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Tables of Contents for Distressed Securities
Chapter/Section Title
Page #
Page Count
Preface
vii
Background of the Distressed Securities Market and Summary of Major Findings
1
8
Size of the Market
2
1
Supply of Distressed Securities
3
1
Distressed Security Investor Profile
4
2
Returns on Distressed Securities Investment Strategies
6
2
Market Importance and Outlook
8
1
Supply of Distressed Securities
9
16
Bankrupt Companies and Business Failures
12
1
Junk Bond Defaults
13
4
Distressed Securities by Yield
17
1
Publicly Traded Debt Securities
18
1
Private Debt
18
2
Trade Debt Claims
20
3
Conclusion
23
2
Demand for Distressed Securities
25
6
Questionnaire Results
25
2
Involuntary Investors
27
1
Providers of New Capital-DIP Financing
27
4
Price Levels and Recovery Rates on Defaulted Securities
31
6
Capital Structures
32
1
Recovery Rates
32
5
The Market for Defaulted Private Trade and Bank Debt
37
18
Public and Private Debt
38
1
Markets for Public Debt
39
1
Bankruptcy Rules
39
4
Judge Lifland's Court
43
1
Proposed Changes to Rule 3001(e) (2)
44
1
Direct Assignments
44
3
Participations
47
1
Trading Pre- and Post-Petition Bank Debt
47
1
Unregistered Securities
48
1
Representations and Warranties
49
1
Opportunities for Profit
50
1
Other Regulation
50
1
Heightened Bankruptcy Court Supervision
51
1
Functions of the Private Debt Market
52
1
Benefits for the Seller
53
1
Benefits for the Buyer
54
1
The Performance of Distressed Securities
55
28
Target and Minimum Rates of Return
56
1
Historical Performance: Review of Literature
57
4
New Test of Distressed debt Investment Strategies
61
8
The Zeta® Credit Evaluation Tool
69
2
Investing In Distressed Debt Using ZETA® Scores
71
1
Junk Bond Portfolio Selections
71
7
How Can Rigorous Credit Analysis Help?
78
1
The ZETA® Test
78
5
An Index of Defaulted Straight Debt Securities
83
10
A Defaulted Straight Corporate Debt Index
84
6
Market Value Weighting and Return Bias
90
1
Size and Returns
90
1
Diversification Benefits: Correlation with Other Strategies
91
2
Fallen Angels: Are They All Created Equal?
93
30
Purpose of the Research
95
2
Evoluntionary vs. Revolutionary Downratings
97
1
Some Basic Questions for Investors about Fallen Angels
98
1
Prior Studies on Fallen Angels
99
2
Empirical Results
101
8
Total Return Performance
109
1
Credit Deterioration vs. Event-Risk
109
1
Pro-Downrating Loss in Wealth
110
2
Utilities vs. Non-Utilities
112
1
BB vs. B-Rated Downgrades
113
3
Relative Performance: Excess Return Analysis
116
2
Event Risk vs. Credit Deterioration
118
1
Utilities vs. Non-Utilities
118
1
BB vs. B
118
3
Downtick Performance
121
1
Concluding Remarks
121
2
Default Rates and Fixed Income Performance
123
32
Traditional Measures of Default Rates and Losses
125
1
Default Rates
126
1
Default Losses
126
6
Questions Related to the Traditional Method
132
1
Mortality/Aging Approaches
133
1
Comparison of Results
134
4
Aging and Defaults
138
2
Returns
140
2
Blume and Keim Study
142
3
Cheung and Bencivenga Study
145
1
Positive Spreads
145
1
And now for the Future
146
2
A Different Kind of Simulation
148
3
Concluding Remarks
151
4
Outlook and Conclusion
155
18
Supply Forces
155
1
Estimating Supply from the Z-Score Bankruptcy Indicator
156
1
Z-Score Model Description
157
3
Demand Forces
160
2
Questionnaire Response on the Outlook
162
11
Appendixes
173
58
Index
231
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