Default Rates in the Syndicated Bank Loan Market: A Mortality Analysis

By Edward I. Altman, Heather J. Suggitt. 2000

124 citations recorded by the source corpus.

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Monitoring, Financial Distress, and the Structure of Commercial Lending Syndicates (2004, background): “Altman and Suggitt (2000) present the first systematic study of default rates on large syndicated loans over 1991-1996.”
Large debt financing: syndicated loans versus corporate bonds (2010, background): “There is also evidence on the pricing of syndicated loans in relation to lender characteristics and the borrower’s default risk (Angbazo, Mei, and Saunders 1998;Altman and Suggitt 2000; Hubbard, Kuttner, and Palia 2002; Thomas and Wang 2004; Coleman, Esho, and Sharpe 2006).”
Customer Concentration and Loan Contract Terms (2017, unknown): “To provide a rough estimate of such losses, we take the product of four pieces of information: 1) the average loan face value, 2) the average loss given default (see Altman and Suggitt (2000)), 3) the additional default rate driven by customer concentration (from in Table 12), and 4) the average cus”
Credit risk rating systems at large US banks (2000, background): “Altman and Suggitt (2000) and Society of Actuaries (1998) present evidence that both default rates and loss in event of default dier signi®cantly across the two asset classes, especially for the riskier grades.”