文章基本信息

标题：Merton model as predictor of failure probability of public banks in Indonesia
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作者：Firman Pribadi ; Firman Pribadi ; Susanto 等
期刊名称：Journal of Economics, Business & Accountancy
印刷版ISSN：2087-3735
电子版ISSN：2088-785X
出版年度：2014
卷号：17
期号：3
页码：393-404
DOI：10.14414/jebav.v17i3.361
语种：English
出版社：Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE)
摘要：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.
其他摘要：Penelitian ini mencoba untuk menggunakan Black-Schole-Merton (BSM) model yang didasarkan pada pendekatan pasar untuk memprediksi probabilitas default bank di Indonesia. Usaha ini dilakukan dengan menggunakan harga saham dan laporan keuangan. Dalam upaya i
关键词：Probability Default;Black-Schole-Merton (BSM);Credit Risk Model;Default Risk;Risk Analysis