The adaptation of KMV model in measuring sovereign debt default / Siti Mahani Isman, Nazihah Misman and Nur Faiqah Mohd Ngasri

Isman, Siti Mahani and Misman, Nazihah and Mohd Ngasri, Nur Faiqah (2019) The adaptation of KMV model in measuring sovereign debt default / Siti Mahani Isman, Nazihah Misman and Nur Faiqah Mohd Ngasri. [Student Project] (Unpublished)

Abstract

Sovereign debt default can be defined as the failure of a government of a country to make repayment on its debt. KMV model was used in firms as a subject to measured it's default risk and less used on countries. The aim of this study is to adapt the KMV model into the case of predicting default risk of sovereign debt. In addition, the effect of sovereign debt default to the gross domestic product (GDP) of a country is identified where the sovereign debt default is not significantly related to the GDP of a country. Since the ability of KMV model is uncertain, therefore it is tested by comparing the probability of default (PD) between Malaysia and Greece This model measures the default risk of both countries based on the value of the financial statement of assets and liabilities from the years 2006 to 2017. From the result, it is found that Malaysia has a lower default risk than Greece. KMV model is found able to predict the default risk during world financial crisis. This study helps researcher, analyst, investor and policy maker to make decision involving the sovereign debt cases.

Metadata

Item Type: Student Project
Creators:
CreatorsEmail / ID. Num
Isman, Siti MahaniUNSPECIFIED
Misman, NazihahUNSPECIFIED
Mohd Ngasri, Nur FaiqahUNSPECIFIED
Subjects: Q Science > QA Mathematics > Study and teaching
Q Science > QA Mathematics > Mathematical statistics. Probabilities
Q Science > QA Mathematics > Analysis > Analytical methods used in the solution of physical problems
Divisions: Universiti Teknologi MARA, Negeri Sembilan > Seremban Campus > Faculty of Computer and Mathematical Sciences
Programme: Bachelor of Science (Hons.) Management Mathematics
Item ID: 39358
Uncontrolled Keywords: adaptation, KMV, measuring sovereign debt,
URI: http://ir.uitm.edu.my/id/eprint/39358

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