Quantification of the default probability of the top 42 non-financial South African firms

 

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dc.contributor.advisor Holman, Glen en_ZA
dc.contributor.author Van Breda, Ryan en_ZA
dc.date.accessioned 2016-04-20T14:15:01Z
dc.date.available 2016-04-20T14:15:01Z
dc.date.issued 2007 en_ZA
dc.identifier.citation Van Breda, R. 2007. Quantification of the default probability of the top 42 non-financial South African firms. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/19041
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Management en_ZA
dc.title Quantification of the default probability of the top 42 non-financial South African firms en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Van Breda, R. (2007). <i>Quantification of the default probability of the top 42 non-financial South African firms</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/19041 en_ZA
dc.identifier.chicagocitation Van Breda, Ryan. <i>"Quantification of the default probability of the top 42 non-financial South African firms."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2007. http://hdl.handle.net/11427/19041 en_ZA
dc.identifier.vancouvercitation Van Breda R. Quantification of the default probability of the top 42 non-financial South African firms. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2007 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/19041 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Van Breda, Ryan AB - 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. DA - 2007 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2007 T1 - Quantification of the default probability of the top 42 non-financial South African firms TI - Quantification of the default probability of the top 42 non-financial South African firms UR - http://hdl.handle.net/11427/19041 ER - en_ZA


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