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1、CHAPTERTHIRTY-TWOCREDITANALYSISFORCORPORATEBONDSFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityThepurposeofthischapteristoprovideaframeworkforthecreditanalysisofcorporatebonds.Althoughtherearenumeroustypesofcorporatebondsout-standing,threemajor
2、issuingsegmentsofbondscanbedifferentiated:industrials,utilities,andfinancecompanies.Thischapterprimarilywilladdressindustrialsinitsgeneraldescriptionofbondanalysisandthendiscusstheutilityandfinanceissues.Specialfactorsthatmustbeconsideredinthecreditanalysisofhigh-yieldcorporateissuesarediscussed.A
3、ttheendofthischapter,creditscoringmodelsforidentifyingpotentialissuersthatmaydefaultaredescribed.APPROACHESTOCREDITANALYSISTraditionally,creditanalysisforcorporatebondshasfocusedalmostexclusivelyonthedefaultriskofthebond—thechancethatthebondholderwillnotreceivethescheduledinterestpaymentsand/orp
4、rincipalatmaturity.Thisone-dimensionalanalysisconcerneditselfprimarilywiththecalculationofaseriesofratioshis-toricallyassociatedwithfixedincomeinvestment.Theseratiostypicallywouldincludefixedchargecoverage,leverage,andfundsflow/totaldebt.Thisapproachwasdeemedappropriatewheninterestrateswerestablean
5、dinvestorspurchasedbondswiththepurposeofholdingthemtomaturity.Inthisscenario,fluctuationsinthemarketvalueofthebondsowingtointerest-ratechangeswereminimal,andfluctuationsowingtocreditchangesofthebondissuerweremitigatedbythefactthattheinvestorhadnointentionofsellingthebondbeforematurity.Duringthepas
6、tthreedecades,however,thepurposeofbuyingbondshaschangeddramati-cally.InvestorsstillpurchasebondsforsecurityandtherebyforgothehigherThecoreofthischapterisbasedonthechapterbyJaneTrippHowethatappearedinpreviousedi-tionsofthisbook.733Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompan
7、ies,Inc.Clickherefortermsofuse.734PART4CreditAnalysisandCreditRiskModelingexpectedreturnofotherassetssuchascommonstock.However,anincreasingnumberofinvestorsbuybondstoactivelytradethemwiththepurposeofmakingaprofitonchangesinin
