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Publications: that are posted on DefaultRisk.com

Credit Pricing

An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) - 21 pages -- March 2005

Credit Modeling

Modeling Credit Risk for SMEs: Evidence from the US market
by Edward I. Altman of New York University, and
Gabriele Sabato of ABN AMRO, Amsterdam
(333K PDF) -- 43 pages -- November 2006

Recovery Rates

A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds
by Edward Altman of New York University, and
Egon Kalotay of Macquarie University
(293K PDF) -- 36 pages -- May 10, 2010

The Re-Emergence of Distressed Exchanges in Corporate Restructurings
by Edward I. Altman of New York University, and
Brenda Karlin of New York University
(211K PDF) -- 19 pages -- June 30, 2009

Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
by Edward Altman of New York University
(190K PDF) -- 36 pages -- November 2006

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
by Edward I. Altman of New York University,
Brooks Brady of Standard & Poor's,
Andrea Resti of Bergamo University, and
Andrea Sironi of Bocconi University
(428K PDF) -- 26 pages -- November 2005

Altman, Edward, Andrea Resti, and Andrea Sironi, " Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 183-208.

Altman, Edward I., " Defaulted Bonds: Demand, Supply and Performance, 1987-1992", Financial Analysts Journal, Vol. 49, No. 3, (May/June 1993), pp. 55-60.

Analyzing and Explaining Default Recovery Rates
by Edward I. Altman of New York University,
Andrea Resti of Bergamo University, and
Andrea Sironi of Luigi Bocconi University
(3,613K PDF) -- 97 pages -- December 2001

Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities
by Edward I Altman of the New York University
(46K PDF) -- 23 pages -- December 1998

Altman, Edward I. and Vellore M. Kishore, " Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds", Financial Analysts Journal, Vol. 52, No. 6, (November/December 1996), pp. 57-64.

Altman, Edward I. and Allan C. Eberhart, " Do Seniority Provisions Protect Bondholders' Investments?", Journal of Portfolio Management, Vol. 20, No. 4, (Summer 1994), pp. 67-75.

Credit Scoring

A Simple Empirical Model of Equity-Implied Probabilities of Default
by Edward Altman of the New York University,
Neil Fargher of the New York University, and
Egon Kalotay of the Australian National University
(277K PDF) -- 27 pages -- October 24, 2010

Predicting Financial Distress of Companies: Revisiting the Z-Score and Zeta® Models
by Edward I. Altman of New York University
(135K PDF) -- 54 pages -- July 2000

Altman, Edward I., Robert G. Haldeman, and Paul Narayanan, " ZETA Analysis: A new model to identify bankruptcy risk of corporations", Journal of Banking & Finance, Vol. 1, No. 1, (June 1977), pp. 29-54.

Altman, Edward I., " Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy", Journal of Finance, Vol. 23, No. 4, (September 1968), pp. 589-609.

Supervisory

Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
by Edward I. Altman of New York University, and
Gabriele Sabato of the University of Rome "La Sapienza"
(342K PDF) -- 28 pages -- October 2005

Other Credit Papers

The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
by Edward I. Altman of the New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(236K PDF) -- 39 pages -- March 2005

Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
by Edward Altman of New York University,
Amar Gande of Vanderbilt University, and
Anthony Saunders of New York University
(266K PDF) -- 45 pages -- December 2004

How Rating Agencies Achieve Rating Stability
by Edward I. Altman of New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(617K PDF) -- 45 pages -- April 2004

Altman, Edward I. and Anthony Saunders, "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings", Journal of Banking & Finance, Vol. 25, No. 1, (January 2001), pp. 25-46.

Altman, Edward I. and Heather J. Suggitt, " Default Rates in the Syndicated Bank Loan Market: A mortality analysis", Journal of Banking & Finance, Vol. 24, No. 1-2. (January 2000), pp. 229-253.

The Anatomy of the High Yield Bond Market
by Edward I. Altman of New York University
(119K PDF) -- 28 pages -- December 21, 1998

The Equity Performance of Firms Emerging from Bankruptcy
by Allan C. Eberhart of Georgetown University,
Edward I. Altman Stern of New York University, and
Reena Aggarwal of Georgetown University
(99K PDF) -- 23 pages -- November 1998

Altman, Edward I., "The Importance and Subtlety of Credit Rating Migration", Journal of Banking & Finance, Vol. 22, No. 10-11, (October 1998), pp. 1231-1247.

Altman, Edward I. and Anthony Saunders, "Credit Risk Measurement: Developments over the last 20 years", Journal of Banking & Finance, Vol. 21, No. 11-12, (December 1997), pp. 1721-1742.

Altman, Edward I., "Measuring Corporate Bond Mortality and Performance", Journal of Finance, Vol. 44, No. 4, (September 1989), pp. 909-922.

Books:

	Managing Credit Risk: The Great Challenge for Global Financial Markets, 2nd Edition by John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo Wiley, May 16, 2008, Hardcover, 656 pages
	Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt, 3rd Edition by Edward I. Altman and Edith Hotchkiss Wiley, December 2, 2005, Hardcover, 354 pages
	Recovery Risk: The next challenge in credit risk management by Edward Altman; Andrea Resti; Andrea Sironi (editors), Risk Books, June 2005, Hardcover, 364 pages
	Bankruptcy, Credit Risk and High Yield Junk Bonds by Edward I. Altman Blackwell Publishers, December 2001, Hardcover, 400 pages
	Distressed Securities: Analyzing and Evaluating Market Potential and Investment Risk, 2nd Edition by Edward I. Altman (Preface), Beard Books, February 1999, Paperback, 248 pages
	Bankruptcy & Distressed Restructurings: Analytical Issues and Investment Opportunities by Edward I. Altman (Editor), Beard Books, February 1999, Paperback, 432 pages
	The High-Yield Debt Market: Investment Performance and Economic Impact by Edward I. Altman (Editor), Beard Books, (November 1998), Paperback, 306 pages

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