Corporate Bond and Commercial Loan Portfolio Analysis

31 Pages Posted: 7 Nov 2008

See all articles by Edward I. Altman

Edward I. Altman

New York University (NYU) - Salomon Center; New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: September 1996

Abstract

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.

Suggested Citation

Altman, Edward I., Corporate Bond and Commercial Loan Portfolio Analysis (September 1996). NYU Working Paper No. FIN-96-006, Available at SSRN: https://ssrn.com/abstract=1297062

Edward I. Altman (Contact Author)

New York University (NYU) - Salomon Center ( email )

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New York University (NYU) - Department of Finance ( email )

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