RT Journal Article
SR Electronic
T1 Modeling Bankruptcy Proceedings for High-Yield Debt Portfolios
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 23
OP 33
DO 10.3905/jfi.2009.19.2.023
VO 19
IS 2
A1 Dror Parnes
YR 2009
UL https://pm-research.com/content/19/2/23.abstract
AB 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