Details about Edward I. Altman

Homepage:	https://www.stern.nyu.edu/faculty/bio/edward-altman
Workplace:	Finance Department, Stern School of Business, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Edward I. Altman.

Last updated 2022-12-27. Update your information in the RePEc Author Service.

Short-id: pal1182

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Working Papers

2022

1. Revisiting SME default predictors: The Omega Score
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (2)
   Also in GLO Discussion Paper Series, Global Labor Organization (GLO) (2022) View citations (2)

2002

2. The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios
   BIS Working Papers, Bank for International Settlements View citations (58)

2000

3. An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (4)
   See also Journal Article An analysis and critique of the BIS proposal on capital adequacy and ratings, Journal of Banking & Finance, Elsevier (2001) View citations (77) (2001)
4. Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-1998
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-

1999

5. Defaults & Returns on High Yield Bonds: Analysis Through 1998 and Default Outlook for 1999-2001
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)

1998

6. Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (9)

1997

7. The Equity Performance of Firms Emerging from Bankruptcy
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)
   Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996)
   See also Journal Article The Equity Performance of Firms Emerging from Bankruptcy, Journal of Finance, American Finance Association (1999) View citations (21) (1999)

1996

8. Business Failure Classification Models: An International Survey
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)
9. Corporate Bond and Commercial Loan Portfolio Analysis
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (5)
   Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1996) View citations (5)
10. Credit Risk Measurement: Developments over the Last 20 Years
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (7)
    See also Journal Article Credit risk measurement: Developments over the last 20 years, Journal of Banking & Finance, Elsevier (1997) View citations (104) (1997)
11. Rating Migration of Corporate Bonds: Comparative Results and Investor/Lender Implications
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (4)
12. The Investment Performance of Defaulted Bonds for 1987-95 and Market Outlook
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-

1994

13. Gated-type polling systems with walking and switch-in times
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)

1984

14. Airline Bankruptcy propensitites: A zeta analysis
    Transportation Research Forum Proceedings 1980s, Transportation Research Forum View citations (3)

Journal Articles

2022

1. Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications
   Finance Research Letters, 2022, 50, (C) View citations (4)

2021

2. Rethinking SME default prediction: a systematic literature review and future perspectives
   Scientometrics, 2021, 126, (3), 2141-2188 View citations (21)
3. THE VALUE OF PERSONAL CREDIT HISTORY IN RISK SCREENING OF ENTREPRENEURS: EVIDENCE FROM MARKETPLACE LENDING
   Journal of Financial Management, Markets and Institutions (JFMMI), 2021, 09, (01), 1-25 View citations (1)

2020

4. A Race for Long Horizon Bankruptcy Prediction
   Applied Economics, 2020, 52, (37), 4092-4111 View citations (15)
5. Assessing the credit worthiness of Italian SMEs and mini-bond issuers
   Global Finance Journal, 2020, 43, (C) View citations (16)

2019

6. The Anatomy of Distressed Debt Markets
   Annual Review of Financial Economics, 2019, 11, (1), 21-37 View citations (2)

2018

7. Applications of Distress Prediction Models: What Have We Learned After 50 Years from the Z-Score Models?
   IJFS, 2018, 6, (3), 1-15 View citations (11)

2017

8. Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses
   Review of Finance, 2017, 21, (1), 433-463 View citations (13)

2016

9. Dynamic Games in Novel Networks: Guest Editors’ Forewords
   Dynamic Games and Applications, 2016, 6, (4), 427-428

2015

10. The Bankruptcy System's Chapter 22 Recidivism Problem: How Serious is It?
    The Financial Review, 2015, 50, (1), 1-26 View citations (7)

2014

11. Ultimate recovery mixtures
    Journal of Banking & Finance, 2014, 40, (C), 116-129 View citations (34)

2013

12. Building Sme rating: is it necessary for lenders to monitor financial statements of the borrowers?
    BANCARIA, 2013, 10, 54-71 View citations (2)
13. Defaults and Returns in the High-Yield Bond Market: Third-Quarter 2013 Review
    Journal of Financial Management, Markets and Institutions, 2013, (2), 269-296
14. Sovereign default risk assessment
    International Journal of Banking, Accounting and Finance, 2013, 5, (1/2), 6-27
15. Z-Score Models’ application to Italian companies subject to extraordinary administration
    BANCARIA, 2013, 04, 24-37 View citations (12)

2012

16. A universal critical density underlying the physics of electrons at the LaAlO3/SrTiO3 interface
    Nature Communications, 2012, 3, (1), 1-7 View citations (2)
17. Toward a bottom-up approach to assessing sovereign default risk: an update
    Journal of Financial Transformation, 2012, 34, 19-29
    See also Chapter TOWARD A BOTTOM-UP APPROACH TO ASSESSING SOVEREIGN DEFAULT RISK: AN UPDATE, World Scientific Book Chapters, 2013, 41-64 (2013) (2013)

