Predicting Probability of Default

Primax International Journal of Commerce and Management Research, Forthcoming

21 Pages Posted: 10 Oct 2017 Last revised: 29 Mar 2019

See all articles by Dr. C. S. Sharma

Dr. C. S. Sharma

Shri Ram College of Commerce,University of Delhi

Reetesh Kumar Singh

Delhi University

Rajeev Kumar Upadhyay

Sri Aurobindo College (Evening), Delhi University

Multiple version iconThere are 2 versions of this paper

Date Written: October 9, 2017

Abstract

The paper studies the default probabilities of the 47 Indian firms over period of 2007 to 2013. This study uses options based method to predict the probability of default of these firms over the assessment period. We has used Black, Scholes and Merton model in this paper. The study estimates the market value of assets, asset volatility, risk neutral default probability and real default probability of firms and finds out the factors that have impact on the default probabilities.

Keywords: Default Prediction

JEL Classification: G33

Suggested Citation

Sharma, Dr. C. S. and Singh, Reetesh Kumar and Upadhyay, Rajeev Kumar, Predicting Probability of Default (October 9, 2017). Primax International Journal of Commerce and Management Research, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3050068

Dr. C. S. Sharma

Shri Ram College of Commerce,University of Delhi ( email )

North Campus
Maurice Nagar
Delhi, 110007
India
+91-11-27667905 (Phone)

HOME PAGE: http://www.srcc.edu

Reetesh Kumar Singh

Delhi University

Rajeev Kumar Upadhyay (Contact Author)

Sri Aurobindo College (Evening), Delhi University ( email )

South Campus
Delhi
India

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