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The Evolution of the Altman Z-Score Models for Predicting Financial Distress of Companies and Sovereigns and their Applications

Dates Thu. October 6, 2016  Time 19:00 - 19:00
Targets Non-Members 3,000JPY
Capacity 定員になり次第締切り
Panelists Professor Edward I. Altman (Professor Emeritus of Finance, Stern School of Business, New York University)
Organizer CFA Society Japan

Overview

Professor Altman reviews the evolution of credit scoring models to predict corporate distress, from fundamental financial ratios and other univariate measures to his pioneering work utilizing a multi-variate approach, more commonly known as the "Altman Z-Score" model. The seminar will explore how to adjust the original Z-Score model to make it applicable in the current environment for all industrial companies, not just manufacturers. Dr. Altman will also recommend an approach to transform the models' Z-Scores into a probability of default for various investment horizons. Through case studies and high profile bankruptcies, the seminar will explore a number of pragmatic applications, including some obvious ones in the investment field and some less obvious ones involving managing a financial turnaround for distressed companies. Finally, a new and unique application is presented to utilize firm default prediction models, aggregated at the country level, to assess the probability of default of sovereigns.