A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof

Measuring credit risk is always a primary matter, mainly in the institution of banking. Several efforts have been adopted by banks to ensure the security of their loans. Accordingly, three objectives are introduced in this study as an effort to complement banks’ current credit risk management tools....

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Main Author:	Muhamad Yusof, Norliza
Format:	Thesis
Language:	English
Published:	2013
Online Access:	http://ir.uitm.edu.my/id/eprint/16395/ http://ir.uitm.edu.my/id/eprint/16395/1/TM_NORLIZA%20MUHAMAD%20YUSOF%20CS%2013_5.pdf

id	uitm-16395
recordtype	eprints
spelling	uitm-163952019-02-22T04:01:59Z http://ir.uitm.edu.my/id/eprint/16395/ A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof Muhamad Yusof, Norliza Measuring credit risk is always a primary matter, mainly in the institution of banking. Several efforts have been adopted by banks to ensure the security of their loans. Accordingly, three objectives are introduced in this study as an effort to complement banks’ current credit risk management tools. The first objective is to modify the KMV-Merton model according to the assumptions and condition of companies’ extreme cases made in this study. The second objective is to adapt the modified KMV-Merton model to the cases of estimating the probability of default of Malaysian companies, and the results of the adaptation are validated through credit ratings and EBIT interest coverage ratios. It appears that the probability of default estimated by the modified KMV-Merton model is able to react significantly and coincides with the given credit ratings and EBIT interest coverage ratios in a way of measuring the credit risk of Malaysian companies. This study also focuses on the probability of default estimated by the modified KMV-Merton model for the PN17 Companies. The analysis shows that the modified KMV-Merton model is able to predict future default of the companies up to three years in advance. These conclude that the modified KMV-Merton model is a convincing default forecaster model for Malaysian companies. Consequently, a framework which is called the Loan Credit Risk Indicator (LCRI) is developed as the last objective of this study. The LCRI is developed to assist banks in the loan decision-making and the repayment process. 2013 Thesis NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/16395/1/TM_NORLIZA%20MUHAMAD%20YUSOF%20CS%2013_5.pdf Muhamad Yusof, Norliza (2013) A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof. Masters thesis, Universiti Teknologi MARA.
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
description	Measuring credit risk is always a primary matter, mainly in the institution of banking. Several efforts have been adopted by banks to ensure the security of their loans. Accordingly, three objectives are introduced in this study as an effort to complement banks’ current credit risk management tools. The first objective is to modify the KMV-Merton model according to the assumptions and condition of companies’ extreme cases made in this study. The second objective is to adapt the modified KMV-Merton model to the cases of estimating the probability of default of Malaysian companies, and the results of the adaptation are validated through credit ratings and EBIT interest coverage ratios. It appears that the probability of default estimated by the modified KMV-Merton model is able to react significantly and coincides with the given credit ratings and EBIT interest coverage ratios in a way of measuring the credit risk of Malaysian companies. This study also focuses on the probability of default estimated by the modified KMV-Merton model for the PN17 Companies. The analysis shows that the modified KMV-Merton model is able to predict future default of the companies up to three years in advance. These conclude that the modified KMV-Merton model is a convincing default forecaster model for Malaysian companies. Consequently, a framework which is called the Loan Credit Risk Indicator (LCRI) is developed as the last objective of this study. The LCRI is developed to assist banks in the loan decision-making and the repayment process.
format	Thesis
author	Muhamad Yusof, Norliza
spellingShingle	Muhamad Yusof, Norliza A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
author_facet	Muhamad Yusof, Norliza
author_sort	Muhamad Yusof, Norliza
title	A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
title_short	A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
title_full	A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
title_fullStr	A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
title_full_unstemmed	A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
title_sort	modified kmv-merton model for predicting the levels of credit risk among malaysian public listed companies / norliza muhamad yusof
publishDate	2013
url	http://ir.uitm.edu.my/id/eprint/16395/ http://ir.uitm.edu.my/id/eprint/16395/1/TM_NORLIZA%20MUHAMAD%20YUSOF%20CS%2013_5.pdf
first_indexed	2023-09-18T22:55:58Z
last_indexed	2023-09-18T22:55:58Z
_version_	1777417856017760256

A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof

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