Bankruptcy Probabilities
Our proprietary bankruptcy prediction model provides highly accurate probabilities of bankruptcy filing for each month up to one year. Four examples are set out below. Please contact us to obtain our probability estimates for publicly-traded company bankruptcy filings.
Revlon Inc.
12 Month Probability = 26% (as of 9/18/20)
Our model assigns a high bankruptcy probability to Revlon and additional information implies that the probability is higher. Bloomberg's default probability is below 7%. Revlon's bankruptcy will wipe out its shareholders as the firm is deeply insolvent and cannot come close to paying its existing debt.
Transocean Ltd.
12 Month Probability = 25% (as of 9/17/20)
Transocean Ltd. is deeply insolvent as of September 17, 2020, with its senior unsecured debt due 11/15/20 trading at below 90 cents and its 12/15/21 senior unsecured debt trading below 55 cents. Bloomberg's 1-year default probability is too low by approximately half. Equity will receive no recovery in its bankruptcy filing.
Mallinckrodt plc
12 Month Probability = 33% (as of 9/17/20)
Mallinckrodt plc is deeply insolvent as of September 17, 2020 with its senior unsecured debt due 8/1/22 trading below 23 cents. Equity will receive no recovery in a bankruptcy filing in the U.S. or an insolvency proceeding in Ireland.
Nabors Industries
12 Month Probability = 22% (as of 9/17/20)
Nabors Industries is deeply insolvent as of 9/17/20 with its senior unsecured debt due 9/15/21 trading below 80 cents at a yield of approximately 35%. Its Bloomberg 1-year default probability is 2/3 too low.
RR Donnelley
12 Month Probability = 19% (as of 9/17/20)
RR Donnelley remains marginally balance-sheet solvent at 9/17/20, but the credit is deteriorating. While its S&P issuer rating is currently "B" it is likely to experience a downgrade to CCC+ within the year.
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One Hat Research LLC
One Hat Research LLC was founded in 2019 by researcher J.B. Heaton.
Our goal is to provide superior financial analytics to guide better decisions.
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Dr. Heaton's CV is available here. His Google Scholar page is here. His SSRN page is here.