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Credit risk measurement: Developments over the last 20 years

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  • Altman, Edward I.
  • Saunders, Anthony
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3T857YH-B/2/81eee4a8b7614e3341899bc244b552ac
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 21 (1997)
    Issue (Month): 11-12 (December)
    Pages: 1721-1742

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    Handle: RePEc:eee:jbfina:v:21:y:1997:i:11-12:p:1721-1742

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
    2. Lawrence, Edward C. & Smith, L. Douglas & Rhoades, Malcolm, 1992. "An analysis of default risk in mobile home credit," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 299-312, April.
    3. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September.
    4. Somerville, R. A. & Taffler, R. J., 1995. "Banker judgement versus formal forecasting models: The case of country risk assessment," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 281-297, May.
    5. Bennett, Paul, 1984. "Applying portfolio theory to global bank lending," Journal of Banking & Finance, Elsevier, vol. 8(2), pages 153-169, June.
    6. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 29-54, June.
    7. Altman, Edward I. & Marco, Giancarlo & Varetto, Franco, 1994. "Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 505-529, May.
    8. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    10. Pamela K. Coats & L. Franklin Fant, 1993. "Recognizing Financial Distress Patterns Using a Neural Network Tool," Financial Management, Financial Management Association, vol. 22(3), Fall.
    11. Platt, Harlan D. & Platt, Marjorie B., 1991. "A note on the use of industry-relative ratios in bankruptcy prediction," Journal of Banking & Finance, Elsevier, vol. 15(6), pages 1183-1194, December.
    12. Scott, James, 1981. "The probability of bankruptcy: A comparison of empirical predictions and theoretical models," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 317-344, September.
    13. Chirinko, Robert S. & Guill, Gene D., 1991. "A framework for assessing credit risk in depository institutions: Toward regulatory reform," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 785-804, September.
    14. Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
    15. West, Robert Craig, 1985. "A factor-analytic approach to bank condition," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 253-266, June.
    16. Smith, L. Douglas & Lawrence, Edward C., 1995. "Forecasting losses on a liquidating long-term loan portfolio," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 959-985, September.
    17. Brewer, Elijah III & Koppenhaver, G. D., 1992. "The impact of standby letters of credit on bank risk: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1037-1046, December.
    18. Izan, H. Y., 1984. "Corporate distress in Australia," Journal of Banking & Finance, Elsevier, vol. 8(2), pages 303-320, June.
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