NYU Stern

Credit & Debt Markets Research Project

One of the engines of corporate and global growth is the efficient functioning and dynamic nature of our world’s credit and debt markets. The NYU Salomon Center has identified these markets as one of our key focus areas for committed and state-of-the-art research and dissemination of information and analytics. Our objective is to invite the University’s scholars, indeed the world’s experts, to come together in a series of research endeavors as well as specialized symposia and larger conferences to explore the many complex dimensions of financings, investment allocations, regulatory considerations and flow of capital involving global fixed income and credit markets. We plan to assemble a large and important set of databases to support our research and to convene relevant and important conferences on a regular basis. The research faculty at the Stern School of Business, and particularly its world class Finance Area, is uniquely qualified to lead these efforts, and we invite practitioners as well as academic scholars to join us in our endeavors.

Edward I. Altman
Max L. Heine Professor of Finance
Director, Credit & Debt Markets Research Project

Salomon Center High-Yield Corporate Bond Default Rate

The Altman-Kuehne/Salomon Center Dollar-Based 12-month Moving Average Default Rate is calculated by adding the defaults in a given quarter (3 months) to the total dollar amount of defaults from the three prior quarters (nine months), and then dividing the total by the size of the high-yield market at the beginning of the quarter for which the rate is being calculated. This rate, as well as historical default rates, is published every quarter in our "Defaults and Returns in the High-Yield Bond Market" reports, available by subscription from the Salomon Center.

1Q 2015 Default Rate: 1.07%

1Q 2015 Moving Average Default Rate: 3.06%