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1、PARTFOURCREDITANALYSISANDCREDITRISKMODELINGCopyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.ThispageintentionallyleftblankCHAPTERTHIRTY-TWOCREDITANALYSISFORCORPORATEBONDSFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankA
2、djunctProfessorofFinanceSchoolofManagementYaleUniversityThepurposeofthischapteristoprovideaframeworkforthecreditanalysisofcorporatebonds.Althoughtherearenumeroustypesofcorporatebondsout-standing,threemajorissuingsegmentsofbondscanbedifferentiated:industrials,ut
3、ilities,andfinancecompanies.Thischapterprimarilywilladdressindustrialsinitsgeneraldescriptionofbondanalysisandthendiscusstheutilityandfinanceissues.Specialfactorsthatmustbeconsideredinthecreditanalysisofhigh-yieldcorporateissuesarediscussed.Attheendofthischapter,
4、creditscoringmodelsforidentifyingpotentialissuersthatmaydefaultaredescribed.APPROACHESTOCREDITANALYSISTraditionally,creditanalysisforcorporatebondshasfocusedalmostexclusivelyonthedefaultriskofthebond—thechancethatthebondholderwillnotreceivethescheduledinterestp
5、aymentsand/orprincipalatmaturity.Thisone-dimensionalanalysisconcerneditselfprimarilywiththecalculationofaseriesofratioshis-toricallyassociatedwithfixedincomeinvestment.Theseratiostypicallywouldincludefixedchargecoverage,leverage,andfundsflow/totaldebt.Thisapproach
6、wasdeemedappropriatewheninterestrateswerestableandinvestorspurchasedbondswiththepurposeofholdingthemtomaturity.Inthisscenario,fluctuationsinthemarketvalueofthebondsowingtointerest-ratechangeswereminimal,andfluctuationsowingtocreditchangesofthebondissuerweremitiga
7、tedbythefactthattheinvestorhadnointentionofsellingthebondbeforematurity.Duringthepastthreedecades,however,thepurposeofbuyingbondshaschangeddramati-cally.InvestorsstillpurchasebondsforsecurityandtherebyforgothehigherThecoreofthischapterisbasedonthechapterbyJaneT
8、rippHowethatappearedinpreviousedi-tionsofthisbook.733Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.734PART4CreditAnalysisa
