Anatomy of Distressed Debt Markets

Lessons/Primers

Table of Contents

  • Introduction
  • Size of the Distressed and Defaulted Debt Market
  • Distressed Securities Investors
  • Investment Strategies
  • Active Control Investors
  • Active Non-Control Investors
  • Passive Investors
  • Valuation of Distressed Securities
  • Literature Review
  • Measuring and Investing in Defaulted and Distressed Debt Securities
  • Market-to-Face Value Ratios
  • Post-Default Experience
  • Volatility of Defaulted Bond Returns
  • Performance by Seniority
  • Defaulted Loan Performance
  • Analysis of Price Movements in Corporate Bonds Prior to Default
  • Conclusion

Edward I. Altman, Professor Emeritus, NYU Stern School of Business and Director of Fixed Income & Credit Research, NYU Salomon Center

Robert Benhenni, Professor, Leonard de Vinci Pole Universitaire, Paris and Visiting Scholar, NYU Stern School of Business

The Anatomy of Distressed Debt Markets, The Annual Review of Financial Economics (2019)

Image Source: Pensions & Investments

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