Business failure identification and early warnings of impending financial crisis are important not only to analysts and practitioners in the United States. Indeed, countries throughout the world, even non-capitalist nations, have been concerned with individual entity performance assessment....

Fifty years ago, I published the initial, classic version of the Z-score bankruptcy prediction models. This multivariate statistical model has remained perhaps the most well-known, and more importantly, most used technique for providing an early warning signal of firm financial distress by...

The goal of this paper is to analyze the role that non-financial variables can play in assessing Smes creditworthiness and to compare their value in predicting business failure with the one of the most commonly used financial ratios. We investigate the importance for banks in modeling credit...

This paper analyzes the methods of rating attribution of the major international agencies (Moody’s, Fitch and Standard & Poor’s) between 2005 and 2010 for a sample of Italian and European listed banks and tests empirically, through the multivariate analysis of Ols, the possible relations of...

In 2010, the world’s focus on the global financial crisis shiftedfrom financial markets and institutions to sovereign debt, especially inEurope. This has motivated a re-examination of techniques andtraditional indicators to assess the health of individual countries.Since the potential...

Surveys on the use of agency credit ratings reveal that most investors believe that rating agencies are relatively slow in adjusting their ratings. (...)

The year 2002 was remarkably difficult on many fronts for most financial markets. For the high yield bond market, it was again a year of record amounts of defaults which contributed to low recovery rates and slightly negative absolute returns. (...)

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analyzing credit risk models in order to find the elements which characterize a sound risk management system.(...)

The defaulted and distressed, public and private debt markets in the United States increased enormously to a record $942 billion (face value) at the end of 2002. The market value of this increasingly attractive alternative investment segment was approximately $512 billion. (...)

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002.(...)