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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 Downloads View citations (1)
    Also in GLO Discussion Paper Series, Global Labor Organization (GLO) (2022) Downloads View citations (1)

2002

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

2000

  1. 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- Downloads View citations (5)
    See also Journal Article in Journal of Banking & Finance (2001)
  2. 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- Downloads

1999

  1. 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- Downloads View citations (1)

1998

  1. 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 (8)

1997

  1. 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 in Journal of Finance (1999)

1996

  1. 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)
  2. Corporate Bond and Commercial Loan Portfolio Analysis
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (5)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (5)
  3. 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 in Journal of Banking & Finance (1997)
  4. 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)
  5. 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

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

1984

  1. Airline Bankruptcy propensitites: A zeta analysis
    Transportation Research Forum Proceedings 1980s, Transportation Research Forum Downloads 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) Downloads

2021

  1. Rethinking SME default prediction: a systematic literature review and future perspectives
    Scientometrics, 2021, 126, (3), 2141-2188 Downloads View citations (16)
  2. 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 Downloads View citations (1)

2020

  1. A Race for Long Horizon Bankruptcy Prediction
    Applied Economics, 2020, 52, (37), 4092-4111 Downloads View citations (13)
  2. Assessing the credit worthiness of Italian SMEs and mini-bond issuers
    Global Finance Journal, 2020, 43, (C) Downloads View citations (14)

2019

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

2018

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

2017

  1. Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses
    Review of Finance, 2017, 21, (1), 433-463 Downloads View citations (12)

2016

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

2015

  1. The Bankruptcy System's Chapter 22 Recidivism Problem: How Serious is It?
    The Financial Review, 2015, 50, (1), 1-26 Downloads View citations (6)

2014

  1. Ultimate recovery mixtures
    Journal of Banking & Finance, 2014, 40, (C), 116-129 Downloads View citations (32)

2013

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

2012

  1. A universal critical density underlying the physics of electrons at the LaAlO3/SrTiO3 interface
    Nature Communications, 2012, 3, (1), 1-7 Downloads View citations (2)
  2. Toward a bottom-up approach to assessing sovereign default risk: an update
    Journal of Financial Transformation, 2012, 34, 19-29
    See also Chapter (2013)

2011

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

2010

  1. Bank Debt versus Bond Debt: Evidence from Secondary Market Prices
    Journal of Money, Credit and Banking, 2010, 42, (4), 755-767 View citations (26)
    Also in Journal of Money, Credit and Banking, 2010, 42, (4), 755-767 (2010) Downloads View citations (3)

2009

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

2007

  1. Global Debt Markets in 2007: New Paradigm or the Great Credit Bubble?
    Journal of Applied Corporate Finance, 2007, 19, (3), 17-31 Downloads View citations (5)
  2. Knowledge based framework for facilitating e-learning services
    International Journal of Innovation and Learning, 2007, 4, (2), 112-126 Downloads
  3. Modelling Credit Risk for SMEs: Evidence from the U.S. Market
    Abacus, 2007, 43, (3), 332-357 Downloads View citations (176)
    See also Chapter (2013)
  4. Morgan Stanley Roundtable on Managing Financial Trouble
    Journal of Applied Corporate Finance, 2007, 19, (4), 16-43 Downloads

2005

  1. An emerging market credit scoring system for corporate bonds
    Emerging Markets Review, 2005, 6, (4), 311-323 Downloads View citations (58)
  2. An integrated pricing model for defaultable loans and bonds
    European Journal of Operational Research, 2005, 163, (1), 65-82 Downloads View citations (3)
  3. Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
    Journal of Financial Services Research, 2005, 28, (1), 15-42 Downloads View citations (59)
  4. The Impact of the Rating Agencies’ Through‐the‐cycle Methodology on Rating Dynamics
    Economic Notes, 2005, 34, (2), 127-154 Downloads View citations (6)
  5. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications
    The Journal of Business, 2005, 78, (6), 2203-2228 Downloads View citations (267)

2004

  1. Customer lifetime value: stochastic optimization approach
    Journal of the Operational Research Society, 2004, 55, (8), 860-868 Downloads View citations (24)
  2. How rating agencies achieve rating stability
    Journal of Banking & Finance, 2004, 28, (11), 2679-2714 Downloads View citations (172)
  3. The Controversy Over Executive Compensation
    Journal of Applied Corporate Finance, 2004, 16, (1), 108-111 Downloads View citations (1)

