Providing theoretical and practical insight, Distressed Debt Analysis: Strategies for
Speculative Investors presents a conceptual, but not overly technical, outline of the financial …

We examine the relationship that exists among bond ratings, bond yields, and various
estimates of a firm's contingent environmental remediation liability using a sample of new …

Rating agency default studies provide estimates of mean default rates over multiple time
horizons but have never included estimates of the standard errors of the estimates. This is …

Since financial myths exploded in the 1980s, the perspective of time creates a unique
opportunity to update and expand the analysis begun in Glenn Yago's 1991 book, Junk …

Many market practitioners base their parameter estimates on results reported in rating
agency default studies. Although the comparability of default rates reported by the agencies …

This research assists portfolio managers in estimating expected losses on a portfolio of
distressed debt issuances as the predicted costs exclusively associated with bankruptcy …

We present a new structural credit model that is able to incorporate available soft
information, diverse qualitative data and subjective opinions on managerial ability to handle …

We theorize how bondholders and shareholders negotiate debt terms after a firm has
already filed for bankruptcy. We construct four bargaining games with different information …

In this paper we theorize how bondholders and shareholders negotiate debt covenants after
a firm has already filed for bankruptcy. This event triggers unique turmoil in the transfer of …

Measurement of the probability of default for a corporate exposure over a given investment
horizon is often the first step in credit risk modeling, management, and pricing. Many market …