The defaulted and distressed, public and private debt markets in the United States swelled to a record $680 billion (face value) at the end of 2001. The market value of this quot;nichequot; segment was approximately $400 billion.Defaulted security investors enjoyed an excellent year on average,...

The year 2001 was remarkable on many fronts. For the high yield market, it was a year of crushing record numbers of defaults and distressed exchanges, combined with predictable low recovery rates. Despite these fundamental problems, and the quot;flight to qualityquot; following the terrorist...

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...

The Financial Economists Roundtable (FER) is a group of senior financial economists who meet annually to discuss current policy questions relating to investments, corporate finance, financial institutions, and financial markets. The FER issues statements from time to time about specific topics...

This study is an attempt to construct and test a distress classification model for Korean companies. Utilizing a sample of 34 distressed firms from the recent 1990-1993 period and a matched (by industry and year) sample of non-failed firms, we observe the classification accuracy of two models....

This report presents a discussion of the investment performance of those bond issues 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...

Nineteen-ninety-four was a relatively lackluster year for the high yield market with relatively low defaults combined with slightly negative total returns. When viewed in comparative terms with other fixed income securities markets, however, high yield debt performed quite well. Compared to long...

A number of banks have recently undertaken a reassessment of their credit-lending process. The banks' endeavors coincided with the efforts of a small, but growing number of vendors who have developed systems to assess both public and private corporations. The purpose of this article is to define...

In recent years, the literature on financial distress has been enriched by the development of formal models. This paper develops a synthesis of that formal analysis, linking it to related finance literature and corporate strategies for distressed financial restructuring. Several key assumptions...

This study is an attempt to construct and test a distress classification model for Korean companies. Utilizing a sample of 34 distressed firms from the most recent 1990-1993 period and a matched (by industry and year) sample of non- failed firms, we observe the classification accuracy of two...