English, Article, Journal or magazine article edition: Corporate Bond and Commercial Loan Portfolio Analysis Edward Altman

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Bookmark: http://trove.nla.gov.au/version/190429
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Corporate Bond and Commercial Loan Portfolio Analysis
Author
  • Edward Altman
Physical Description
  • preprint
Notes
  • In this paper we have presented a new approach to measure the return-risk trade-off in portfolios of risky debt instruments, whether bonds or loans. The use of complex, statistically based portfolio techniques to manage assets of financial institutions and fixed income portfolio money managers is very much in its early phase and will continue to evolve, perhaps more quickly in the near future. Our approach substitutes the concept of unexpected loss for the more traditional variance of return measure used in equity securities analysis. Preliminary empirical tests indicate some reason to be optimistic about this approach. This paper was presented at the Financial Institutions Center's October 1996 conference on "
  • RePEc:wop:pennin:96-41
Language
  • English
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