Academic Journal
Merton model as predictor of failure probability of public banks in Indonesia
| العنوان: | Merton model as predictor of failure probability of public banks in Indonesia |
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| المؤلفون: | Pribadi, Firman, Susanto, Susanto |
| المصدر: | Journal of Economics, Business, & Accountancy Ventura; Vol 17, No 3 (2014): December 2014; 393-404 ; 2088-785X ; 2087-3735 |
| بيانات النشر: | Universitas Hayam Wuruk Perbanas |
| سنة النشر: | 2015 |
| المجموعة: | Academic Journal @ Perbanas Business School Surabaya - Indonesia |
| مصطلحات موضوعية: | Probability Default, Black-Schole-Merton (BSM), Credit Risk Model, Default Risk, Risk Analysis |
| الوصف: | This research attempts to use Black-Schole-Merton (BSM) model based on market approach to predict default probability of publishing bank in Indonesia. This is done by using stock prices and financial report. In this effort, this study estimates the neutral risk and default probability for the publish bank. The result showed that option model can predict default status more with accurate event long before default information was published for public. It can be studied from the case of Bank Century that has been imposed as a failure bank, in which it is known as bailout bank by the Indonesian government. The model does not only provide the ordinal ranking for the bank sample but also the good early warning prediction for the public. The probability estimation based on the option model can be an innovative model to measure and manage credit risk on the future for predicting probability default in Indonesia. |
| نوع الوثيقة: | article in journal/newspaper |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | https://journal.perbanas.ac.id/index.php/jebav/article/view/361/280; https://journal.perbanas.ac.id/index.php/jebav/article/view/361 |
| DOI: | 10.14414/jebav.v17i3.361 |
| الاتاحة: | https://journal.perbanas.ac.id/index.php/jebav/article/view/361 https://doi.org/10.14414/jebav.v17i3.361 |
| Rights: | Copyright (c) 2015 Journal of Economics, Business, and Accountancy | Ventura |
| رقم الانضمام: | edsbas.F30C5CA4 |
| قاعدة البيانات: | BASE |
| DOI: | 10.14414/jebav.v17i3.361 |
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