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

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dc.contributor.advisorHolman, Glenen_ZA
dc.contributor.authorVan Breda, Ryanen_ZA
dc.date.accessioned2016-04-20T14:15:01Z
dc.date.available2016-04-20T14:15:01Z
dc.date.issued2007en_ZA
dc.description.abstractThe 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.identifier.apacitationVan 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/11427/19041en_ZA
dc.identifier.chicagocitationVan 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/11427/19041en_ZA
dc.identifier.citationVan 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.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
dc.identifier.urihttp://hdl.handle.net/11427/19041
dc.identifier.vancouvercitationVan 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/11427/19041en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titleQuantification of the default probability of the top 42 non-financial South African firmsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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