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.Defaulted securities...

This paper examines the informational efficiency of loans relative to bonds surrounding loan default dates and bond default dates. We examine this issue using a unique dataset of daily secondary market prices of loans over the 11/1999-06/2002 period. We find evidence consistent with a monitoring...

In this paper we have presented a new approach to measure the return-risk trade-off in portfolios of risky debt instruments, whether bonds or loans. The use of complex statistically based portfolio techniques to manage assets of financial institutions and fixed income portfolio money managers is...

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....

This report presents a discussion of the investment performance of those bonds that have defaulted and continue trading in the public market while the issuing firm attempts a financial reorganization. Monthly total returns measures are compiled based on the Altman-NYU Salomon Center Index of...

Bond ratings are usually first assigned by rating agencies to public debt at the time of issuance and are periodically reviewed by the rating companies. If deemed warranted, changes in ratings are assigned after the review. A change in a rating reflects the agencyacirc;not;quot;s assessment that...

We are experiencing dynamic changes in the interest and concern with credit risk management despite historically low default rates and losses in the loan and corporate bond markets. The reasons are that lending institutions are increasingly comfortable with transacting their assets in...

Full year 1999 was again a mixed performance year for the high yield bondmarket in the United States but for different reasons than the mixed 1998performance. Once again, total returns were lackluster, registering just +1.73%. But, unlike last year s companion negative return spread vs. U.S....

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. Our econometric univariate and multivariate models...