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High yield bonds : market structure, portfolio management, and credit risk modeling

High yield bonds : market structure, portfolio management, and credit risk modeling (Loan 2 times)

Material type
단행본
Personal Author
Barnhill, Theodore M. Maxwell, William F. , 1965- Shenkman, Mark R.
Title Statement
High yield bonds : market structure, portfolio management, and credit risk modeling / edited by Theodore M. Barnhill, William F. Maxwell, and Mark R. Shenkman.
Publication, Distribution, etc
New York :   McGraw-Hill,   c1999.  
Physical Medium
xxxii, 574 p. : ill. ; 24 cm.
ISBN
0070067864
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Junk bonds. Portfolio management. Credit. Credit. Junk bonds. Portfolio management.
000 01033camuu2200313 a 4500
001 000000651029
005 19991118182301
008 980813s1999 ilua b 001 0 eng
010 ▼a 98040324
020 ▼a 0070067864
040 ▼a DLC ▼c DLC ▼d UKM
049 ▼l 111140273
050 0 0 ▼a HG4963 ▼b .H528 1999
082 0 0 ▼a 332.63/23 ▼2 21
090 ▼a 332.6323 ▼b H638
245 0 0 ▼a High yield bonds : ▼b market structure, portfolio management, and credit risk modeling / ▼c edited by Theodore M. Barnhill, William F. Maxwell, and Mark R. Shenkman.
260 ▼a New York : ▼b McGraw-Hill, ▼c c1999.
300 ▼a xxxii, 574 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Junk bonds.
650 0 ▼a Portfolio management.
650 0 ▼a Credit.
650 4 ▼a Credit.
650 4 ▼a Junk bonds.
650 4 ▼a Portfolio management.
700 1 ▼a Barnhill, Theodore M.
700 1 ▼a Maxwell, William F. , ▼d 1965-
700 1 ▼a Shenkman, Mark R.

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No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6323 H638 Accession No. 111140273 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.6323 H638 Accession No. 151217183 Availability Available Due Date Make a Reservation Service M

Contents information

Table of Contents


CONTENTS
PART ONE MARKET STRUCTURE
  1 The High Yield Market = 3
  2 Changes in the High Yield Market : A Historic Perspective = 17
  3 The Leveraged Loan Market = 40
  4 The Globalization of the High Yield Market = 61
PART TWO SECURITY RISK ANALYSIS
  5 Historical Default Rates of Corporate Bond Issuers, 1920-1996 = 75
  6 Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds = 104
  7 Moody's Rating Migration and Credit Quality, Correlation, 1920-1996 = 118
  8 Modeling Bond Rating Changes Oar Credit Risk Estimation = 156
  9 Real Interest Rates and the Default Rate on High Yield Bonds = 164
PART THREE SECURITY VALUATION
  10 Valuing Like-Rated Senior and Subordinated Debt = 177
  11 Determinants of Spreads on New High Yield Bond Offerings = 198
  12 Analyzing a High Yield Issue = 220
  13 Valuing Bonds and Options on Bonds Having Correlated Interest Rate and Credit Risk = 232
PART FOUR MARKET VALUATION MODELS
  14 Monetary Influences on the High Yield Spread versus Treasuries = 251
  15 Modeling the Yields on Noninvestment-Grade Bonds = 209
  16 The January Effect in the Corporate Bond Market : A Systematic Examination = 280
PART FIVE PORTFOLIO MANAGEMENT
  17 High Yield as an Asset Class = 305
  18 An Analysis of High Yield Bond Indices = 336
  19 How Many High Yield Bonds Make a Diversified Portfolio? = 370
  20 Managing a High Yield Portfolio = 380
  21 Monitoring a High Yield Portfolio = 391
  22 Modeling High Yield Bond Portfolios with Correlated Interest Rate and Credit Risk = 401
PART SIX INVESTING IN DISTRESSED SECURITIES
  23 Do Seniority Provisions Protect Bondholders' Investments? = 415
  24 Investing in Distressed Situations : A Market Survey = 431
  25 Analyzing the Credit Risk of Distressed Securities = 473
PART SEVEN CORPORATE FINANCE
  26 Strategic Financing Choices for Emerging Firms : Debt versus Equity = 489
  27 The Advantages and Disadvantages of Public versus Private Issuances of High Yield Debt Securities = 507
