Forums  > General  > Quants in Distressed Debt  
Page 2 of 2Goto to page: 1, [2] Prev
Display using:  


Total Posts: 488
Joined: May 2006
Posted: 2019-07-25 14:37

I did once go through the exercise of bottom-up modelling for simple project SPVs, a few years ago. Even that turns pretty complex very soon. There are dozens of correlated factors, and > half of them are not market factors. For real estate, it's things like occupancy rates and maintenance costs 30y into the future. For oil wells, it's production rates, cost of production, spread to benchmark etc 10-20y into the future. And so on.

Each of those has a forward curve and a vol surface that you have to make up. And they are correlated as well.

In the end, you can move those "wishy-washy" factors to give you pretty much any answer you want, while staying well inside the spread.

And that is just simple SPVs. For any non-trivial corporate, I would say it is next to impossible.

"There is a SIX am?" -- Arthur


Total Posts: 449
Joined: Dec 2008
Posted: 2019-07-25 18:27

Agree, wishy and washy.
Previous Thread :: Next Thread 
Page 2 of 2Goto to page: 1, [2] Prev