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Corporate Bond and Commercial Loan Portfolio Analysis

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  • Edward I. Altman

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. This paper was presented at the Financial Institutions Center's October 1996 conference on "
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Suggested Citation

  • Edward I. Altman, 1996. "Corporate Bond and Commercial Loan Portfolio Analysis," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-6, New York University, Leonard N. Stern School of Business-.
    • Handle: RePEc:fth:nystfi:96-6
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    Cited by:

    1. Henke, Sabine & Burghof, Hans-Peter & Rudolph, Bernd, 1998. "Credit securitization and credit derivatives: Financial instruments and the credit risk management of middle market commercial loan portfolios," CFS Working Paper Series 1998/07, Center for Financial Studies (CFS).
    2. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
    3. Justin A. Sirignano & Gerry Tsoukalas & Kay Giesecke, 2016. "Large-Scale Loan Portfolio Selection," Operations Research, INFORMS, vol. 64(6), pages 1239-1255, December.
    4. Petr Jakubík & Petr Teplý, 2011. "The JT Index as an Indicator of Financial Stability of Corporate Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 157-176.
    5. Mencía, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.

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