Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt, Third Edition

Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt, Third Edition

Volumn , Issue , 2011, Pages

  Altman, Edward I ^a   Hotchkiss, Edith ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84889570202     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118267806     Document Type: Book

References (291)

1. Altman, E. 1993. Corporate Financial Distress and Bankruptcy, 2nd ed., New York: John Wiley & Sons.
2. Walter, J. 1957. "Determination of Technical Insolvency." Journal of Business (January).
3. Acharya, V., R. Sundaram, and K. John. 2005. "Cross-Country Variations in Capital Structures: The Role of Bankruptcy Codes." Working paper, NYU and London Business School.
4. Altman, E. 1971. Corporate Bankruptcy in America. Lexington, MA: Heath-Lexington Books.
5. Altman, E. 1990 and 1992. Altman-Foothill Reports on Distressed Bond Market and Distressed Bank Loan Markets. Los Angeles: Foothill Corp.
6. Altman, E. 1991. Distressed Securities. Chicago: Probus; reprint, Frederick, MD: Beard Books, 1999.
7. Betker, B. 1991. "Management Changes, Equity's Bargaining Power and Deviations from Absolute Priority in Chapter 11 Bankruptcies." Working paper, School of Business, Ohio State University (October).
8. Cohen, J., H. Golden, J. Kennedy, J. Spiatto, and M. Cook. 1992. "Municipal Bankruptcies." Turnarounds & Workouts (January 15).
9. Damodaran, A. 2001. Corporate Finance: Theory and Practice, 2nd ed. New York: John Wiley & Sons.
10. Davydenko, S., and J. Franks. 2004. "Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the UK." Working paper, London Business School.
11. Eberhart, A., T. Moore, and R. Roenfeldt. 1990. "Security Pricing and Deviation from Absolute Priority Sale in Bankruptcy Proceedings." Journal of Finance (December): 1457-1469.
12. Eckbo, E., and K. Thornburn. 2004. "Bidding in Mandatory Bankruptcy Auctions: Theory and Evidence." Working paper, Dartmouth University.
13. Flynn, E. 1989. "Statistical Analysis of Chapter 11." Administrative Office of the United States Courts, Washington, DC.
14. Fortgang, H., and T. Mayer. 1991. "Trading Claims and Taking Control of Corporations in Chapter 11." Cardozo Law Review 12 (October): 1, 13.
15. Franks, J., and W. Torous. 1989. "An Empirical Investigation of U.S. Firms in Reorganization." Journal of Finance 44: 747.
16. Franks, J., and W. Torous. 1992. "How Firms Fare in Workouts and Chapter 11
17. Reorganizations." In E. Altman (ed.), Bankruptcy and Distressed Restructuring. Homewood, IL: Dow Jones-Irwin.
18. Gilson, S. 1990. "Bankruptcy, Boards, Banks and Blockholders." Journal of Financial Economics: 27.
19. Rosenberg, H. 1992; rev. ed. 2000. The Vulture Investors. New York: John Wiley & Sons.
20. Salerno, T., and C. Hansen. 1991. "A Prepackaged Bankruptcy Strategy." Journal of Business Strategy.
21. Tilley, Allan. 2004. A Matrix of Bankruptcy Codes. London: Glass & Associates.
22. Weiss, L. 1990. "Bankruptcy Resolution: Direct Costs and Violation of Priority Claims." Journal of Financial Economics (December): 285-314.
23. Alderson, Michael, and Brian L. Betker. 1999. "Assessing Postbankruptcy Performance: An Analysis of Reorganized Firms' Cash Flows." Financial Management 28: 68.
24. Betker, Brian L., Stephen P. Ferris, and Robert M. Lawless. 1999. "'Warm with Sunny Skies': Disclosure Statement Forecasts." American Bankruptcy Law Journal 73: 809.
25. Dahiya, Sandeep, Kose John, Manju Puri, and Gabriel Ramírez. 2003. "Debtor-in-Possession Financing and Bankruptcy Resolution: Empirical Evidence." Journal of Financial Economics 69, Issue 1 (July): 259-280.
26. Eberhart, Allan, Reena Aggarwal, and Edward Altman. 1999. "The Equity Performance of Firms Emerging from Bankruptcy." Journal of Finance 54: 1855.
27. Gilson, Stuart. 1997. "Transactions Costs and Capital Structure Choice: Evidence from Financially Distressed Firms." Journal of Finance 52: 161.
28. Goyal, Amit, Matthias Kahl, and Walter N. Torous. 2003. "The Long-Run Stock Performance of Financially Distressed Firms: An Empirical Investigation." Working paper, Emory University and UCLA.
29. Hotchkiss, Edith S. 1993. "Investment Decisions under Chapter 11 Bankruptcy." Ph.D. dissertation, New York University.
30. Hotchkiss, Edith S. 1995. "Postbankruptcy Performance and Management Turnover." Journal of Finance 50: 3.
31. Hotchkiss, Edith S., and Robert Mooradian. 1997. "Vulture Investors and the Market for Control of Distressed Firms." Journal of Financial Economics 43: 401.
32. Hotchkiss, Edith, and Robert Mooradian. 1998. "Acquisitions as a Means of Restructuring Firms in Chapter 11." Journal of Financial Intermediation 7: 240.
33. Hotchkiss, Edith, and Robert Mooradian. 2004. "Post-Bankruptcy Performance: Evidence from 25 Years of Chapter 11." Working paper, Boston College and Northeastern University.
34. Lee, J. 2004. "The Chapter After Chapter 11." New York: J.P. Morgan.
35. LoPucki, Lynn M., and William C. Whitford. 1993. "Patterns in the Bankruptcy Reorganization of Large, Publicly Held Companies." Cornell Law Review 78: 597.
