defaults and Returns in the High-Yield Bond Market: The Year 2007 in Review and Outlook

 

The Investment Performance and Market Size of Defaulted Bonds and Bank Loans: 2007 Review and 2008 Outlook

 

Global Debt Markets in 2007: New Paradigm or the Great Credit Bubble?

 

Corporate Financial Distress Diagnosis in China

 

The Investment Performance and Market Size of Defaulted Bonds and Bank Loans: 2006 Review and 2007 Outlook, February 2007

 

Default and Returns in the High-Yield Bond Market 2006 in Review and Outlook, February 2007

 

About Corporate Default Rates, 2007

 

Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence, 11/2006

 

Modeling Credit Risk for SMEs: Evidence from the US Market, 11/2006

 

Are Historically Based Default and Recovery Models in the High-Yield and Distressed Debt Markets Still Relevant in Today's Credit Environment? - 10/2006

 

Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs

 

The Effects of Rating Through the Cycle on Rating Stability, Rating Timeliness and Default Prediction, March 2005

 

Current Conditions in the High Yield and Defaulted Debt Markets, 2006

 

Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices, 11/2003

 

How Rating Agencies Achieve Rating Stability, 4/2004

 

Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence, 12/2003

 

Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-2002, 2/2002

 

An Integrated Pricing Model for Defaultable Loans and Bonds

 

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications, 3/2003

 

Defaults and Returns on High Yield Bonds: The Year 2002 in Review and the Market Outlook, 2/2003

 

Corporate Distress Prediction Models in a Turbulent Economic and Basel II Environment, 9/2002

 

Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities, 12/1998

 

Predicting Financial Distress of Companies: Revisiting the Z-Score and Zeta®Models, 7/2000

 

Credit Ratings and the BIS Reform Agenda, 3/28/2001

 

The Equity Performance of Firms Emerging from Bankruptcy, 11/1998

 

The Anatomy of the High Yield Bond Market, 9/21/1998

 

An Analysis Critique of the BIS Proposal on Capital Adequacy and Ratings, 1/2000

 

The Importance and Subtlety of Credit Rating Migration, 9/1997

 

Emerging Market Corporate Bonds—A Scoring System, 5/15/1995

 

The Japanese Non-Performing Loans Problem: Securitization as a Solution, 4/14/1999

 

homepage - recent papers - vita