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Quantification of the default probability of the top 42 non-financial South African firms
The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model o...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2016
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| _version_ | 1867613150673633280 |
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| access_status_str | Open Access |
| author | Van Breda, Ryan |
| author2 | Holman, Glen |
| author_browse | Holman, Glen Van Breda, Ryan |
| author_facet | Holman, Glen Van Breda, Ryan |
| author_sort | Van Breda, Ryan |
| collection | Thesis |
| description | The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model of default prediction builds upon option theory as pioneered by Black and Scholes and derives the probability of default predominately from the price and volatility of equity. In addition, BEE (Black Economic Empowerment) transactions currently being experienced within the South African corporate sector are further incorporated into the model. The results of this dissertation show that the Merton (1974) model may be used as a source of information of the underlying credit risk of publicly traded firms in South Africa. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/19041 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:34.243Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/19041 Quantification of the default probability of the top 42 non-financial South African firms Van Breda, Ryan Holman, Glen Financial Management The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model of default prediction builds upon option theory as pioneered by Black and Scholes and derives the probability of default predominately from the price and volatility of equity. In addition, BEE (Black Economic Empowerment) transactions currently being experienced within the South African corporate sector are further incorporated into the model. The results of this dissertation show that the Merton (1974) model may be used as a source of information of the underlying credit risk of publicly traded firms in South Africa. 2016-04-20T14:15:01Z 2016-04-20T14:15:01Z 2007 Master Thesis Masters MCom http://hdl.handle.net/11427/19041 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Management Van Breda, Ryan Quantification of the default probability of the top 42 non-financial South African firms |
| thesis_degree_str | Master's |
| title | Quantification of the default probability of the top 42 non-financial South African firms |
| title_full | Quantification of the default probability of the top 42 non-financial South African firms |
| title_fullStr | Quantification of the default probability of the top 42 non-financial South African firms |
| title_full_unstemmed | Quantification of the default probability of the top 42 non-financial South African firms |
| title_short | Quantification of the default probability of the top 42 non-financial South African firms |
| title_sort | quantification of the default probability of the top 42 non financial south african firms |
| topic | Financial Management |
| url | http://hdl.handle.net/11427/19041 |
| work_keys_str_mv | AT vanbredaryan quantificationofthedefaultprobabilityofthetop42nonfinancialsouthafricanfirms |