  28 Managing Default : Some Evidence on How Firms Choose between Workouts and Chapter 11 = 546
PART ONE MARKET STRUCTURE
  Chapter 1 The High Yield Market = 3
    Introduction = 3
    The Early to Mid-1980s = 4
    The Growth of Acquisition Financing = 5
    Some Structural Developments = 6
    LBO Returns = 7
    Other Developments of Note = 8
    The Rating Agencies versus the Market = 9
    Peak Default and Redemption = 10
    New Issuing Trends in the 1990s = 11
    Other Structural Developments = 12
    New Analysis Tools = 13
    Closing Comments = 13
    Summary of Typical High Yield Bond Covenants = 15
  Chapter 2 Changes in the High Yield Market : A Historic Perspective = 17
    Introduction = 17
    Evolution of the Market : High Yield Leveraged Loans, Infancy. and Private Placement = 18
    Phase Ⅰ = 19
    Phase Ⅱ = 20
    Phase Ⅲ = 20
    The Major Shifts = 22
      Information Overload/Management Challenge = 22
      The Sector Exposure to a Footprint Argument = 22
      Management Fee Compression = 23
      The Inflation/Growth Shift = 23
    Rapid Increase in Risk of the Secondary Market in 1980s Relative to Decline in Risk in the 1990s = 26
      The Proliferation of High Yield Portfolio Management Styles = 28
    The Role of Derivatives/Structured Products : A Risk Reward Spectrum = 28
    The Improvement in the Average Credit Statistics by Rating = 28
    The Shift in Capitalizing Cyclical Credits = 30
    Event Risk : A Shift from the Role of Equity Issuance to M&A Transactions = 31
      Dramatic Shift in Seniority = 37
    The Increased Importance of Diversification in a Global Linked Markets Environment = 38
    The United States versus the Global Bet Shift = 39
  Chapter 3 The Leveraged Loan Market = 40
    Background = 40
    Leveraged Loan Risk/Return Profile = 42
    Leveraged Loan Products and Market Segments = 43
    Pricing : Spreads and Fees = 45
    Structure and Covenants = 48
    Recent Trends = 49
      Pricing = 50
    Credit Statistics = 52
    Appendix 1 Syndicated Leveraged Loan Characteristics = 57
    Appendix 2 Secondary Loan Sales and Trading = 59
  Chapter 4 The Globalization of the High Yield Market = 61
PART TWO SECURITY RISK ANALYSIS
  Chapter 5 Historical Default Rates of Corporate Bond Issuers, 1920-1996 = 75
    Introduction = 75
    1996 Default Overview = 76
    Ratings and Default Data = 77
    Defaults and Default Rates = 80
      Definitions and Methodology = 80
      Defaults Since 1920 = 81
      One-Year Default Rates = 83
      Multiyear Default Rates = 86
      Comparison with Hickman's (1958) Default Rates = 88
      Default Rate Volatility = 89
    Recovery Rates = 90
      Defaulted Bond Price Volatility = 94
    Loss Rates = 94
    Conclusion = 95
    Appendix = 97
  Chapter 6 Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds = 104
    Introduction = 104
    Recovery Rates by Seniority = 106
    Recovery Rates by Industry = 106
    Recovery Rates by Seniority within Industries = 111
    Testing for Statistical Significance = 114
    Recovery Rates by Seniority and Original Credit Rating = 115
    Conclusion = 116
    References = 116
  Chapter 7 Moody's Rating Migration and Credit Quality Correlation, 1920-1996 = 118
    Introduction = 118
    Data and Methodology = 119
    Rating Migration = 122
      Trends in Corporate Credit Quality from 1920 through 1996 = 122
      Rating Change Magnitude = 123
      Rating Change Magnitude and Direction - Rating Transition Matrices = 124
      Withdrawn Ratings = 127
      Multiyear Rating Transition Matrices = 130
    Rating Transition Rate Volatility and Credit Quality Correlation = 131
      Rating Transition Rate Volatility = 131
      Credit Quality Correlation = 133
      The Impact of Credit Quality Correlation = 137
      Industrial and Geographic Considerations for Credit Quality Correlations = 139
    Conclusion = 142
