INVESTIGATING THE RELATIONSHIP BETWEEN PROBABILITY OF DEFAULT AND CAPITAL STRUCTURE BY KMV MODEL

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AZARIPANAH SH.; FALLAH SHAMS M.F.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2013 | Volume:6 | Issue:18 Page(s): 85-96

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Title

INVESTIGATING THE RELATIONSHIP BETWEEN PROBABILITY OF DEFAULT AND CAPITAL STRUCTURE BY KMV MODEL

Author(s)

AZARIPANAH SH. | FALLAH SHAMS M.F. | Issue Writer Certificate

Keywords

KMV MODELQ2

PANEL DATAQ3

Abstract

So far different models have been proposed for prediction of customers’ credit risk. However, use of a model which without relying on historical data employs market data as a warning about the customer’s current state and even about the expectations regarding the customer’s future state seems necessary. In this research, the relationship between components of capital structure and probability on default of the listed companies on Tehran Stock Exchange (TSE) has been investigated. Research data were extracted from a sample consisted of 40 joint-stock companies receiving facilities from Iranian banks for the period 2004-2010. First, using KMV MODEL the firms default probability was calculated. Next, using PANEL DATA method a regression was performed to examine the relationship between capital structure components as the independent variable (firm size, B/M, leverage, fluctuation of return on asset, share return, and sensitivity coefficient) and probability of default as the dependent variable and then regression tests were conducted. Research results indicate a significant relationship between capital structure and probability on firms default.

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APA: Copy

AZARIPANAH, SH., & FALLAH SHAMS, M.F.. (2013). INVESTIGATING THE RELATIONSHIP BETWEEN PROBABILITY OF DEFAULT AND CAPITAL STRUCTURE BY KMV MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(18), 85-96. SID. https://sid.ir/paper/200124/en

Vancouver: Copy

AZARIPANAH SH., FALLAH SHAMS M.F.. INVESTIGATING THE RELATIONSHIP BETWEEN PROBABILITY OF DEFAULT AND CAPITAL STRUCTURE BY KMV MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2013;6(18):85-96. Available from: https://sid.ir/paper/200124/en

IEEE: Copy

SH. AZARIPANAH, and M.F. FALLAH SHAMS, “INVESTIGATING THE RELATIONSHIP BETWEEN PROBABILITY OF DEFAULT AND CAPITAL STRUCTURE BY KMV MODEL,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 18, pp. 85–96, 2013, [Online]. Available: https://sid.ir/paper/200124/en

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