Title: COMPARISON OF THE ACCURACY OF ALTMAN, OHLSON AND DURATION MODELS IN PREDICTING DEFAULTRISK ON CORPORATE BONDS

Authors: NINA AMALiyah

Item Type : Thesis (Thesis)

Affiliations: Master of Management Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia

Publisher: Universitas Airlangga

Abstract

The development of approaches to predicting financial distress has led to an increasing diversity of models. This study aims to compare the accuracy of bankruptcy prediction models consisting of the Altman model, the Ohlson model, and the duration model in the Indonesian bond market. The study sample used observations from 2001-2010 on manufacturing companies that issue bonds with semi-annual payment frequencies, using an ECM accuracy comparison technique. The results of this study indicate that the developed models have a good level of accuracy in predicting bond default, with the highest accuracy rate being the Duration model, followed by the Ohlson model, and the lowest being the Altman model.

Keywords: Altman Models, Ohlson Models, Duration Models

Sources: http://repository.unair.ac.id/37096/