We propose a totally new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation's private corporate sector. Models such as our new Z-Metrics™ approach can be utilized to measure the median probability of default of the non-financial...

This paper explores the scope and importance of the distressed debt market and its market participants and summarizes several relevant scholarly publications relating to how both these markets and participants have performed and contributed to the Chapter 11 bankruptcy-reorganization process. We...

Forty years ago, I developed a method of predicting bankruptcies by U.S. [public] companies that makes use of equity market values as well as fundamental financial and operating data. Since that time, my 'Z-Score' model has become one of the most widely used methods for assessing the...

The COVID-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from the record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate from just before the unexpected global...

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...

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...

During the last two years, credit risk has been playing a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements, which characterize a sound risk...