@article {Parnes23, author = {Dror Parnes}, title = {Modeling Bankruptcy Proceedings for High-Yield Debt Portfolios}, volume = {19}, number = {2}, pages = {23--33}, year = {2009}, doi = {10.3905/jfi.2009.19.2.023}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This research assists portfolio managers in estimating expected losses on a portfolio of distressed debt issuances as the predicted costs exclusively associated with bankruptcy filing and default. The pro-posed model conveys high significance among investment managers of non-investment grade debt is-suances, where bankruptcy filing is a real hazard for the underlying assets. We offer simple derivations, general guidelines, and a numerical example for estimating the necessary parameters of the model. Portfolio managers could deploy the formulae within a dynamic code, which can be frequently cali-brated to better identify superior investment strategies and optimize investment performance on high-yield debt issuances.TOPICS: Fixed-income portfolio management, information providers/credit ratings, statistical methods}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/19/2/23}, eprint = {https://jfi.pm-research.com/content/19/2/23.full.pdf}, journal = {The Journal of Fixed Income} }