2011

18. Toward a Bottom‐Up Approach to Assessing Sovereign Default Risk
    Journal of Applied Corporate Finance, 2011, 23, (1), 20-31 View citations (5)

2010

19. Bank Debt versus Bond Debt: Evidence from Secondary Market Prices
    Journal of Money, Credit and Banking, 2010, 42, (4), 755-767 View citations (28)
    Also in Journal of Money, Credit and Banking, 2010, 42, (4), 755-767 (2010) View citations (5)

2009

20. Post‐Chapter 11 Bankruptcy Performance: Avoiding Chapter 22
    Journal of Applied Corporate Finance, 2009, 21, (3), 53-64 View citations (6)

2007

21. Global Debt Markets in 2007: New Paradigm or the Great Credit Bubble?
    Journal of Applied Corporate Finance, 2007, 19, (3), 17-31 View citations (5)
22. Knowledge based framework for facilitating e-learning services
    International Journal of Innovation and Learning, 2007, 4, (2), 112-126
23. Modelling Credit Risk for SMEs: Evidence from the U.S. Market
    Abacus, 2007, 43, (3), 332-357 View citations (187)
    See also Chapter MODELING CREDIT RISK FOR SMEs: EVIDENCE FROM THE US MARKET, World Scientific Book Chapters, 2013, 251-279 (2013) View citations (3) (2013)
24. Morgan Stanley Roundtable on Managing Financial Trouble
    Journal of Applied Corporate Finance, 2007, 19, (4), 16-43

2005

25. An emerging market credit scoring system for corporate bonds
    Emerging Markets Review, 2005, 6, (4), 311-323 View citations (66)
26. An integrated pricing model for defaultable loans and bonds
    European Journal of Operational Research, 2005, 163, (1), 65-82 View citations (4)
27. Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
    Journal of Financial Services Research, 2005, 28, (1), 15-42 View citations (60)
28. The Impact of the Rating Agencies’ Through‐the‐cycle Methodology on Rating Dynamics
    Economic Notes, 2005, 34, (2), 127-154 View citations (6)
29. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications
    The Journal of Business, 2005, 78, (6), 2203-2228 View citations (275)

2004

30. Customer lifetime value: stochastic optimization approach
    Journal of the Operational Research Society, 2004, 55, (8), 860-868 View citations (25)
31. How rating agencies achieve rating stability
    Journal of Banking & Finance, 2004, 28, (11), 2679-2714 View citations (179)
32. The Controversy Over Executive Compensation
    Journal of Applied Corporate Finance, 2004, 16, (1), 108-111 View citations (1)

2002

33. Credit ratings and the BIS capital adequacy reform agenda
    Journal of Banking & Finance, 2002, 26, (5), 909-921 View citations (26)
34. Managing Credit Risk: A Challenge for the New Millennium
    Economic Notes, 2002, 31, (2), 201-214 View citations (1)
35. On the Convergence to Nash Equilibrium in Problems of Distributed Computing
    Annals of Operations Research, 2002, 109, (1), 279-291 View citations (1)

2001

36. An analysis and critique of the BIS proposal on capital adequacy and ratings
    Journal of Banking & Finance, 2001, 25, (1), 25-46 View citations (77)
    See also Working Paper An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings, New York University, Leonard N. Stern School Finance Department Working Paper Seires (2000) View citations (4) (2000)
37. Credit ratings and the proposed new BIS guidelines on capital adequacy for bank credit assets
    Journal of Banking & Finance, 2001, 25, (1), 1-2 View citations (4)

2000

38. Default rates in the syndicated bank loan market: A mortality analysis
    Journal of Banking & Finance, 2000, 24, (1-2), 229-253 View citations (48)
39. REVISITING THE HIGH YIELD BOND MARKET: MATURE BUT NEVER DULL
    Journal of Applied Corporate Finance, 2000, 13, (1), 64-74

1999

40. The Equity Performance of Firms Emerging from Bankruptcy
    Journal of Finance, 1999, 54, (5), 1855-1868 View citations (21)
    See also Working Paper The Equity Performance of Firms Emerging from Bankruptcy, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1997) View citations (1) (1997)

1998

41. The importance and subtlety of credit rating migration
    Journal of Banking & Finance, 1998, 22, (10-11), 1231-1247 View citations (51)

1997

42. Credit risk measurement: Developments over the last 20 years
    Journal of Banking & Finance, 1997, 21, (11-12), 1721-1742 View citations (104)
    See also Working Paper Credit Risk Measurement: Developments over the Last 20 Years, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1996) View citations (7) (1996)

1995

43. Financial Distress and Restructuring Models
    Financial Management, 1995, 24, (2) View citations (15)

1994

44. Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)
    Journal of Banking & Finance, 1994, 18, (3), 505-529 View citations (248)

1990

45. Setting the Record Straight on Junk Bonds: A Review of the Research on Default Rates and Returns
    Journal of Applied Corporate Finance, 1990, 3, (2), 82-95 View citations (6)

