Dear Francesco,
It depends on the case. A good approach is to look at companies in the same industry that have had distress in the past and see how much they lost. There are more sophisticated ways using derivatives (CDSs, options). The complex problem is to separate the probability of distress and the costs given distress (indirect and direct); however, we often just need the expected loss due to default, which is available in bond prices, which use the analysis of credit rating agencies.
It depends on the case. A good approach is to look at companies in the same industry that have had distress in the past and see how much they lost. There are more sophisticated ways using derivatives (CDSs, options). The complex problem is to separate the probability of distress and the costs given distress (indirect and direct); however, we often just need the expected loss due to default, which is available in bond prices, which use the analysis of credit rating agencies.