The purpose of this paper is firstly to review the literature on the efficacy and importance of the Altman Z-Score bankruptcy prediction model globally and its applications in finance and related areas. This review is based on an analysis of 33 scientific papers published from the year 2000 in...

We estimate the impact of the COVID-19 pandemic on credit risk changes on a large sample of Polish SME firms. The Altman Z"-Score model, which has proven to be a powerful and robust bankruptcy prediction model across many industries and countries, is used to assess over 1,000 SMEs from seven...

Within the commercial client segment, small business lending is gradually becoming a major target for many banks. The new Basel Capital Accord has helped the financial sector to recognize small and medium sized enterprises (SMEs) as a client, distinct from the large corporate. Some argue that...

This study continues the author’s examination and forecasts as to the impact of Covid-19 on the U.S. credit cycle after one and a half years since the pandemic first began. We explore the enormous build-up of global debt even before the pandemic commenced and the subsequent record debt...

In response to the recent elevated corporate credit risk environment in China’s credit market, we develop a probability of default (PD) measure for Chinese companies using actual corporate bond defaults by applying the Least Absolute Shrinkage and Selection Operator (LASSO) machine learning...

SME default prediction is a long-standing issue in the finance and management literature. Proper estimates of the SME risk of failure can support policymakers in implementing restructuring policies, rating agencies and credit analytics firms in assessing creditworthiness, public and private...

We have often observed, e.g. Altman, Hotchkiss (2006), that the market for investing in distressed securities, (the so-called “vulture” markets), had captured the interest of increasing numbers of investors and analysts. These investors, sometimes categorized as “alternative asset”...

Reviews on financial distress prediction models indicate that these techniques give highly reliable estimates of probabilities of default (PDs) and loss given default (LGD) only for relatively short horizons, rarely beyond two years. Major stakeholders, e.g. investors and bank risk and capital...

Edward I. Altman is the Max L. Heine Professor of Finance, Emeritus at the Stern School of Business, New York University (NYU). He is also director of research in credit and debt markets at NYU's Salomon Center for the Study of Financial Institutions. An internationally recognized expert on...

Over the last 30 years, the distressed debt market has come a long way and is now a legitimate investment asset class, albeit with periodic dramatic activity. Despite the benign credit cycle in US markets since the last great financial crisis, there are still more than 200 financial institutions...