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...

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...