Experience Stern | Faculty & Research

Forty-five years ago, NYU Stern’s Edward Altman created the Z-score model to assess a company’s credit risk and probability of default, a formula that became the gold standard for bankruptcy prediction among practitioners and academics. Now, in response to an increasingly global economic landscape and heightened demand for real-time information to manage risk, Altman has expanded his well-tested model and launched a new App, “Altman Z-Score Plus,” in partnership with Business Compass LLC. The App is currently available for the iPhone, iPad, Android and BlackBerry mobile platforms and on desktops through a web interface.

The original Altman Z-Score covered US-based manufacturing companies that are publicly traded.

The new Altman Z-score Plus now also covers:

• Non-US companies, including those in emerging markets such as China
• Non-manufacturing firms, both public and private (Z’’-Score)
• Privately-held industrial manufacturing firms (Z’-Score)

The Altman Z-Score Plus enhancements include:

• The assignment of a 1-to 10-year probability of default
• A percentile ranking likelihood of bankruptcy by industrial category
• A bond-rating equivalent (BRE) for each company that compares its most recent Z, Z' or Z”-Score with the average score for appropriate bond rating classes from AAA to D (default)

Professor Altman predicts an increase in the U.S., and especially Europe's, high-yield corporate bond default rate to perhaps 4.0% in 2012 based on the twin risks of a further slowing of the U.S. GDP and a default in at least one European country's bonds. These risks have affected current yield spreads and distressed ratios, two components that help drive Altman's forecasts.

Professor Altman will share his outlook for sovereign and corporate credit markets during a webinar on February 15, 11am EST, hosted by NYU Stern’s MS in Risk Management Program.

For more information on The Altman Z-score Plus, visit http://altmanzscoreplus.com/