the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

The Impact of Firm's Characteristics on Junk-Bond Default

by Sam Ramsey Hakim of the University of Nebraska, and
David Shimko of the University of Southern California

Summer 1995

Abstract: This study examines firm-specific value and risk factors as early predictors of junk bond default. Reduction in equity value, increased variation in long-term debt levels, and reductions in cash flow are found to be statistically significant indicators of higher default probabilities in a logit model. Variations in investment levels have insignificant explanatory power. The model provides individual investors with the ability to assess the default risk of high-yield securities based on the levels of observable financial variables.

Published in: Journal of Financial and Strategic Decisions, Vol. 8, No. 2, (Summer 1995), pp. 47-55.

Download paper (40K PDF) 9 pages