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Article

Modeling Bankruptcy Proceedings for High-Yield Debt Portfolios

Dror Parnes
The Journal of Fixed Income Fall 2009, 19 (2) 23-33; DOI: https://doi.org/10.3905/jfi.2009.19.2.023
Dror Parnes
is an assistant professor of finance at the University of South Florida in Tampa, FL.
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  • For correspondence: dparnes@coba.usf.edu
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Abstract

This research assists portfolio managers in estimating expected losses on a portfolio of distressed debt issuances as the predicted costs exclusively associated with bankruptcy filing and default. The pro-posed model conveys high significance among investment managers of non-investment grade debt is-suances, where bankruptcy filing is a real hazard for the underlying assets. We offer simple derivations, general guidelines, and a numerical example for estimating the necessary parameters of the model. Portfolio managers could deploy the formulae within a dynamic code, which can be frequently cali-brated to better identify superior investment strategies and optimize investment performance on high-yield debt issuances.

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The Journal of Fixed Income: 19 (2)
The Journal of Fixed Income
Vol. 19, Issue 2
Fall 2009
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Modeling Bankruptcy Proceedings for High-Yield Debt Portfolios
Dror Parnes
The Journal of Fixed Income Sep 2009, 19 (2) 23-33; DOI: 10.3905/jfi.2009.19.2.023

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Modeling Bankruptcy Proceedings for High-Yield Debt Portfolios
Dror Parnes
The Journal of Fixed Income Sep 2009, 19 (2) 23-33; DOI: 10.3905/jfi.2009.19.2.023
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