Abstract
<p>One period coupon bond gives coupon once a bond life together with the principal debt. If the firm’s asset value on maturity date is insufficient to meet the debtholder’s claim, then the firm is stated as default. The well-known model for predicting default probability is KMV-Merton model. Under this model, it is assumed that the return on the firm’s assets is distributed normally and their behaviour can be described with the Geometric Brownian Motion (GBM) formula. In practice, most of the financial data tend to have heavy-tailed distribution. It indicates that the data contain some extreme values. GBM with Jump is a popular model to capture the extreme values. In this paper, we evaluate a corporate bond which has some extreme condition in their asset value and predicts the default probability in the maturity date. Empirical studies were carried out on bond that is issued by CIMB Niaga Bank that has a payment due in November 2020. The result shows that modelling the asset value is more appropriate by using GBM with Jump rather than GBM modelling. Estimation to CIMB Niaga Bank equity in November 2020 is IDR 246,533,573,844,229.00. The liability of this company is IDR 4,205,751,155,771.00. The prediction of CIMB Niaga Bank default probability is 1.065812 ´ 10<sup>-8</sup> at the bond maturity. It indicates that the company is considered capable of fulfilling the obligations at the maturity date.</p><p><strong>Keywords: </strong>jump diffusion, extreme value, probability default, equity, liability</p>
Highlights
Sektor finansial merupakan salah satu sektor yang paling banyak diminati dalam berinvestasi
In this paper, we evaluate a corporate bond which has some extreme condition in their asset value and predicts the default probability in the maturity date
Microsoft Excel untuk Pengukuran Value at Risk: Aplikasi pada Risiko Investasi Saham
Summary
Sektor finansial merupakan salah satu sektor yang paling banyak diminati dalam berinvestasi. One period coupon bond adalah jenis obligasi yang memberikan keuntungan (kupon) sebanyak satu kali yang dibayarkan bersamaan dengan nilai pokok obligasi pada saat jatuh tempo. Untuk memperhitungkan risiko kebangkutan tersebut dapat digunakan valuasi terhadap aset obligasi. Metode yang sering digunakan untuk melakukan valuasi terhadap obligasi adalah dengan metode Merton yang asetnya mengikuti model Geometric Brownian Motion (GBM). Pemodelan dengan metode yang dapat digunakan untuk melihat efek jump tersebut [5]. Pemodelan data saham pada PT Aneka Tambang Tbk dengan GBM Jump memberikan akurasi prediksi harga saham yang sangat baik [6]. Penelitian ini bertujuan melakukan valuasi pada obligasi yang dikeluarkan oleh Bank CIMB Niaga dan menentukan peluang kebangkrutan perusahaan tersebut pada saat obligasi jatuh tempo. Desember 2016 terindikasi mengandung data ekstrem, sehingga GBM Jump merupakan metode yang tepat untuk diterapkan dalam kasus ini
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