PT - JOURNAL ARTICLE AU - Dror Parnes TI - Modeling Bankruptcy Proceedings for High-Yield Debt Portfolios AID - 10.3905/jfi.2009.19.2.023 DP - 2009 Sep 30 TA - The Journal of Fixed Income PG - 23--33 VI - 19 IP - 2 4099 - https://pm-research.com/content/19/2/23.short 4100 - https://pm-research.com/content/19/2/23.full AB - 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.TOPICS: Fixed-income portfolio management, information providers/credit ratings, statistical methods