36. Maksimovic, Vojislav, and Gordon Phillips. 1998. "Asset Efficiency and Reallocation Decisions of Bankrupt Firms." Journal of Finance 53: 1495.
37. McHugh, Christopher, Allen Michel, and Israel Shaked. 1998. "After Bankruptcy: Can Ugly Ducklings Turn into Swans?" Financial Analysts Journal 54, No. 3: 31.
38. Weiss, Lawrence A., and Karen H. Wruck. 1998. "Information Problems, Conflicts of Interest, and Asset Stripping: Chapter 11's Failure in the Case of Eastern Airlines." Journal of Financial Economics 48: 55.
39. Altman, Edward I. 1984. "A Further Empirical Investigation of the Bankruptcy Cost Question." Journal of Finance 39: 1067.
40. Andrade, Gregor, and Steven Kaplan. 1998. "How Costly Is Financial (Not Economic) Distress? Evidence from Highly Leveraged Transactions That Became Distressed." Journal of Finance 53: 1443.
41. Ang, James, Jess Chua, and John McConnell. 1982. "The Administrative Costs of Corporate Bankruptcy: A Note." Journal of Finance 34: 219.
42. Betker, Brian. 1997. "The Administrative Costs of Debt Restructurings: Some Recent Evidence." Financial Management 26: 56.
43. Bris, Arturo, Ivo Welch, and Ning Zhu. 2004. "The Costs of Bankruptcy." Yale ICF Working Paper No. 04-13.
44. Cutler, David M., and Lawrence H. Summers. 1988. "The Costs of Conflict Resolution and Financial Distress: Evidence from the Texaco-Pennzoil Litigation." Rand Journal of Economics 19: 157.
45. Franks, Julian R., and Walter N. Torous. 1989. "An Empirical Investigation of U.S. Firms in Reorganization." Journal of Finance 44: 747.
46. Gilson, Stuart, Kose John, and Lawrence Lang. 1990. "Troubled Debt Restructurings: An Empirical Study of Private Reorganization of Firms in Default." Journal of Financial Economics 27: 315.
47. Haugen, Robert, and Lemma Senbet. 1978. "The Insignificance of Bankruptcy Costs to the Theory of Optimal Capital Structure." Journal of Finance 33: 383.
48. Jensen, Michael. 1989. "Active Investors, LBOs, and the Privatization of Bankruptcy." Journal of Applied Corporate Finance 2: 35.
49. Jensen, Michael C. 1991. "Corporate Control and the Politics of Finance." Journal of Applied Corporate Finance 4, No. 2: 13.
50. Kaplan, Steven. 1989. "Campeau's Acquisition of Federated: Value Created or Value Destroyed?" Journal of Financial Economics 25: 191.
51. Kaplan, Steven. 1994. "Campeau's Acquisition of Federated: Post-Bankruptcy Results." Journal of Financial Economics 35: 123.
52. Lawless, Robert M., and Stephen P. Ferris. 1997. "Professional Fees and Other Direct Costs in Chapter 7 Bankruptcies." Washington University Law Quarterly 75: 1207.
53. LoPucki, Lynn M., and Joseph W. Doherty. 2004. "The Determinants of Professional Fees in Large Bankruptcy Reorganization Cases." Journal of Empirical Legal Studies 1.
54. Lubben, Stephen J. 2000. "The Direct Costs of Corporate Reorganization: An Empirical Examination of Professional Fees in Large Chapter 11 Cases." American Bankruptcy Law Journal 74: 509.
55. Maksimovic, Vojislav, and Gordon Phillips. 1998. "Asset Efficiency and Reallocation Decisions of Bankrupt Firms." Journal of Finance 53: 1495.
56. Opler, Tim, and Sheridan Titman. 1994. "Financial Distress and Corporate Performance." Journal of Finance 49: 1015.
57. Pulvino, Todd. 1998. "Do Asset Fire-Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions." Journal of Finance 53: 939.
58. Pulvino, Todd. 1999. "Effects of Bankruptcy Court Protection on Asset Sales." Journal of Financial Economics 52: 151.
59. Tashjian, Elizabeth, Ronald C. Lease, and John J. McConnell. 1996. "An Empirical Analysis of Prepackaged Bankruptcies." Journal of Financial Economics 40: 135.
60. Warner, Jerold. 1977. "Bankruptcy Costs: Some Evidence." Journal of Finance 32: 71.
61. Weiss, Lawrence A. 1990. "Bankruptcy Resolution: Direct Costs and Violation of Priority of Claims." Journal of Financial Economics 27: 285.
62. Alderson, Michael J., and Brian L. Betker. 1995. "Liquidation Costs and Capital Structure." Journal of Financial Economics 39: 45.
63. Bebchuk, L. 1988. "A New Approach to Corporate Reorganizations." Harvard Law Review 101: 775.
64. Bruner, Robert F. 2004. Applied Mergers and Acquisitions. Hoboken, NJ: John Wiley & Sons.
65. Cornell, B., and K. Green. 1991. "The Investment Performance of Low-Grade Bond Funds." Journal of Finance 46: 29.
66. Damodaran, Aswath. 1996. Investment Valuation: Tools and Techniques for Determining the Value of Any Asset. New York: John Wiley & Sons.
67. Damodaran, Aswath. 2002. Investment Valuation: Tools and Techniques for Determining the Value of Any Asset. 2nd ed. New York: John Wiley & Sons.
68. Fama, Eugene, and Kenneth French. 2002. "The Equity Premium." Journal of Finance 57: 637-659.
69. Gilson, S., E. Hotchkiss, and R. Ruback. 2000. "Valuation of Bankrupt Firms." Review of Financial Studies 13: 43.
70. Hausch, D., and J. Seward. 1995. "Mitigating the Corporate Valuation Problem in Chapter 11 Reorganizations: Transferable Put Rights and Contingent Value Rights." Working paper, University of Wisconsin-Madison.
