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
Subjects:	Banking
Online Access:	https://ir.uitm.edu.my/id/eprint/16395/3/16395.pdf
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id	my-uitm-ir.16395
record_format	uketd_dc
spelling	my-uitm-ir.163952024-06-04T00:45:07Z A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof 2013 Muhamad Yusof, Norliza Banking Commercial credit. Commercial loans. Credit management 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 https://ir.uitm.edu.my/id/eprint/16395/ https://ir.uitm.edu.my/id/eprint/16395/3/16395.pdf text en public mphil masters Universiti Teknologi MARA (UiTM) Faculty of Computer and Mathematical Sciences Mohd Jaffar, Maheran
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
advisor	Mohd Jaffar, Maheran
topic	Banking Banking
spellingShingle	Banking Banking Muhamad Yusof, Norliza A modified KMV-Merton model for predicting the levels of credit risk among Malaysian public listed companies / Norliza Muhamad Yusof
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
qualification_name	Master of Philosophy (M.Phil.)
qualification_level	Master's degree
author	Muhamad Yusof, Norliza
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
granting_institution	Universiti Teknologi MARA (UiTM)
granting_department	Faculty of Computer and Mathematical Sciences
publishDate	2013
url	https://ir.uitm.edu.my/id/eprint/16395/3/16395.pdf
_version_	1804889564368601088

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

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