What is Sculptor Capital Management Probability of Financial Distress (%)?
Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, Sculptor Capital Management's Probability of Financial Distress (%) is 0.00%.
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.
Competitive Comparison of Sculptor Capital Management's Probability of Financial Distress (%)
For the Asset Management subindustry, Sculptor Capital Management's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:
* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.
Sculptor Capital Management's Probability of Financial Distress (%) Distribution in the Asset Management Industry
For the Asset Management industry and Financial Services sector, Sculptor Capital Management's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where Sculptor Capital Management's Probability of Financial Distress (%) falls into.
Sculptor Capital Management Probability of Financial Distress (%) Calculation
Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.
The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:
| LPFD | = | -20.12 * NIMTAAVG | + | 1.60 * TLMTA | - | 7.88 * EXRETAVG | + | 1.55 * SIGMA | - | 0.005 * RSIZE | - | 2.27 * CASHMTA | + | 0.070 * MB | - | 0.09 * PRICE | - | 8.87 |
| = | -12.73 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.00% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.
2. TLMTA = Total liabilities to Market Total Assets
3. CASHMTA = Cash to Market Total Assets
For non-financial companies, CASHMTA is measured as:
4. EXRETAVG = Excess Return compared to the S&P 500
EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.
5. SIGMA = Standard Deviation of Daily Returns
For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).
6. RSIZE = Relative Size
| RSIZE | = | log (Market Cap | / | Total Market Cap of S&P 500 companies) |
7. MB = Market to Adjusted Book Equity Ratio
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
Sculptor Capital Management (Sculptor Capital Management) Business Description
Traded in Other Exchanges
N/A
Address
9 West 57th Street, New York, NY, USA, 10019
Sculptor Capital Management Inc is an alternative asset management firm. The company provides asset management services to its customers. It manages multi-strategy funds, dedicated credit funds, including opportunistic credit funds and Institutional Credit Strategies products, real estate funds and other alternative investment vehicles.
Executives
| Rithm Capital Corp. |
10 percent owner |
799 BROADWAY, New York NY 10003 |
| Wayne Cohen |
officer: Executive Managing Director |
OCH-ZIFF CAPITAL MANAGEMENT GROUP LLC, 9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| Charmel Maynard |
director |
9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| Dubai Holding Llc |
10 percent owner |
EMIRATES TOWERS, OFFICES, LEVEL 49, PO BOX 73311, DUBAI C0 00000 |
| Meghna R. Desai |
director |
C/O SCULPTOR CAPITAL, 9 W 57TH STREET, NEW YORK NY 10019 |
| David Bonanno |
director |
390 PARK AVENUE, NEW YORK NY 10022 |
| David Michael Levine |
officer: Chief Legal Officer |
OCH-ZIFF CAPITAL MANAGEMENT GROUP LLC, 9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| Dava Ritchea |
officer: Chief Financial Officer |
9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| Bharath Srikrishnan |
director |
9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| Abrams Capital Management, L.p. |
10 percent owner |
222 BERKELEY STREET, 21ST FLOOR, BOSTON MA 02116 |
| Georganne Proctor |
director |
1 BELVEDERE PLACE, SUITE 300, MILL VALLEY CA 94941 |
| Herbert Alvin Pollard |
officer: Chief Accounting Officer |
9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| James Morgan Rutman |
director |
9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
| Thomas Michael Sipp |
officer: Chief Financial Officer |
9 WEST 57TH STREET, NEW YORK NY 10019 |
| Erez Elisha |
officer: Chief Accounting Officer |
OCH-ZIFF CAPITAL MANAGEMENT GROUP LLC, 9 WEST 57TH STREET, 39TH FLOOR, NEW YORK NY 10019 |
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