    Appendix = 143
  Chapter 8 Modeling Bond Rating Changes for Credit Risk Estimation = 156
    Introduction = 156
    Historical Transition Matrices = 157
    Credit Rating Simulation = 157
    Simulating Equity Returns and Debt to Value Ratios = 158
    Mapping Debt Ratios into Bond Rating Categories = 160
      Credit Transition Matrices = 160
    Comparison of Historical and Simulated Transition Matrices = 161
    Simulating Correlated Changes in the Credit Rating for a Portfolio of Bonds = 162
    Conclusion = 162
    References = 163
  Chapter 9 Real Interest Rates and the Default Rate on High Yield Bonds = 164
    Motivation for Research on Default Rates = 164
    Literature Overview = 165
    The Curious Absence of Interest Rates = 166
    Measuring Correlations = 167
    Modeling Default Rates with a Real Interest Rate Variable = 170
    Conclusion = 173
    Reference = 173
PART THREE SECURITY VALUATION
  Chapter 10 Valuing Like-Rated Senior and Subordinated Debt = 177
    Introduction = 177
    The Trade-off between Default Probability and Expected Recovery = 178
    Evidence from the Primary Market = 183
    Evidence from the Secondary Market = 185
    How Does the Market Get It Right? = 191
    Conclusion = 193
    Appendix 1OA Notching Policies for Senior and Subordinated Ratings = 95
    Appendix 10B Structural Subordination = 197
  References = 197
  Chapter 11 Determinants of Spreads on New High Yield Bond Offerings
    Introduction = 198
    Methodology = 199
    Company-Specific Variables = 200
      Rating = 200
      Seniority = 203
      Term = 203
      Callability = 204
      Zero Coupon Status = 205
      Float = 205
      144a Status = 206
      First-Time Issuer = 206
      Underwriter Type = 207
    Environmental Variables = 207
      Spread versus Treasuries = 207
      BB/B Spread = 207
      Yield Curve = 208
      Default Rate = 208
      IPO Volume = 208
      Forward Calendar = 209
      Mutual Fund Flows = 209
      Mutual Funds Cash Position = 210
      Interest Rate Change = 210
      High Yield Return = 210
    Correlation Results = 210
    Creating a Multiple Regression Model = 212
    Testing for Period Dependence = 214
    Possible Sources of Unexplained Variance = 214
      Issuer's Industry Category = 216
      Quality of Management Presentation = 217
    Conclusion = 217
    References = 218
  Chapter 12 Analyzing a High Yield Issue = 220
    Introduction = 220
    Industry Analysis = 221
    Financial Analysis = 222
      1. Analysis of Cash Flow Generation = 222
      2. The Ability to Deleverage = 222
      3. Amortization Schedules = 223
      4. Quality and Salability of Assets = 223
      5. Priority of Debt in the Capital Structure = 223
      6. Capital Expenditure Requirements and Company's Life Cycle = 224
      7. Event Risk = 224
      8. Liquidity = 224
    Covenant Review = 225
      Limitation on Indebtedness = 225
      Restricted Payments = 226
      Change of Control = 226
      Asset Sales = 226
    Senior Management = 227
      Track Record and Reputation of Management = 227
      Equity Ownership = 227
      LBO Sponsors = 228
      Corporate Goals and Vision = 228
      Style of Management = 228
    Trading Factors = 229
      Size of Issue = 229
      Number of Marketmakers and Wall Street Sponsorship = 229
      Duration = 230
      Relative Yield Spreads = 230
    Conclusion = 231
  Chapter 13 Valuing Bonds and Options on Bonds Having Correlated Interest Rate and Credit Risk = 232
    Introduction = 232
    Credit Event = 233
    Stochastic Credit Risk = 233
    Recovery Rates in the Event of Default = 234
    Utilizing Transition Matrices and Recovery Rates to Value Bonds before Maturity = 234
    Term Structure Estimation by Rating Category = 237
    Modeling Multiple Stochastic Term Structures = 237
    Modeling the Value of the Underlying Bond = 239
