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Credit Risk Measurement: Developments over the Last 20 Years

Author

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  • Edward I. Altman
  • Anthony Saunders
Abstract
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Suggested Citation

  • Edward I. Altman & Anthony Saunders, 1996. "Credit Risk Measurement: Developments over the Last 20 Years," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-3, New York University, Leonard N. Stern School of Business-.
    • Handle: RePEc:fth:nystfi:96-3
    as

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    References listed on IDEAS

    as
    1. Platt, Harlan D. & Platt, Marjorie B., 1991. "A note on the use of industry-relative ratios in bankruptcy prediction," Journal of Banking & Finance, Elsevier, vol. 15(6), pages 1183-1194, December.
    2. Izan, H. Y., 1984. "Corporate distress in Australia," Journal of Banking & Finance, Elsevier, vol. 8(2), pages 303-320, June.
    3. Scott, James, 1981. "The probability of bankruptcy: A comparison of empirical predictions and theoretical models," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 317-344, September.
    4. Chirinko, Robert S. & Guill, Gene D., 1991. "A framework for assessing credit risk in depository institutions: Toward regulatory reform," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 785-804, September.
    5. Altman, Edward I. & Marco, Giancarlo & Varetto, Franco, 1994. "Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 505-529, May.
    6. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    7. Pamela K. Coats & L. Franklin Fant, 1993. "Recognizing Financial Distress Patterns Using a Neural Network Tool," Financial Management, Financial Management Association, vol. 22(3), Fall.
    8. Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
    9. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    10. repec:bla:jfinan:v:44:y:1989:i:4:p:923-52 is not listed on IDEAS
    11. Brewer, Elijah III & Koppenhaver, G. D., 1992. "The impact of standby letters of credit on bank risk: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1037-1046, December.
    12. repec:bla:jfinan:v:44:y:1989:i:4:p:909-22 is not listed on IDEAS
    13. Wilcox, Jw, 1973. "Prediction Of Business Failure Using Accounting Data," Journal of Accounting Research, Wiley Blackwell, vol. 11, pages 163-179.
    14. Morgan, Anthony W., 1997. "Removing College Price Barriers. By Michael Mumper. Albany: State University of New York Press, 1995. 304p. $24.95," American Political Science Review, Cambridge University Press, vol. 91(2), pages 464-465, June.
    15. Lawrence, Edward C. & Smith, L. Douglas & Rhoades, Malcolm, 1992. "An analysis of default risk in mobile home credit," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 299-312, April.
    16. Smith, L. Douglas & Lawrence, Edward C., 1995. "Forecasting losses on a liquidating long-term loan portfolio," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 959-985, September.
    17. Somerville, R. A. & Taffler, R. J., 1995. "Banker judgement versus formal forecasting models: The case of country risk assessment," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 281-297, May.
    18. West, Robert Craig, 1985. "A factor-analytic approach to bank condition," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 253-266, June.
    19. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    20. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 29-54, June.
    21. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
    22. Bennett, Paul, 1984. "Applying portfolio theory to global bank lending," Journal of Banking & Finance, Elsevier, vol. 8(2), pages 153-169, June.
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