High yield bonds : market structure, portfolio management, and credit risk modeling

Abstract

Part I: Market Structure. The High Yield Market. Changes in the High Yield Market: A Historic Perspective. The Leveraged Loan Market. The Globalization of the High Yield Market. Part II: Security Risk Analysis. Historical Default Rates of Corporate Bond Issuers, 1920-1996. Almost Everything You Wanted to Know About Recoveries on Defaulted Bonds. Moody's Rating Migration and Credit Quality Correlation, 1920-1996. Modeling Bond Rating Changes for Credit Risk Estimation. Real Interest Rates and the Default Rate on High Yield Bonds. Part III: Security Valuation. Valuing Like-Rated Senior and Subordinated Debt. Determinants of Spreads on New High Yield Bond Offerings. Analyzing a High Yield Issue. Valuing Bonds and Options on Bonds Having Correlated Interest Rate and Credit Risk. Part VI: Investing in Distressed Securities. Do Seniority Provisions Protect Bondholder's Investments? Investing in Distressed Situations: A Market Survey. Analyzing the Credit Risk of Distressed Securities. Part VII: Corporate Finance. Strategic Financing Choices for Emerging Firms: Debt versus Equity. The Advantages and Disadvantages of Public versus Private Issuance of High Yield Debt Securities. Managing Default: Some Evidence on How Firms Choose Between Workouts and Chapter 11.

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