A Distressed Bond Model

9 Pages Posted: 12 Jul 2016 Last revised: 22 Jul 2016

See all articles by Jan Dash

Jan Dash

Bloomberg LP

Xipei Yang

Bloomberg L.P.

Stan Maydan

Bloomberg LP

Date Written: July 11, 2016

Abstract

We present the framework for a distressed bond model. The utility is as a proxy for calculating the risk of a distressed bond portfolio. We elaborate several possible implementations and give an example.

Keywords: distressed bond, proxy, portfolio

JEL Classification: C22, C63, F65, G01, G1

Suggested Citation

Dash, Jan and Yang, Xipei and Maydan, Stan, A Distressed Bond Model (July 11, 2016). Available at SSRN: https://ssrn.com/abstract=2808154 or http://dx.doi.org/10.2139/ssrn.2808154

Jan Dash (Contact Author)

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

Xipei Yang

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States

Stan Maydan

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

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