71. Hotchkiss, Edith S. 1995. "Postbankruptcy Performance and Management Turnover." Journal of Finance 50: 3.
72. Hotchkiss, Edith S., and Robert Mooradian. 1997. "Vulture Investors and the Market for Control of Distressed Firms." Journal of Financial Economics 43: 401.
73. Hotchkiss, Edith, and Robert Mooradian. 1998. "Acquisitions as a Means of Restructuring Firms in Chapter 11." Journal of Financial Intermediation 7: 240.
74. Hotchkiss, E., and T. Ronen. 2002. "The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis." Review of Financial Studies 15: 1325-1354.
75. Kaplan, S., and R. Ruback. 1995. "The Valuation of Cash Flow Forecasts: An Empirical Analysis." Journal of Finance 50: 1059-1093.
76. Lehavy, R. 1998. "Reliability of Financial Statements after Adoption of Fresh Start Reporting." Working paper, University of California at Berkeley.
77. McKinsey & Company. 2005. Valuation: Measuring and Managing the Value of Companies. New York: John Wiley & Sons.
78. Newton, G. 1994. Bankruptcy & Insolvency Accounting. New York: John Wiley & Sons.
79. Pantaleo, Peter V., and Barry W. Ridings. 2005. "Reorganization Value." Business Lawyer 60: 27.
80. Pulvino, Todd. 1999. "Effects of Bankruptcy Court Protection on Asset Sales." Journal of Financial Economics 52: 151.
81. Ruback, R. 1998 "Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows." Working paper, Harvard Business School.
82. Scarberry, M., K. Klee, G. Newton, and S. Nickles. 1996. Business Reorganization in Bankruptcy: Cases and Materials. St. Paul, MN: West Publishing Co.
83. Altman, E. 1984. "A Further Empirical Investigation of the Bankruptcy Cost Question." Journal of Finance (September).
84. Altman, E., and R. Smith. 1991a. "Firm Valuation and Leveraged Restructurings."
85. In E. Altman, editor, Corporate Bankruptcy and Distressed Restructurings, Homewood, IL: Dow Jones-Irwin.
86. Altman, E., and R. Smith. 1991b. "Highly Leveraged Restructurings: A Valid Role for Europe." Journal of International Securities Markets (Winter): 347-357.
87. Amihud, Y. 1989. Leveraged Management Buyouts: Causes and Consequences. Homewood, IL: Dow Jones-Irwin.
88. Andrade, G., and S. Kaplan. 1998. "How Costly Is Financial (Not Economic) Distress: Evidence from Highly Leveraged Restructings That Become Distressed." Journal of Finance 21: 1721-1748.
89. Bulow, J., and J. Shoven. 1978. "The Bankruptcy Decision." Bell Journal of Economics (Autumn).
90. Chen, Y., J. F. Weston, and E. Altman. 1995. "Financial Distress and Restructuring Models." Financial Management 2 (Summer): 57-75.
91. Copeland, T., and W. H. Lee. 1990. "Exchange Offers and Stock Swaps-New Evidence." Working paper, UCLA.
92. Denis, D. and D. Denis. 1995. "Causes of Financial Distress Following Leveraged Recapitalizations." Journal of Financial Economics 37: 129-158.
93. Durand, D. 1959. "The Cost of Capital in an Imperfect Market: A Reply to Modigliani and Miller." American Economic Review (June).
94. Jensen, M. 1989. "Eclipse of the Public Corporation." Harvard Business Review (September-October).
95. Jensen, M., and W. Meckling. 1976. "Theory of the Firm: Managerial Behaviour, Agency Costs and Ownership Structure." Journal of Financial Economics (October): 305-360.
96. Kaplan, S. 1989. "Management Buyouts: Evidence on Taxes as a Source of Value." Journal of Finance (September).
97. Kaplan, S., and J. Stein. 1993. "The Evolution of Buyout Pricing and Financial Structure in the 1980's. Quarterly Journal of Economics 108: 2, 313-357.
98. McKinsey & Company. 2005. Valuation: Measuring and Managing the Value of Companies. New York: John Wiley & Sons.
99. Miller, M. 1989. "The Modigliani-Miller Theorems after 30 Years." Journal of Applied Corporate Finance (Spring).
100. Modigliani, F., and M. Miller. 1958. "The Cost of Capital, Corporation Finance and the Theory of Investment." American Economic Review (June).
101. Modigliani, F., and M. Miller. (1963). "Corporate Income Taxes and the Cost of Capital: A Correction." American Economic Review (June).
102. Moore, H. 1990. "Trends and Characteristics of Recent LBO Experience." Working paper, New York University (November).
103. Smith, R., and I. Walter. 1990. "Economic Restructuring in Europe and the Market for Corporate Control." Journal of International Security Markets (Winter).
104. Warner, J. 1977. "Bankruptcy Costs: Some Evidence." Journal of Finance (May).
105. Weston, J. F. 1963. "A Test of Cost of Capital Propositions." Southern Economic Journal (October).
106. Weston, J. F. 1989. "What MM Have Wrought." Financial Management (Summer).
107. Altman, E. 1988. Corporate Bond Mortality and Performance. New York: Merrill Lynch.
108. Altman, E. 1989. "Measuring Corporate Bond Mortality and Performance." Journal of Finance (September): 909-922.
109. Altman, E. 1993. Corporate Financial Distress and Bankruptcy. 2nd ed. New York: John Wiley & Sons.
110. Altman, E., and J. Bencivenga. 1995. "A Yield Premium Model for the High Yield Debt Market." Financial Analysts Journal (September-October).
