COMPARISON OF ALTMAN, OHLSON AND DURATION MODEL ACCURACY IN PREDICTING DEFAULTRISK ON CORPORATE BOND
Amount: COMPARISON OF ALTMAN, OHLSON AND DURATION MODEL ACCURACY IN PREDICTING DEFAULTRISK ON CORPORATE BOND
Authors: NINA AMALIYAH
Item Type: Thesis
Memberships: Master of Management Study Program, Faculty of Economics and Business Universitas Airlangga Surabaya, Indonesia
Publisher: Airlangga University
Abstract
The development of approaches to predicting financial distress makes the choice of using the model more diverse. This study aims to compare the accuracy of the bankruptcy prediction model consisting of the Altman model, the Ohlson model and the duration model on the bond market in Indonesia. The research sample uses observations from 2001-2010 on manufacturing companies that issue bonds with a semi-annual payment frequency with an accuracy comparison technique using ECM. The results of this study indicate that the developed model has a good level of accuracy in predicting bond defaults, where the highest accuracy level is the Duration model, then the Ohlson model and the lowest is the Altman model.
Keywords: Altman Models, Ohlson Models, Duration Models
sources: http://repository.unair.ac.id/37096/
