Title: COMPARISON OF THE ACCURACY OF THE ALTMAN, OHLSON AND DURATION MODELS IN PREDICTING DEFAULTRISK IN CORPORATE BOND
Author: 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 made the choice of using models increasingly diverse. This research aims to compare the level of accuracy of bankruptcy prediction models consisting of the Altman model, Ohlson model and duration model on the bond market in Indonesia. The research sample uses observations from 2001-2010 in manufacturing companies that issue bonds with semi-annual payment frequencies with accuracy comparison techniques using ECM. The results of this research show that the developed model has a good level of accuracy in predicting bond default, where the highest level of accuracy is owned by 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/