111. Altman, E., B. Brady, A. Resti, and A. Sironi. 2005. "The Link Between Default and Recovery Rates." Journal of Business (November). Also ISDA web site, 2002.
112. Altman, E., A. Resti, and A. Sironi. 2005. Recovery Risk. London: Risk Books.
113. Asquith, P., D. Mullins, and E. D. Wolff. 1989. "Original Issue High Yield Bonds: Aging Analysis of Defaults, Exchanges and Calls." Journal of Finance (September): 923-952.
114. Fons, J., and D. Lucas. 1990. Special Report on Corporate Bond Default and Default Rates 1970-1989. New York: Moody's. Also 2005 update by D. Hamilton and S. Oh.
115. Standard & Poor's. 1991. "A Transition Matrix of Corporate Bond Defaults." S&P Credit Week. Also 2005 update by B. Brady, S&P.
116. Altman, E. I. 1969. "Bankruptcy Firms' Equity Securities as an Investment Alternative." Financial Analysts Journal (July/August).
117. Altman, E. I. 1991. Distressed Securities. Chicago: Probus. Reprint, Frederick, MD: Beard Books, 1999.
118. Altman, E. I. 2002. Bankruptcy, Credit Risk and High Yield Bonds. Malden, MA: Blackwell Publishers.
119. Altman, E. I., B. Brady, A. Resti, and A. Sironi. 2002. "The Link between Default and Recovery Rates." NYU Salomon Center, Working Paper S-02-9. ISDA (January); Journal of Business (November 2005).
120. Altman, E. I., and A. Eberhart. 1994. "Do Seniority Provisions Protect Bondholders' Investments?" Journal of Portfolio Management (Summer).
121. Altman, E. I., A. Gande, and A. Saunders. 2004. "The Informational Efficiency of Loans versus Bonds: Evidence from Secondary Market Prices." Working paper, NYU Finance Department (March).
122. Altman, E. I., and R. Miranda. 2005. "The Investment Performance and Market Size of Defaulted Bonds and Bank Loans in 2004 and Market Outlook." NYU Salomon Center Special Report (February).
123. Altman Foothill Report. 1990. Investing in Distressed Securities. Los Angeles: Foothill Corporation.
124. Altman Foothill Report. 1992. The Market for Distressed Securities and Bank Loans. Los Angeles: Foothill Corporation.
125. Branch, B., and H. Ray. 1992. Bankruptcy Investing. Chicago: Dearborn Press.
126. Brand, L., and R. Behar. 2000. "Recoveries on Defaulted Bonds Tied to Security Ratings." S&P's Credit Week (February).
127. Carlson, J., and F. Fabozzi. 1992. The Trading and Securitization of Senior Bank Loans. Chicago: Probus.
128. Eberhart, A., R. Aggarwal, and E. I. Altman. 1999. "The Equity Performance of Firms Emerging from Chapter 11." Journal of Finance (October).
129. Jeffries & Company. 2003. "How to Perform a Post-Restructuring Equity Valuation." New York: Jeffries Recapitalization and Restructuring Group.
130. J. P. Morgan. 2004. The Chapter After Chapter 11. New York: J. P. Morgan.
131. Parker, V. R., ed. 2005. Managing Hedge Fund Risk. London: Risk Books.
132. Ramaswami, M., and S. Moeller. 1990. Investing in Financially Distressed Firms. New York: Quorum Books.
133. Rosenberg, H. 1992. The Vulture Investors. New York: HarperCollins. Rev. ed., New York: John Wiley & Sons, 2000.
134. Altman, E. I., and E. Eberhart. 1994. "Do Seniority Provisions Protect Bondholders' Investments?" Journal of Portfolio Management (Summer).
135. Altman Foothill Report. 1990. Investing in Distressed Securities. Los Angeles: Foothill Corporation.
136. Altman Foothill Report. 1992. The Market for Distressed Securities and Bank Loans. Los Angeles: Foothill Corporation.
137. Brand, L., and R. Behar. 2000. "Recoveries on Defaulted Bonds Tied to Security Rankings." S&P's Credit Week (February).
138. Eberhart, A., R. Aggarwal, and E. I. Altman. 1999. "The Equity Performance of Firms Emerging from Chapter 11." Journal of Finance (October).
139. Ramaswami, M., and S. Moeller. 1990. Investing in Financially Distressed Firms. New York: Quorum Books.
140. Rosenberg, H. 1992. The Vulture Investors. New York: HarperCollins. Rev. ed., New York: John Wiley & Sons, 2000.
141. Betker, Brian L. 1995. "Management's Incentives, Equity's Bargaining Power, and Deviations from Absolute Priority in Chapter 11 Bankruptcies." Journal of Business 68: 161.
142. Bradley, Michael, and Michael Rosenzweig. 1992. "The Untenable Case for Chapter 11." Yale Law Journal 101: 1043.
143. Branch, Ben. 2000. "Fiduciary Duty: Shareholders versus Creditors." Financial Practice and Education: 339.
144. Chidambaran, N. K., and Nagpurnanand R. Prabhala. 2004. "Executive Stock Option Repricing: Creating a Mountain out of a Molehill?" EFA 2003 Annual Conference Paper No. 797.
145. Gilson, Stuart. 1989. "Management Turnover and Financial Distress." Journal of Financial Economics 25: 241.
146. Gilson, Stuart. 1990. "Bankruptcy, Boards, Banks and Blockholders." Journal of Financial Economics 26: 355.
147. Gilson, Stuart, Edith Hotchkiss, and Richard Ruback. 2000. "Valuation of Bankrupt Firms." Review of Financial Studies 13: 43.
