What is the value of modified restructuring?

By Alex Reyfman and Klaus Toft

This article was first published as a chapter in Credit Derivatives, 2003, by Risk Books.

In this chapter, we present a framework for quantifying the value of modified restructuring (Mod R), modified modified restructuring (Mod Mod R), and old restructuring (Old R) in a credit default swap (CDS) contract, relative to a contract with only bankruptcy and failure to pay credit events (No R).11Under our base-case assumptions, for a five-year CDS contract, the value of Mod R is 1.9% of the No R spre

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