    Credit Rating Simulation = 240
    Calibrating the Model (Arbitrage Tests of Simulations) = 240
    The Effect of the Correlation Structure on the Results = 241
    The Simulated Credit Risk of Ba-and B-Rated Bonds = 242
    Valuing Options With Credit Risk = 242
    Conclusion = 245
    References = 246
PART FOUR MARKET VALUATION MODELS
  Chapter 14 Monetary Influences on the High Yield Spread versus Treasuries = 251
    Introduction = 251
    Historical Average Spread = 253
    Fridson-J o' nsson Model(1995) = 254
      Credit Risk = 254
      Illiquidity Risk = 255
    Motivations for Further Analysis = 255
    Monetary Indicators and the Babson Model = 257
    Impact of the Ratings Mix = 258
    Influence of the General Level of Interest Rates = 262
    A New Synthesis : The Garman Model = 263
      Default Risk = 263
      Illiquidity Risk = 263
      Monetary Conditions = 263
    Garman Model's Verdict on High Yield Market's Valuation = 265
    References = 268
  Chapter 15 Modeling the Yields on Noninvestment-Grade Bonds = 269
    Introduction = 269
    A Long-Run Mean Reverting Relationship between Noninvestment-Grade Yields, Treasury Yields, and Default Rates = 270
    Error Correction Models and Short-Run Dynamics = 273
      Short Run Dynamic Factors Tested = 273
    Estimating Error Correction Models for the Noninvestment-Grade Bond Indic es = 275
    Empirical Findings = 277
    Segmentation of the High Yield Market = 278
    Conclusion = 278
    References = 279
  Chapter 16 The January Effect in the Corporate Bond Market : A Systematic Examination = 280
    Introduction = 280
    Seasonal Variation in Corporate Bond Returns and Yields = 281
      The January Effect in the Corporate Bond Market = 281
      Theories that Explain the January Effect = 282
      The January Effect and Bond Ratings = 282
    Strength the January Effect = 284
    The January Effect in the Corporate Bond Market and Firm Size = 286
    Seasonal Buying and Selling Patterns = 287
    Noninvestment Grade Bond Supply = 290
    Individual Investor Seasonal Demand = 290
    Window Dressing = 293
      Modeling the Seasonal Component of the BBB, Split BBB, and BB Indices = 294
      Cointegration Analysis = 294
      Estimating an Error Correction for the Indices = 297
    Conclusion = 298
    References = 300
PART FIVE PORTFOLIO MANAGEMENT
  Chapter 17 High Yield as an Asset Class = 305
    Risk/Reward and Its Role in Static and Tactical Asset Allocation = 305
    Key Conclusions = 310
    Risk and Return = 313
    Price versus Return Volatility = 314
    Sector Volatility = 315
    Correlation/Autocorrelation = 319
    Inherent Market Volatility = 322
      The Role of Volatility as a Portfolio Management Tool = 322
      Twenty-Month Rolling Volatility = 324
      The Beta of the High Yield Market = 325
      Yield Dispersion and Eight-Month Price Volatility = 328
    Interest Rate Effect : Duration Significance in High Yield Portfolios = 328
    Equity/Cycle Component = 330
      High Yield Correlation with Equity and Treasury Markets = 330
      Cycle Rotation = 332
    Conclusion = 332
  Chapter 18 An Analysis of High Yield Bond Indices = 336
    Introduction = 336
      Importance of the Benchmarks = 337
      Organization of the Chapter = 338
    Constructing a High Yield Bond index = 339
    Description of High Yield Bond Series = 340
      Important Index Characteristics = 340
      Index Sample = 340
      Return Weights = 341
      Bond Pricing = 341
      Bond and Stock Market Indexes Analyzed = 342
    The Risk-Return Performance : Composite High Yield Indexes = 345
    Risk-Return Performance : High Yield Rating Categories = 348
    Correlations among Alternative Indexes = 352
      Composite High Yield Bond Indexes = 352
      High Yield Rating Category Indexes = 353
    Index Tracking Deviation Results = 356
