Predicting Probability of Default
Primax International Journal of Commerce and Management Research, Forthcoming
21 Pages Posted: 10 Oct 2017 Last revised: 29 Mar 2019
Date Written: October 9, 2017
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: Suggested Citation