Lea V. Carty

Managing Director -- POINT Marketing
Lehman Brothers
745 Seventh Ave., 6th floor
New York, NY  10019;  USA

• Columbia University, Ph. D. (Economics) (1997)
• Lea is a member of Lehman Brothers' Portfolio and Index Tool (POINT) team which is housed within Lehman Brothers' broader fixed income research group. POINT is a fixed income portfolio risk analysis platform incorporating fixed income valuation analytics, multi-factor risk models, optimization routines, return attribution, indexes, and securities pricing.  Previously, Dr. Carty had been with Moody's where he lead the development and commercialization of Moody's risk management capabilities through a separately managed subsidiary, Moody's Risk Management Services, which acquired KMV in 2002 which became Moody'sKMV. Prior to joining Moody's, Dr. Carty worked at Bear, Stearns, and Company, Inc., New York, and Thomson-CGR (now General Electric, CGR), Paris.
• Dr. Carty holds a B.A. in Mathematics and French from Washington University in St. Louis, an M.A. in Mathematics from the University of Colorado, and a Ph.D. in Economics from Columbia University. Dr. Carty's corporate finance dissertation was awarded distinction. He has published research in the areas of credit risk, economic history and market structure, in academic journals, professional journals, and books.

Publications: that are posted on DefaultRisk.com & MoodysKMV.com

Credit Correlation

Carty, Lea V., "Corporate Credit-Risk Dynamics", Financial Analysts Journal, Vol. 56, No. 4, (July/August 2000), pp. 67-81.  [Abstract]

Carty, Lea V., "Credit Risk and Credit Quality Correlation: What Can We Measure?", The Journal of Lending & Credit Risk Management, Vol. 80, No. 6, (February 1998), pp. 40-42.

Recovery Rates

Bank Loan Loss Given Default
by Greg M. Gupton of Moody's Risk Management Services,
Daniel Gates of Moody's Investors Service, and
Lea V. Carty of Risk Management Services, Moody's Investors Service
(179K PDF) -- 24 pages -- November 2000

Debt Recoveries for Corporate Bankruptcies
by David T. Hamilton of Moody's Risk Management Services, and
Lea V. Carty of Risk Moody's Management Services
(201K PDF) -- 16 pages -- June 1999

Bankrupt Bank Loan Recoveries
by Lea V. Carty of Moody's Risk Management Services
(211K PDF) -- 16 pages -- June 1998

Defaulted Bank Loan Recoveries
by Lea V. Carty of Moody's Risk Management Services, and
Dana Lieberman of Moody's Risk Management Services
(84K PDF) -- 12 pages -- November 1996

Other Credit Papers

Hamilton, David T. and Lea V. Carty, "Moody's Bankrupt Bond Index", Moody's Special Report, (March 1998), 16p.

Keenan, Sean K., Lea V. Carty, Igor Shtogrin, and Jerome S. Fons, "Preferred Stock Ratings and Credit Risk", Moody's Special Report, (February 1998), 22p.

Historical Default Rates of Corporate Bond Issuers, 1920-1996
by Lea V. Carty, and
Dana Lieberman
(245K PDF) – 32 pages – January 1997

Corporate Bond Defaults and Default Rates 1938-1995
by Lea V. Carty, and
Dana Lieberman
(260K PDF) – 40 pages – January 1996

Carty, Lea V., "Preferred Stock Dividend and Credit Risk", The Journal of Fixed Income, (December 1995), 26p.

Commercial Paper Defaults and Rating Transitions, 1972-1995
by Lea V. Carty, and
Dana Lieberman
(175K PDF) – 24 pages – December 1995

Corporate Bond Defaults and Default Rates 1970-1994
by Lea Carty,
Dana Lieberman, and
Jerome S. Fons
(300K PDF) – 40 pages – January 1995

Corporate Bond Defaults and Default Rates 1970-1993
by Jerome S. Fons,
Lea Carty, and
Jeremy Kaufman
(494K PDF) – 43 pages – January 1994

Corporate Bond Defaults and Default Rates 1970-1992
Jerome S. Fons,
Lea V. Carty, and
Denis Girault
(458K PDF) – 38 pages – January 1993

Book Chapters In...

	Credit Derivatives & Credit Linked Notes: Trading & Management of Credit & Default Risk by Satyajit Das (Editor)  John Wiley & Sons, 2nd edition, November 2000, Hardcover, 800 pages Chapters #9. "Historical Default Rates of Corporate Bond Issuers", and #10, "Moody's Rating Migration and Credit Quality Correlation"
	Credit Risk: Models and Management by David Shimko (Editor) Risk Books, 1999, Hardcover, 332 page Chapter #4 "Measuring Changes in Corporate Credit Quality"
	Credit: The Complete Guide to Pricing, Hedging and Risk Management by Angelo Arvanitis, Jon Gregory Risk Books, April 2001, Hardcover, 424 pages Appendix #3 "An Empirical Analysis of Corporate Rating Migration, Default and Recovery"
	High Yield Bonds: Market Structure, Portfolio Management, and Credit Risk Modeling by Theodore M. Barnhill (Editor) Irwin Library of Investment & Finance, Hardcover, Published 1999 Chapters, "Historical Default Rates of Corporate Bond Issuers, 1920-1996" and "Moody's Rating Migration and Credit Quality Correlation, 1920-1996"

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