1989

46. Analyzing risks, returns and potential interest in the U.S. high yield corporate debt market for Japanese investors
    Japan and the World Economy, 1989, 1, (2), 163-186

1985

47. Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress
    Journal of Finance, 1985, 40, (1), 269-91 View citations (174)

1984

48. A Further Empirical Investigation of the Bankruptcy Cost Question
    Journal of Finance, 1984, 39, (4), 1067-89 View citations (281)
49. Introduction: Company and country risk models
    Journal of Banking & Finance, 1984, 8, (2), 151-151 View citations (2)
50. The success of business failure prediction models: An international survey
    Journal of Banking & Finance, 1984, 8, (2), 171-198 View citations (58)

1981

51. Information Effects and Stock Market Response to Signs of Firm Deterioration
    Journal of Financial and Quantitative Analysis, 1981, 16, (1), 35-51 View citations (19)
52. Share Markets and Portfolio Theory
    Australian Journal of Management, 1981, 6, (1), 144-146
53. Statistical classification models applied to common stock analysis
    Journal of Business Research, 1981, 9, (2), 123-149

1980

54. Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending
    Journal of Financial and Quantitative Analysis, 1980, 15, (4), 813-832 View citations (23)

1979

55. Assessing Potential Financial Problems for Firms in Brazil
    Journal of International Business Studies, 1979, 10, (2), 9-24 View citations (23)

1978

56. Financial Applications of Discriminant Analysis: A Clarification
    Journal of Financial and Quantitative Analysis, 1978, 13, (1), 185-195 View citations (13)

1977

57. Predicting performance in the savings and loan association industry
    Journal of Monetary Economics, 1977, 3, (4), 443-466 View citations (48)
58. ZETATM analysis A new model to identify bankruptcy risk of corporations
    Journal of Banking & Finance, 1977, 1, (1), 29-54 View citations (378)

1976

59. A Financial Early Warning System for Over-the-Counter Broker-Dealers
    Journal of Finance, 1976, 31, (4), 1201-17 View citations (8)
60. Abstract: Information Effects and Stock Market Response to Signs of Firm Deterioration
    Journal of Financial and Quantitative Analysis, 1976, 11, (4), 575-575 View citations (1)

1974

61. Comparative Analysis of Risk Measures: France and the United States
    Journal of Finance, 1974, 29, (5), 1495-1511 View citations (15)
62. Financial and Statistical Analysis for Commercial Loan Evaluation: A French Experience
    Journal of Financial and Quantitative Analysis, 1974, 9, (2), 195-211 View citations (6)

1973

63. Predicting Railroad Bankruptcies in America
    Bell Journal of Economics, 1973, 4, (1), 184-211 View citations (36)
64. Volatility Behavior of Industrial Stock Price Indices
    Journal of Finance, 1973, 28, (4), 957-71 View citations (9)

1972

65. Corporate Bankruptcy Potential, Stockholder Returns and Share Valuation: Reply
    Journal of Finance, 1972, 27, (3), 718-21

1971

66. Railroad Bankruptcy Propensity
    Journal of Finance, 1971, 26, (2), 333-45 View citations (14)

1970

67. Common Stock Price Volatility Measures and Patterns
    Journal of Financial and Quantitative Analysis, 1970, 4, (5), 603-625 View citations (3)
68. Ratio Analysis and the Prediction of Firm Failure: A Reply
    Journal of Finance, 1970, 25, (5), 1169-72 View citations (2)

1969

69. Corporate Bankruptcy Potential, Stockholder Returns and Share Valuation
    Journal of Finance, 1969, 24, (5), 887-900 View citations (4)

1968

70. FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY
    Journal of Finance, 1968, 23, (4), 589-609 View citations (3373)
71. THE PREDICTION OF CORPORATE BANKRUPTCY: A DISCRIMINANT ANALYSIS
    Journal of Finance, 1968, 23, (1), 193-194 View citations (2566)

Edited books

2013

1. Managing and Measuring Risk:Emerging Global Standards and Regulations After the Financial Crisis
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2014

1. Defaults and Returns in the High-Yield Bond and Distressed Debt Market: Review and Outlook
   Palgrave Macmillan

2013

2. MODELING CREDIT RISK FOR SMEs: EVIDENCE FROM THE US MARKET
   Chapter 9 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 251-279 View citations (3)
   See also Journal Article Modelling Credit Risk for SMEs: Evidence from the U.S. Market, Accounting Foundation, University of Sydney (2007) View citations (187) (2007)
3. Predicting financial distress of companies: revisiting the Z-Score and ZETA® models
   Chapter 17 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 428-456 View citations (21)
4. TOWARD A BOTTOM-UP APPROACH TO ASSESSING SOVEREIGN DEFAULT RISK: AN UPDATE
   Chapter 2 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 41-64
   See also Journal Article Toward a bottom-up approach to assessing sovereign default risk: an update, Capco Institute (2012) (2012)