Edward I. Altman
New York University -- Department of Finance
Publications: that are posted on DefaultRisk.com
An Integrated Pricing Model for Defaultable Loans and Bonds
Modeling Credit Risk for SMEs: Evidence from the US market
A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds
The Re-Emergence of Distressed Exchanges in Corporate Restructurings
Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
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
Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities
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.
A Simple Empirical Model of Equity-Implied Probabilities of Default
Predicting Financial Distress of Companies: Revisiting the Z-Score and Zetaź Models
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.
Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
Other Credit Papers
The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
How Rating Agencies Achieve Rating Stability
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
The Equity Performance of Firms Emerging from Bankruptcy
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.
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