148. Gilson, Stuart, and Michael Vetsuypens. 1993 "CEO Compensation in Financially Distressed Firms: An Empirical Analysis." Journal of Finance 43: 425.
149. Hotchkiss, Edith S. 1995. "Postbankruptcy Performance and Management Turnover." Journal of Finance 50: 3.
150. Hotchkiss, Edith S., and Robert Mooradian. 1997. "Vulture Investors and the Market for Control of Distressed Firms." Journal of Financial Economics 43: 401.
151. Hotchkiss, Edith, and Robert Mooradian. 1998. "Acquisitions as a Means of Restructuring Firms in Chapter 11." Journal of Financial Intermediation 7: 240.
152. James, Christopher. 1995. "When Do Banks Take Equity? An Analysis of Bank Loan Restructurings and the Role of Public Debt." Review of Financial Studies 8: 1209.
153. LoPucki, Lynn M. 2004. Courting Failure: How Competition for Big Cases Is Corrupting the Bankruptcy Courts. Ann Arbor: University of Michigan Press.
154. LoPucki, Lynn M., and William C. Whitford. 1993. "Corporate Governance in the Bankruptcy Reorganization of Large, Publicly Held Companies." University of Pennsylvania Law Review 141: 669.
155. Warner, Jerold B., Ross L. Watts, and Karen H. Wruck. 1988. "Stock Prices and Top Management Changes." Journal of Financial Economics 20: 461.
156. Weisbach, Michael S. 1988. "Outside Directors and CEO Turnover." Journal of Financial Economics 20: 431.
157. Weiss, Lawrence A., and Karen H. Wruck. 1998. "Information Problems, Conflicts of Interest, and Asset Stripping: Chapter 11's Failure in the Case of Eastern Airlines." Journal of Financial Economics 48: 55.
158. Altman, E. 1968. "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy." Journal of Finance (September): 189-209.
159. Altman, E. 1984. "A Further Empirical Investigation of the Bankruptcy Cost Question." Journal of Finance 34, No. 4 (September): 1067-1089.
160. Altman, E. 1989. "Measuring Corporate Bond Mortality and Performance." Journal of Finance (September): 909-922.
161. Altman, E. 1993. Corporate Financial Distress and Bankruptcy. 2nd ed. New York: John Wiley & Sons.
162. Altman, E., P. Araman, and G. Fanjul. 2004. "Defaults and Returns in the High Yield Bond Market." NYU Salomon Center Report and Journal of Applied Finance (Spring-Summer): 98-112.
163. Altman, E., B. Brady, A. Resti, and A. Sironi. 2002. "The Link between Default Rates and Recovery Rates: Implications for Credit Risk Models and Procyclicality." NYU Salomon Center, Working Paper S-02-9.
164. Altman, E., R. Haldeman, and P. Narayanan. 1977. "ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations." Journal of Banking & Finance 1, No. 1 (June): 29-54.
165. Altman, E., J. Hartzell, and M. Peck. 1995a. "Emerging Markets Corporate Bonds: A Scoring System." The Future of Emerging Market Flows, edited by R. Levich. Kluwer, Holland: J.P. Mei, 1997.
166. Altman, E., J. Hartzell, and M. Peck. 1995b. "A Scoring System for Emerging Market Corporate Bonds." Salomon Brothers (May).
167. Altman, E., G. Marco, and F. Varetto. 1994. "Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks (the Italian Experience)." Journal of Banking & Finance 18, No. 3: 505-529.
168. Altman, E., A. Resti, and A. Sironi. 2002. "Analyzing and Explaining Default Recovery Rates." ISDA (January); and Journal of Business (November 2005).
169. Altman, E., A. Resti, and A. Sironi. 2005a. "Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Recent Evidence." Journal of Financial Literature 1 (Winter): 21-45.
170. Altman, E., A. Resti, and A. Sironi. 2005b. Recovery Risk: The Next Challenge in Credit Risk Management. London: Risk Books.
171. Altman, E., and H. Rijken. 2004. "How Rating Agencies Achieve Rating Stability." Journal of Banking & Finance 28: 2679-2714.
172. Basel Commission on Banking Supervision. 1999. "Credit Risk Modeling: Current Practices and Applications." BIS (June).
173. Basel Commission on Banking Supervision. 2001. "The Basel Capital Accord." Basel, Switzerland: Bank for International Settlements (January).
174. Basel Commission on Banking Supervision. 2004. "International Convergence of Capital Measurement and Capital Standards: A Revised Framework." Basel, Switzerland: Bank for International Settlements (June).
175. Beaver, W. 1966. "Financial Ratios as Predictors of Failures." In Empirical Research in Accounting: Selected Studies. Journal of Accounting Research 71-111.
176. Beaver, W. 1968. "Alternative Accounting Measures as Predictors of Failure." Accounting Review (January): 46-53.
177. Caouette, J., E. Altman, and P. Narayanan. 1998. Managing Credit Risk. New York: John Wiley & Sons.
178. Fitch. 2001. "Bank Loan and Bond Recovery Study: 1997-2001." New York: Fitch (March 19).
179. Frydman, H., E. Altman, and D. L. Kao. 1985. "Introducing Recursive Partitioning Analysis for Financial Classification." Journal of Finance 50, No. 1: 269-291.
180. Frye, J. 2000. "Collateral Damage." Risk (April).
181. Gupton, G., C. Gates, and L. Carty. 2000. "Bank Loan Loss Given Default." Moody's (November).
182. Hillegeist, S., D. Cram, E. Keating, and K. Lundstedt. 2003. "Assessing the Probability of Bankruptcy." Northwestern University, Kellogg School working paper (September).
