The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)
| dc.contributor.advisor | Holman, Glen | |
| dc.contributor.author | Zille, Nicholas Wolf | |
| dc.date.accessioned | 2022-03-29T10:24:16Z | |
| dc.date.available | 2022-03-29T10:24:16Z | |
| dc.date.issued | 2021 | |
| dc.date.updated | 2022-03-29T08:48:26Z | |
| dc.description.abstract | The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level. | |
| dc.identifier.apacitation | Zille, N. W. (2021). <i>The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/36220 | en_ZA |
| dc.identifier.chicagocitation | Zille, Nicholas Wolf. <i>"The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2021. http://hdl.handle.net/11427/36220 | en_ZA |
| dc.identifier.citation | Zille, N.W. 2021. The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE). . ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/36220 | en_ZA |
| dc.identifier.ris | TY - Master Thesis AU - Zille, Nicholas Wolf AB - The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level. DA - 2021_ DB - OpenUCT DP - University of Cape Town KW - Covid-19 KW - Default Probability KW - Merton (1974) Model KW - Credit Risk LK - https://open.uct.ac.za PY - 2021 T1 - The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) TI - The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) UR - http://hdl.handle.net/11427/36220 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/36220 | |
| dc.identifier.vancouvercitation | Zille NW. The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE). []. ,Faculty of Commerce ,Department of Finance and Tax, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/36220 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | Department of Finance and Tax | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | Covid-19 | |
| dc.subject | Default Probability | |
| dc.subject | Merton (1974) Model | |
| dc.subject | Credit Risk | |
| dc.title | The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationlevel | MCom |