A Distressed Bond Model
9 Pages Posted: 12 Jul 2016 Last revised: 22 Jul 2016
Date Written: July 11, 2016
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: Suggested Citation