      Investment-Grade Index Tracking Deviations = 357
      High Yield Index Tracking Deviations = 359
      High Yield Rating Category Tracking Deviations = 360
      Autocorrelations of Tracking Deviations = 361
    Time Series Results = 362
    Changes in the Characteristics of High Yield Bond Market = 362
      Makeup of the HY Bond Market = 362
      Changing Duration of the HY Bond Market = 364
    Summary and Implication = 365
      Summary = 365
      Implications = 366
    References = 367
  Chapter 19 How Many High Yield Bonds Make a Diversified Portfolio? = 370
    Introduction = 370
    Total Return or Default Experience? = 371
    Implementing a Default-Based Approach = 372
    Credit Quality's Impact on the Number of Issues Required = 378
    Conclusion = 378
    References = 379
  Chapter 20 Managing a High Yield Portfolio = 380
    Introduction = 380
    Investment Objectives = 380
    Guidelines and Restrictions = 381
    Diversification = 382
    Investment Philosophy = 383
    Technical Factors = 384
      New Issue Supply(Forward Calendar) = 384
      Mutual Fund Inflows/Outflows = 385
      Yield Spreads = 385
      Default Rates = 385
    Degree of Risk : Placement on the Credit Spectrum = 386
    Volatility Considerations = 388
    Liquidity Requirements = 388
    Yield Management = 389
    Portfolio Turnover = 389
    Conclusion = 390
  Chapter 21 Monitoring a High Yield Portfolio = 391
    Introduction = 391
    Monitoring Existing Holdings = 391
    Monitoring Alternative Investments = 396
    Monitoring the Overall Portfolio = 396
      Issuer or Company Concentration = 398
      Industry Concentration = 399
      Concentration by Security Type = 399
      Cyclical Versus Noncyclical Exposure = 399
    Monitoring Investor Objectives and Constraints = 400
    Summary = 400
  Chapter 22 Modeling High Yield Bond Portfolios with Correlated Interest Rate and Credit Risk = 401
    Introduction = 401
    Simulation Methodology = 402
    Study Assumptions and Limitations = 403
    Interest Rate Risk Simulation Results = 405
    Bond Rating Transition Probabilities = 406
    Arbitrage Test = 407
    Correlated Interest Rate and Credit Risk Simulation with Industry Concentration and High Equity Volatility = 407
    Correlated Interest Rate and Credit Risk Simulation with Industry Diversification and High Equity Volatility = 408
    Correlated Interest Rate and Credit Risk Simulation with Industry Diversification and Average Equity Volatility = 410
    Comparison of Different Risk Asscssment Methodologies and the Significance of Equity Volatility Assumptions = 410
    Summary = 412
    References = 412
PART SIX INVESTING IN DISTRESSED SECURITIES
  Chapter 23 Do Seniority Provision Protect Bondholders' Investments? = 415
    Introduction = 415
    Literature Review = 417
    Data and Methodology = 418
      Data = 418
      Post-Default performance of Bonds = 419
      Loss Measures = 420
      Sample Selection Bias Issues = 422
    Empirical Results = 422
      Prices at Issuance and Emergence = 422
      Efficiency Tests at Default = 423
      Loss Measures = 424
      Loss by Seniority = 427
    Summary and Conclusions = 428
    Endnotes = 429
    References = 429
  Chapter 24 Investing in Distressed Situations : A Market Survey = 431
    Preface = 431
    Introduction = 432
    Basic Restructuring Options = 435
    Strategies for Creating Value = 436
    Proactive Investment Strategies = 438
      Taking Control of the Business = 438
      "Bondmail" = 440
    Passive Investment Strategies = 442
    Risk of Investing in a Distressed Situation = 444
      The "J" Factor = 444
      Title Risk and the Mechanics of Transferring Claims = 446
    Risk of Buying "Defective Merchandise" = 449
    Disputed and Contingent Claims = 452
    Counting Votes = 453
    Disqualification of Votes = 454
    Holding Period Risk = 456
