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.