183. Hu, Y. T., and W. Perraudin. 2002. "The Dependency of Recovery Rates of Corporate Bond Issues." Birkbeck College, Mimeo (February).
184. Kealhofer, S. 2000. "The Quantification of Credit Risk." San Francisco: KMV Corporation (January) (unpublished).
185. KMV. 2000. "The KMV EDF Credit Measure and Probabilities of Default." San Francisco: KMV Corporation.
186. McKee, T., and T. Lensbergn. 2002. "Genetic Programming and Roughsets: A Hybrid Approach to Bankruptcy Classification." European Journal of Operations Research 128, No. 2 (April): 436-451.
187. McQuown, J. A. 1993 "A Comment on Market vs. Accounting Based Measures of Default Risk." San Francisco: KMV Corporation.
188. Merton, R. C. 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance (June): 449-470.
189. Moody's. Annually. "Corporate Bond Defaults and Default Rates." Special Report, Moody's Investors Service (January).
190. Moody's. 1996. "Defaulted Bank Loan Recoveries," Special Report, Moody's Investors Service (November; also June 1998 update).
191. Mossman, C. E., G. Bell, L. M. Swartz, and H. Turtle. 1998. "An Empirical Comparison of Bankruptcy Models." Financial Review 33, No. 2 (May): 35-54.
192. Ohlson, J. 1980. "Financial Ratios and the Probability Prediction of Bankruptcy." Journal of Accounting Research 18: 1.
193. Saunders, A., and L. Allen. 2002. Credit Risk Measurement, 2nd ed. New York: John Wiley & Sons.
194. Scott, J. 1981. "The Probability of Bankruptcy: A Comparison of Empirical Predictions and Theoretical Models." Journal of Banking & Finance (September): 317-344.
195. Shumway, T. 2002. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model." TMA Advanced Education Workshop, Boston College, MA (June 21) from University of Michigan working paper, 1999.
196. Standard & Poor's. Annually. "Rating Performance: Stability and Transition." Special Report, updated annually. New York: S&P Corporation.
197. Trippi, R., and E. Turban, eds. 1996. Neural Networks in Finance and Investing. Chicago: Probus.
198. Zavgren, C. V. 1985. "Assessing the Vulnerability of Failure of American Industrial Firms: A Logistic Analysis." Journal of Business, Finance and Accounting 12, No. 1: 19-45.
199. Zmijewski, M. E. 1984. "Methodological Issues Related to the Estimation of Financial Distress Prediction Models." Journal of Accounting Research 22 (suppl.): 59-82.
200. Altman, E., J. Hartzell, and M. Peck. 1995. Emerging Market Corporate Bonds: A Scoring System. New York: Salomon Brothers.
201. Altman, Edward. 1983. Corporate Financial Distress. New York: John Wiley & Sons.
202. Altman, Edward, and Laurie Goodman. 1980. "An Economic and Statistical Analysis of the Failing Company Doctrine." NYU School of Business working paper. Reprinted in E. Altman. Bankruptcy, Credit Risk and High Yield Bonds. Malden, MA: Blackwell Publishers, 2002.
203. Altman, Edward, and Thomas McGough. 1974. "Evaluation of a Company as a Going Concern." Journal of Accountancy (December).
204. Altman, Edward, and Herbert Rijken. 2004. "How Rating Agencies Achieve Stability." Journal of Banking & Finance 28: 2679-2714.
205. Altman, Edward, and Herbert Rijken. 2005. "The Effect of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance." Financial Analysts Journal, forthcoming in 2006.
206. Appenzeller, P., and R. Parker. 2005. "Deepening Insolvency Is a Liability Trap for the Unwary." Journal of Corporate Renewal (July).
207. Eberhart, Allan, Edward Altman, and Reena Aggarwal. 1999. "The Equity Performance of Firms Emerging from Chapter 11." Journal of Finance 54 (October): 1855-1868.
208. Gilson, Stuart. 1997. "Transaction Costs and Capital Structure Choice: Evidence from Financially Distressed Firms." Journal of Finance 52: 161-197.
209. Gilson, Stuart, Kose John, and Larry Lang. 1993. "Troubled Debt Restructuring: An Empirical Study of Private Reorganization of Firms and Default." In E. Altman, editor, Bankruptcy and Distressed Restructurings. Homewood, IL: Business One Irwin: 77-124.
210. Hotchkiss, Edith. 1995. "The Post-Emergence Performance of Firms Emerging from Chapter 11." Journal of Finance 50: 3-21.
211. J. P. Morgan. 2004. The Chapter After Chapter 11." New York (January).
212. Kurth, Mette. 2005. "List of Defendants Grows in Deepening Insolvency Cases." Corporate Renewal (January): 4-7.
213. Loeffler, G. 2002. "Avoiding the Rating Bounce: Why Agencies Are Slow to React to New Information." Working paper.
214. Loeffler, G. 2004. "An Anatomy of Rating through the Cycle." Journal of Banking & Finance 28: 695-720.
215. Acharya, Viral V., Sreedar T. Bharath, and Anand Srinivasan. 2003. "Understanding the Recovery Rates on Defaulted Securities." Working paper, London Business School.
216. Altman, Edward I. 2001. "Altman High Yield Bond and Default Study." Salomon Smith Barney, U.S. Fixed Income High Yield Report (July).
217. Altman, Edward I., and Juan Martin Aguiar. 2005. "Defaults and Returns in the High Yield Bond Market: 2004 in Review and Outlook." NYU Salomon Center Special Report (February).
218. Altman, Edward I., Brooks Brady, Andrea Resti, and Andrea Sironi. 2003. "The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications." NYU Salomon Center, Working Paper S-03-4; Journal of Business (November 2005).