    The Strategic Role of Valuation = 458
    Lack of Information about Purchases and Purchasers = 460
    Liquidation Risk = 461
    Insider Trading Issues = 462
    Tax Issues = 463
    Exit Strategies and Liquidity Risk = 464
  Do Vultures Add or Subtract Value in a Reorganization? = 466
  Conclusion = 468
  Appendix Rules for Confirming a Chapter 11 Plan of Reorganization = 470
    Consensual Plans = 470
    Nonconsensual Plans = 470
    The Feasibility Test = 471
  Chapter 25 Analyzing the Credit Risk of Distressed Securities = 473
    Introduction = 473
    Terminology = 474
    The Life Cycle of a Bankruptcy = 474
    Investment Analysis = 476
    Causes of Failure = 476
    The industry and Company Operating Results = 476
    Types of Bankruptcy or Restructuring = 477
    Positioning in the Capital Structure = 478
    Buying the Company versus Investing = 478
    Creditors' Committees = 479
    Record of the Judge = 479
    Timing = 480
    Valuation = 480
    Assets = 480
    The Enterprise Value(TEV) = 481
    The Plan = 482
    The Tranche = 483
    Matrix Valuation Approach = 483
    Caveats = 485
    Conclusion = 486
PART SEVEN CORPORATE FINANCE
  Chapter 26 Strategic Financing Choices for Emerging Firms : Debt versus Equity = 489
    Introduction = 489
    Conceptual Framework = 489
    Financing Alternative = 491
      Capital Markets = 491
      Bank Loans = 492
      Joint Venture or Partnership Arrangement = 492
      Private Capital Infusions = 492
      Internally Generated Funds = 493
    Pros and Cons of Using These Sources = 493
    Dept versus Equity = 494
      Cost of Equity = 494
      Cost of Debt = 498
    Fundamental Issues = 499
    Structure of Debt = 501
      Secured Debt versus Unsecured Debt = 501
      Senior Debt versus Subordinated Debt = 502
      Covenants = 502
      Maturity Term = 502
      Cash-Pay Bands versus Zero Coupon Bonds = 503
      Call Feature = 504
      Private versus Public Debt = 504
    Frequency of Issuance and Reputation of Issuer = 504
    Importance of the Rating Agency on Bond Pricing = 505
    Summary and Conclusions = 505
  Chapter 27 The Advantages and Disadvantages of Public versus Private Issuances of High Yield Debt Securities = 507
    Ⅰ. Introduction = 507
    Ⅱ. The Public Sale of High Yield Debt Securities = 510
      A. Overview of Applicable Federal and State Securities Laws = 510
      B. The Federal Registration Process = 511
      C. The Trust Indenture Act = 515
      D. State Securities Laws = 516
      E. The Exchange Act = 518
      F. Federal Antifraud Provisions = 519
    Ⅲ. The Private Sale of High Yield Debt Securities = 520
      A. Overview = 520
      B. Regulation D Private Placement Market = 521
      C. Rule 144a Private Placement Market = 524
      D. Registration Rights Generally = 526
    Ⅳ. The Advantages and Disadvantages of Public versus Private High Yield Debt lssuances = 527
      A. Pricing Considerations = 527
      B. Potential Investor Participation = 528
      C. Size of the Offering = 528
      D. Secondary Market Liquidity and Trading = 529
      E. Registration = 529
      F. Disclosure = 530
      G. Expenses = 530
      H. Timing = 531
      I. Underwriting = 531
      J. Public Ratings = 531
      K. Covenants and Other Terms = 532
    Ⅴ. Conclusion = 532
    Endnotes = 534
  Chapter 28 Managing Default : Some Evidence on How Firms Choose between Workouts and Chapter 11 = 546
    Introduction = 546
    Costs of Workouts versus Chapter 11 = 548
      Legal and Professional Fees = 548
      Management by Bankruptcy Judges = 550
      Lost Investment Opportunities = 551
    How Do Shareholders Fare? = 553
    Adventages of Chapter 11 = 554
    The Holdout Problem = 555
    Incentives of Managers and Directors = 557
    Policy Implications = 558
Index = 561

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