The authors are the Max L. Heine and John M. Schiff Professors of Finance, Stern School of Business, NYU. This is an updated and revised paper from the authors report on quot;An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings,quot; (submitted to the BIS and published in...

This paper has examined two specific aspects of stage 1 of the (BIS's) Bank for International Settlement's proposed reforms to the 8% risk-based capital ratio. We argue that relying on quot;traditionalquot; agency ratings could produce cyclically lagging rather leading capital requirements,...

This is an updated and revised paper from the authorsacirc;not;quot; report on acirc;not;SAn Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratingsacirc;not;? [S-CDM-00-02] (submitted to the BIS and published in the Journal of Banking amp; Finance, Vol. 25, #1, January,...

This paper discusses two of the primary motivating influences on the recent development/revisions of credit scoring models, i.e., the important implications of Basel 2 s proposed capital requirements on credit assets and the enormous amounts and rates of defaults and bankruptcies in the US in...

This study is an attempt to construct and test a distress classification model for Korean companies. Utilizing a sample of 34 distressed firms from the most recent 1990-1993 period and a matched (by industry and year) sample of non-failed firms, we observe the classification accuracy of two...

A number of banks have recently undertaken a reassessment of their credit-lending process. The banksacirc;not;quot; endeavors coincided with the efforts of a small, but growing number of vendors who have developed systems to assess both public and private corporations. The purpose of this article...

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002. Our econometric univariate and multivariate models...

The defaulted and distressed, public and private debt markets in the United States increased enormously to a record $942 billion (face value) at the end of 2002. The market value of this increasingly attractive alternative investment segment was approximately $512 billion.Defaulted securities...

Full year 1999 was again a mixed performance year for the high yield bondmarket in the United States but for different reasons than the mixed 1998performance. Once again, total returns were lackluster, registering just +1.73%. But, unlike last year s companion negative return spread vs. U.S....