Episode 46 – Profiles in Credit – Professor Edward Altman
July 30, 2020

Episode 46 – Profiles in Credit – Professor Edward Altman

Geoff Castle chats with Edward Altman, Professor Emeritus of Finance at NYU’s Stern School of Business.

Subtitle: Lessons from the Father of the Altman Z-Score.

In this episode Geoff Castle, Fixed Income Portfolio Manager, chats with Edward Altman, Professor Emeritus of Finance at NYU’s Stern School of Business. They discuss Professor Altman’s background in distressed credit, the Altman Z-Score, Professor Altman’s recent paper which assesses default and bankruptcy rates and conditions before and after COVID.

Key Takeaways

[01:30]The conversation kicks off with Geoff introducing the Altman Z-Score, his own experience in using it, and he ask Professor Altman about how he came up with the model and the initial reaction to its publication.
[15:20]Professor Altman discusses rating agencies and how his relationships with them has changed over the years.
[18:08]Geoff asks Professor Altman to explain his research in assembling databases and indices on bankrupt securities.
[21:09]Professor Altman shares a potential “sweet spot”, a “great strategy” called quality high yield.
[24:39]Geoff turns to present day and asks Professor Altman about distressed debt, and his recently published paper with key messages on default vs bankruptcy rates before and during the COVID-19 pandemic.
[29:56]Geoff asks Professor Altman to discuss BBB’s and their “spectacular” performance coming out of the lows of March and the role of the Fed “in propping up that market”.
[37:34]Geoff closes the podcast by asking Professor Altman what he is currently reading.