219. Altman, E., and A. Eberhart. 1994. "Do Seniority Provisions Protect Bondholders' Investments?" Journal of Portfolio Management (Summer): 67-75.
220. Altman, E., and G. Fanjul. 2004a and 2004b. "Defaults and Returns in the High Yield Bond Market: Analysis Through 2003 and 2004." NYU Salomon Center Special Reports (January).
221. Altman, E., R. Haldeman, and P. Narayanan. 1977. "ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations." Journal of Banking & Finance 1, No. 1 (July): 29-54.
222. Altman, Edward I., and Vellore M. Kishore. 1996. "Almost Everything You Wanted to Know About Recoveries on Defaulted Bonds." Financial Analysts Journal (November/December).
223. Altman, Edward I., Andrea Resti, and Andrea Sironi. 2001. Analyzing and Explaining Default Recovery Rates. ISDA Research Report, London (December).
224. Altman, Edward I., Andrea Resti, and Andrea Sironi. 2005a. "Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Recent Evidence." Journal of Finance Literature 1, No. 1.
225. Altman, Edward I., Andrea Resti, and Andrea Sironi. 2005b. Recovery Risk: The Challenge in Credit Risk Management. London: Risk Books.
226. "Altman High Yield Bond Default and Return Report: 2004." Citigroup (2005).
227. Asarnow, Elliot, and David Edwards. 1995. "Measuring Loss on Defaulted Bank Loans: A 24 Year Study." Journal of Commercial Bank Lending 77, No. 7: 11-23.
228. Bakshi, G., Dilip Madan, and Frank Zhang. 2001. "Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates." Finance and Economics Discussion Series, 2001-37, Federal Reserve Board of Governors, Washington, D.C.
229. Basel Commission on Banking Supervision. 2004. "International Convergence of Capital Measurement and Capital Standards-A Revised Framework." Basel, Switzerland: Bank for International Settlements (June).
230. Basel Commission on Banking Supervision. 2005. "Guidance on Paragraph 468 of the Framework Document." Basel, Switzerland: Bank for International Settlements (July).
231. Black, Fischer, and John C. Cox. 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions." Journal of Finance 31: 351-367.
232. Black, Fischer, and Myron Scholes. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economics (May): 637-659.
233. Carey, Mark, and Michael Gordy. 2003. "Systematic Risk in Recoveries on Defaulted Debt." Mimeo, Federal Reserve Board, Washington, D.C.
234. Chabane, Ali, Jean-Paul Laurent, and Julien Salomon. 2004. "Double Impact: Credit Risk Assessment and Collateral Value." Mimeo.
235. Chew, William, and Steven Kerr. 2005. "Recovery Ratings: A New Window on Secured Loans." In E. Altman, A. Resti, and A. Sironi. Recovery Risk: The Next Challenge in Credit Risk Management. London: Risk Books.
236. Credit Suisse Financial Products. 1997. CreditRisk+: A Credit Risk Management Framework. Technical document.
237. Crosbie, Peter J. 1999. "Modeling Default Risk." Mimeo. San Francisco: KMV Corporation.
238. Crouhy, Michel, Dan Galai, and Robert Mark. 2000. "A Comparative Analysis of Current Credit Risk Models." Journal of Banking & Finance 24: 59-117.
239. Duffee, Gregory R. 1999. "Estimating the Price of Default Risk." Review of Financial Studies 12, No. 1 (Spring): 197-225.
240. Duffie, Darrell. 1998. "Defaultable Term Structure Models with Fractional Recovery of Par." Graduate School of Business, Stanford University.
241. Duffie, Darrell, and David Lando. 2000. "Term Structure of Credit Spreads with Incomplete Accounting Information." Econometrica.
242. Duffie, Darrell, and Kenneth J. Singleton. 1999. "Modeling the Term Structures of Defaultable Bonds." Review of Financial Studies 12: 687-720.
243. Dullmann, Klaus, and Monika Trapp. 2004. "Systematic Risk in Recovery Rates
244. An Empirical Analysis of U.S. Corporate Credit Exposures." Mimeo, University of Mannheim; updated in Altman, Resti, and Sironi (2005b).
245. Eales, Robert, and Edmund Bosworth. 1998. "Severity of Loss in the Event of Default in Small Business and Large Consumer Loans." Journal of Lending and Credit Risk Management (May): 58-65.
246. Emery, K., R. Cantor, and R. Avner. 2004. "Recovery Rates on North American Syndicated Bank Loans, 1989-2003." Moody's Investors Service (March).
247. Emery, Kenneth, R. Cantor, S. Oh, R. Solomon, and P. Stumpp. 2004. "Credit Loss Rates on Similarly Rated Loans and Bonds." Moody's Special Comment (December).
248. Eom, Young Ho, Jean Helwege, and Jing-zhi Huang. 2001. "Structural Models of Corporate Bond Pricing: An Empirical Analysis." Mimeo.
249. Finger, Chris. 1999. "Conditional Approaches for CreditMetrics Portfolio Distributions." CreditMetrics Monitor (April).
250. Franks, Julian, and O. Sussman. 2005. "Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the U.K." Working paper, London Business School.
251. Franks, Julian, and Walter Torous. 1994. "A Comparison of Financial Recontracting in Distressed Exchanges and Chapter 11 Reorganizations." Journal of Financial Economics 35: 349-370.
252. Fridson, Martin S., Christopher M. Garman, and Kathryn Okashima. 2001. "Recovery Rates: The Search for Meaning." Merrill Lynch & Co., High Yield Strategy.
253. Frye, John. 2000a. "Collateral Damage." Risk (April): 91-94.
254. Frye, John. 2000b. "Collateral Damage Detected." Federal Reserve Bank of Chicago, working paper, Emerging Issues Series (October): 1-14.
