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...

This paper studies the information content of bank accounting fundamental data in the prediction of bank distress using an international sample of banks from 15 Western European countries and the U.S. during the financial crisis of 2007-12. We assemble an exhaustive and unique set of bank...

Considering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyze its...

This paper examines the price reaction of loans relative to bonds prior to and surrounding information intensive events, such as corporate (loan and bond) defaults, and bankruptcies using a unique dataset of daily secondary market prices of loans. Specifically, we find that risk-adjusted loan...

The first quarter 2004 default rate for U.S. (and Canada) dollar-denominated high yield bonds was 0.41% based on $3.6 billion of defaults. This rate was just slightly higher than the fourth quarter 2003's very low rate of 0.36%. The latter was the lowest quarterly rate since the third quarter of...

This paper analyzes the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship. Moreover, it simulates the effects on mandatory capital...