Edward I. Altman

predict and avoid bankruptcy, analyze and invest in distressed debt

Corporate financial distress and bankruptcy

John B. Caouette

Paul Narayanan

Robert Nimmo

Managing Credit Risk, Second Edition opens with a detailed discussion of today’s global credit markets—touching on everything from the emergence of hedge funds as major players to the growing influence of rating agencies. After gaining a firm understanding of these issues, you’ll be introduced to some of the most effective credit risk management tools, techniques, and vehicles currently available. If you need to keep up with the constant changes in the world of credit risk management, this book will show you how.

The Great Challenge for Global Financial Markets

Managing Credit Risk

Marco Balzano

Alessandro Giannozzi

Stjepan Srhoj

SME default prediction is a long-standing issue in the finance and management literature. Proper estimates of the SME risk of failure can support policymakers in implementing restructuring policies, rating agencies and credit analytics firms in assessing creditworthiness, public and private investors in allocating funds, entrepreneurs in accessing funds, and managers in developing effective strategies. Drawing on the extant management literature, we argue that introducing management- and employee-related variables into SME prediction models can improve their predictive power. To test our hypotheses, we use a unique sample of SMEs and propose a novel and more accurate predictor of SME default, the Omega Score, developed by the Least Absolute Shortage and Shrinkage Operator (LASSO). Results were further confirmed through other machine-learning techniques. Beyond traditional financial ratios and payment behavior variables, our findings show that the incorporation of change in management, employee turnover, and mean employee tenure significantly improve the model's predictive accuracy.

The Omega Score

Revisiting SME Default Predictors

"A Wiley-Interscience publication."Includes index. Bibliography: p. 355-361.

A Complete Guide to Predicting, Avoiding, and Dealing with Bankruptcy

Corporate Financial Distress

Wei Wang

Edith Hotchkiss

A comprehensive look at the enormous growth and evolution of distressed debt markets, corporate bankruptcy, and credit risk models This Fourth Edition of the most authoritative finance book on the topic updates and expands its discussion of financial distress and bankruptcy, as well as the related topics dealing with leveraged finance, high-yield, and distressed debt markets. It offers state-of-the-art analysis and research on U.S. and international restructurings, applications of distress prediction models in financial and managerial markets, bankruptcy costs, restructuring outcomes, and more.

Analyze Leveraged Finance, Distressed Debt, and Bankruptcy

Corporate Financial Distress, Restructuring, and Bankruptcy

Scott A. Nammacher

Describes the nature of junk bonds, discusses their advantages and disadvantages, and looks at yields, defaults, market growth, credit quality trends, and investment strategies

Inside the High Yield Debt Market

Investing in Junk Bonds

Andrea Resti

Andrea Sironi

In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.

The Next Challenge in Credit Risk Management

Recovery Risk

Details the rise and operation of the high yield debt market as illustrated by the "junk" bond.

Edward I. Altman

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