An Analysis of the Probability of Default for Non-Financial Public Companies in Asia’s Emerging, Developed and Frontier Countries
- DOI
- 10.2991/aebmr.k.201222.016How to use a DOI?
- Keywords
- probability of default, developed market, emerging market, frontier market, liquidity, Merton model
- Abstract
This research presents the probability of default profiles of non-financial public companies in Asia’s market. Investors may need to monitor the market which they want to invest in. In this case, the probability of default is used to represent the financial condition. Using the Merton model as a structural approach method, financial reports data and market capitalization are employed to provide the probability of default of respective companies. The market was then classified further into three categories: developed market, emerging market, and frontier market. The probability of default profiles between those three categories was compared in this research. This study reveals that countries in the developed market and emerging market do not have significant differences, while the liquidity of those three financial markets are significantly different. It indicates that the Merton model does not capture the liquidity of the financial market properly, which results in a low probability of default in the frontier market. These findings can be considered by investors in their decision making in this globalization era.
- Copyright
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Arina Nada Kentjana AU - Zaäfri Ananto Husodo PY - 2020 DA - 2020/12/23 TI - An Analysis of the Probability of Default for Non-Financial Public Companies in Asia’s Emerging, Developed and Frontier Countries BT - Proceedings of the International Conference on Business and Management Research (ICBMR 2020) PB - Atlantis Press SP - 110 EP - 115 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.201222.016 DO - 10.2991/aebmr.k.201222.016 ID - Kentjana2020 ER -