2002

  1. Credit ratings and the BIS capital adequacy reform agenda
    Journal of Banking & Finance, 2002, 26, (5), 909-921 Downloads View citations (25)
  2. Managing Credit Risk: A Challenge for the New Millennium
    Economic Notes, 2002, 31, (2), 201-214 Downloads View citations (1)
  3. On the Convergence to Nash Equilibrium in Problems of Distributed Computing
    Annals of Operations Research, 2002, 109, (1), 279-291 Downloads View citations (1)

2001

  1. An analysis and critique of the BIS proposal on capital adequacy and ratings
    Journal of Banking & Finance, 2001, 25, (1), 25-46 Downloads View citations (73)
    See also Working Paper (2000)
  2. Credit ratings and the proposed new BIS guidelines on capital adequacy for bank credit assets
    Journal of Banking & Finance, 2001, 25, (1), 1-2 Downloads View citations (3)

2000

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

1999

  1. The Equity Performance of Firms Emerging from Bankruptcy
    Journal of Finance, 1999, 54, (5), 1855-1868 Downloads View citations (19)
    See also Working Paper (1997)

1998

  1. The importance and subtlety of credit rating migration
    Journal of Banking & Finance, 1998, 22, (10-11), 1231-1247 Downloads View citations (48)

1997

  1. Credit risk measurement: Developments over the last 20 years
    Journal of Banking & Finance, 1997, 21, (11-12), 1721-1742 Downloads View citations (98)
    See also Working Paper (1996)

1995

  1. Financial Distress and Restructuring Models
    Financial Management, 1995, 24, (2) View citations (14)

1994

  1. Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)
    Journal of Banking & Finance, 1994, 18, (3), 505-529 Downloads View citations (239)

1990

  1. 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 Downloads View citations (6)

1989

  1. 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 Downloads

1985

  1. Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress
    Journal of Finance, 1985, 40, (1), 269-91 Downloads View citations (168)

1984

  1. A Further Empirical Investigation of the Bankruptcy Cost Question
    Journal of Finance, 1984, 39, (4), 1067-89 Downloads View citations (268)
  2. Introduction: Company and country risk models
    Journal of Banking & Finance, 1984, 8, (2), 151-151 Downloads View citations (2)
  3. The success of business failure prediction models: An international survey
    Journal of Banking & Finance, 1984, 8, (2), 171-198 Downloads View citations (58)

1981

  1. Information Effects and Stock Market Response to Signs of Firm Deterioration
    Journal of Financial and Quantitative Analysis, 1981, 16, (1), 35-51 Downloads View citations (15)
  2. Share Markets and Portfolio Theory
    Australian Journal of Management, 1981, 6, (1), 144-146 Downloads
  3. Statistical classification models applied to common stock analysis
    Journal of Business Research, 1981, 9, (2), 123-149 Downloads

1980

  1. Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending
    Journal of Financial and Quantitative Analysis, 1980, 15, (4), 813-832 Downloads View citations (21)

1979

  1. Assessing Potential Financial Problems for Firms in Brazil
    Journal of International Business Studies, 1979, 10, (2), 9-24 Downloads View citations (22)

1978

  1. Financial Applications of Discriminant Analysis: A Clarification
    Journal of Financial and Quantitative Analysis, 1978, 13, (1), 185-195 Downloads View citations (12)

1977

  1. Predicting performance in the savings and loan association industry
    Journal of Monetary Economics, 1977, 3, (4), 443-466 Downloads View citations (48)
  2. ZETATM analysis A new model to identify bankruptcy risk of corporations
    Journal of Banking & Finance, 1977, 1, (1), 29-54 Downloads View citations (364)

1976

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

1974

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

1973

  1. Predicting Railroad Bankruptcies in America
    Bell Journal of Economics, 1973, 4, (1), 184-211 Downloads View citations (35)
  2. Volatility Behavior of Industrial Stock Price Indices
    Journal of Finance, 1973, 28, (4), 957-71 Downloads View citations (9)

1972

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

1971

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

1970

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

1969

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

1968

  1. FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY
    Journal of Finance, 1968, 23, (4), 589-609 Downloads View citations (3077)
  2. THE PREDICTION OF CORPORATE BANKRUPTCY: A DISCRIMINANT ANALYSIS
    Journal of Finance, 1968, 23, (1), 193-194 Downloads View citations (2560)

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. Downloads

Chapters

2014

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

2013

  1. 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 Downloads View citations (3)
    See also Journal Article in Abacus (2007)
  2. 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 Downloads View citations (18)
  3. 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 Downloads
    See also Journal Article in Journal of Financial Transformation (2012)
 
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