# 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...

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...

The role and performance of credit rating agencies are currently under debate. Several surveys conducted in the United States reveal that most investors believe that rating agencies are too slow in adjusting their ratings to changes in corporate creditworthiness. Well known is that agencies...

Surveys on the use of agency credit ratings reveal that some investors believe that rating agencies are relatively slow in adjusting their ratings. A well-accepted explanation for this perception on the timeliness of ratings is the quot;through-the-cyclequot; methodology that agencies use....

The third-quarter 2002 default rate for high yield bonds was 4.95%, based on $37.48 billion of defaults. The quarterly default rate is the highest in history, surpassing the first quarter of 1991 rate of 4.80%. One massive default, WorldCom, accounted for $28.30 billion of defaults (76%)....

This paper discusses two of the primary motivating influences on the recentdevelopment/revisions of credit scoring models, - the important implications ofBasel II s proposed capital requirements on credit assets and the enormous amountsand rates of defaults and bankruptcies in the United States...

This paper discusses two of the primary motivating influences on the recentdevelopment/revisions of credit scoring models, i.e., the important implications ofBasel 2 s proposed capital requirements on credit assets and the enormous amountsand rates of defaults and bankruptcies in the US in...

The role and performance of credit rating agencies are currently under debate. Several surveys conducted in the United States reveal that most investors believe that rating agencies are too slow in adjusting their ratings to changes in corporate creditworthiness. Well known is that...

It is normal for companies, during their life cycle, to alternate between positive and negative phases, periods of success and failure. When a negative period shifts from temporary to structural and chronic (and thus continues over time), the company is often destined to go bankrupt. The...

Reviews on financial distress prediction models indicate that these techniques give highly reliable estimates of probabilities of default (PDs) and loss given default (LGD) only for relatively short horizons, rarely beyond two years. Major stakeholders, e.g. investors and bank risk and capital...