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

We introduce a methodology from geophysics, Singular Spectrum Analysis (SSA), to obtain stable, noise-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA-smoothed time series are then used to obtain the...