Quants in Distressed Debt

Non-specific Quantitative Finance related chatter.
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driveonelimo
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Quants in Distressed Debt

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Quants in Distressed Debt

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Quants in Distressed Debt

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Kitno
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Quants in Distressed Debt

Post by Kitno »

I'm going to revise my first answer.



There could be a limited application of quant modelling to distressed debt but only in specific industries AND where one expected actual default to turn into a high recovery proceeds play, i.e. asset intensive industries such as oil.



That said, when I say limited application, it really would be niche...
"Gentlemen, will you please decimate the bids?"
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deeds
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Quants in Distressed Debt

Post by deeds »

@Kitno -



agree



also with leverage/frictions these seem naturally cyclic with overhang dynamics



a bit more generally, can we plausibly address distress states in industries whose value we can link (materially) to a market price, like oil, mining...early writers like Rubinstein would have us believe we can map from subjective probability to risk neutral type framework...we've come a long way since then in understanding Bayesian updating under uncertainty...the ability to feed back, make use of longitudinal data and the introduction of new information reduces modeling hysteresis, narrows dispersion of subjectivity....quantitative like jury modeling...not irrelevant given often playing docket odds
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