255. Frye, John. 2000c. "Depressing Recoveries." Risk (November).
256. Geske, Robert. 1977. "The Valuation of Corporate Liabilities as Compound Options." Journal of Financial and Quantitative Analysis 12: 541-552.
257. Gordy, Michael. 2000. "A Comparative Anatomy of Credit Risk Models." Journal of Banking and Finance (January): 119-149.
258. Gupton, Gregory, Christopher Finger, and Mickey Bhatia. 1997. CreditMetrics-Technical Document. New York: J. P. Morgan & Co.
259. Gupton, Greg M., Daniel Gates, and Lea V. Carty. 2000. "Bank Loan Loss Given Default." Moody's Investors Service, Global Credit Research (November).
260. Gupton, Greg M., and Roger M. Stein. 2002. "LossCalc: Moody's Model for Predicting Loss Given Default (LGD)." Moody's/KMV, New York. Updated in 2005, "LossCalc V2, Dynamic Prediction of LGD." Moody's/KMV (January).
261. Hamilton, David T., Greg M. Gupton, and Alexandra Berthault. 2001. "Default and Recovery Rates of Corporate Bond Issuers: 2000." Moody's Investors Service (February).
262. Hu, Yen-Ting, and William Perraudin. 2002. "The Dependence of Recovery Rates and Defaults." Mimeo, Birkbeck College (February).
263. Hull, John, and Alan White. 1995. "The Impact of Default Risk on the Prices of Options and Other Derivative Securities." Journal of Banking and Finance 19: 299-322.
264. Jarrow, Robert A. 2001. "Default Parameter Estimation Using Market Prices." Financial Analysts Journal 57, No. 5: 75-92.
265. Jarrow, Robert A., David Lando, and Stuart M. Turnbull. 1997. "A Markov Model for the Term Structure of Credit Risk Spreads." Review of Financial Studies 10: 481-523.
266. Jarrow, Robert A., and Stuart M. Turnbull. 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance 50: 53-86.
267. Jones D., and J. Ming. 1998. "Bank Reserves and Expected Losses." Washington, D.C.: Federal Reserve Board.
268. Jones, E., S. Mason, and E. Rosenfeld. 1984. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation." Journal of Finance 39: 611-627.
269. Jokivuolle, Esa, and Samu Peura. 2003. "A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans." European Financial Management (Fall).
270. Keisman, D. 2004. "Recovery Trends and Analysis." Standard & Poor's, Loss Stats Database, New York.
271. Keisman, D. 2004. "Ultimate Recovery Rates on Bank Loan and Bond Defaults." S&P Loss Stats, New York.
272. Kim, I. J., K. Ramaswamy, and S. Sundaresan. 1993. "Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model." Financial Management 22, No. 3: 117-131.
273. Lando, David. 1998. "On Cox Processes and Credit Risky Securities." Review of Derivatives Research 2: 99-120.
274. Litterman, Robert, and T. Iben. 1991. "Corporate Bond Valuation and the Term Structure of Credit Spreads." Financial Analysts Journal (Spring): 52-64.
275. Longstaff, Francis A., and Eduardo S. Schwartz. 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt." Journal of Finance 50: 789-819.
276. Madan, Dileep, and Haluk Unal. 1995. "Pricing the Risks of Default." University of Maryland working paper.
277. Merton, Robert C. 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance 2: 449-471.
278. Neto de Carvalho, A., and Jean Dermine. 2003. "Bank Loan Losses-Given-Default-Empirical Evidence." Working paper, INSEAD.
279. Nielsen, Lars T., Jesus Saà-Requejo, and Pedro Santa-Clara. 1993. "Default Risk and Interest Rate Risk: The Term Structure of Default Spreads." Working paper, INSEAD.
280. Pykhtin, M. 2003. "Unexpected Recovery Risk." Risk 16: 74-78.
281. Resti, Andrea. 2002. The New Basel Capital Accord: Structure, Possible Changes, Micro-and Macroeconomic Effects. Brussels: Centre for European Policy Studies.
282. Resti, Andrea, and Andrea Sironi. 2005. "Loss Given Default and Recovery Risk under Basel II." In E. Altman et al. Recovery Risk. London: Risk Books, 2005.
283. Schleifer, A., and R. Vishny. 1992. "Liquidation Values and Debt Capacity: A Market Equilibrium Approach." Journal of Finance 47: 1343-1366.
284. Schuermann, Til. 2004. "What Do We Know about Loss Given Default?" Working paper, Federal Reserve Bank of New York. Forthcoming in D. Shimko (ed.), Credit Risk Models and Management, 2nd ed. London: Risk Books.
285. Van de Castle, Karen, and David Keisman. 1999. "Suddenly Structure Mattered: Insights into Recoveries of Defaulted. " S&P Corporate Ratings (May 24).
286. Varma, P., R. Cantor, and D. Hamilton. 2003. "Recovery Rates on Defaulted Corporate Bonds and Preferred Stocks." Moody's Investors Service (December).
287. Vasicek, Oldrich A. 1984. Credit Valuation. San Francisco: KMV Corporation.
288. Verde, Mariarosa. 2003. "Recovery Rates Return to Historic Norms." Fitch Ratings (September).
289. Weiss, Lawrence. 1990. "Bankruptcy Resolution: Direct Costs and Violation of Absolute Priority." Journal of Financial Economics 27: 419-446.
290. Wilson, Thomas C. 1998. "Portfolio Credit Risk." Federal Reserve Board of New York, Economic Policy Review (October): 71-82.
291. Zhou, Chunsheng. 2001. "The Term Structure of Credit Spreads with Jump Risk." Journal of Banking & Finance 25: 2015-2040.