Research Center Events
Moody’s and NYU Stern Salomon Center hosted the 6th Annual Credit Risk Conference
May 13, 2010
Professor Edward Altman, a world-renowned expert in the field of corporate bankruptcy, distressed debt and credit risk analysis, started off the event discussing "How the Financial Crisis Has Affected the Credit Markets." Highlights of his presentation include:
- The current yield to maturity (YTM) spread between high yield markets and 10-year treasury notes is in a similar position to where it was on June 12, 2007—prior to the onset of the Global Financial Crisis—two standard deviations below the mean.
- The drop off in the YTM spread between high yield markets and 10-year treasury notes seen throughout 2009 is a result of the stabilization of the stock market through the Federal Reserve's $1.2 trillion capital injection.
- This year, we will likely see a one-half to three-quarter of one percent default rate in the high-yield bond market.
- While there has been a drop in market volatility, the fact that interest rates are being kept artificially low is a cause for concern.
- We may face a wave of bankruptcies in 2013-2014 as corporations look to refinance existing debt at the same time as the federal government.