We develop a contingent claims model for a firm in financial distress with a formal account for renegotiations under the U.S. bankruptcy procedure (known as Chapter 11). Shareholders and two classes of creditors (senior and junior) alternatively propose a reorganization plan subject to a vote....

"Portfolio performance measures are a key factor in the investment decision, enabling investors to gauge how effectively their money is being managed, covering the level of risk as well as the level of return. Effective and accurate portfolio performance measurement is a fundamental requirement...