{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/19041"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/19041","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Quantification of the default probability of the top 42 non-financial South African firms","abstract":"The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model of default prediction builds upon option theory as pioneered by Black and Scholes and derives the probability of default predominately from the price and volatility of equity. In addition, BEE (Black Economic Empowerment) transactions currently being experienced within the South African corporate sector are further incorporated into the model. The results of this dissertation show that the Merton (1974) model may be used as a source of information of the underlying credit risk of publicly traded firms in South Africa.","abstract_html":"The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model of default prediction builds upon option theory as pioneered by Black and Scholes and derives the probability of default predominately from the price and volatility of equity. In addition, BEE (Black Economic Empowerment) transactions currently being experienced within the South African corporate sector are further incorporated into the model. The results of this dissertation show that the Merton (1974) model may be used as a source of information of the underlying credit risk of publicly traded firms in South Africa.","abstract_has_math":false,"creators":["Van Breda, Ryan"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Holman, Glen"],"committee_chairs":[],"committee_members":[],"year":2007,"date_issued":"2007","date_published":"2007","updated_at":"2026-07-24T01:34:09Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/19041","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Holman, Glen"]},{"key":"dc:creator","label":"Author","values":["Van Breda, Ryan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2016-04-20T14:15:01Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2016-04-20T14:15:01Z"]},{"key":"dc:date.issued","label":"Date","values":["2007"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MCom"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/19041"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model of default prediction builds upon option theory as pioneered by Black and Scholes and derives the probability of default predominately from the price and volatility of equity. In addition, BEE (Black Economic Empowerment) transactions currently being experienced within the South African corporate sector are further incorporated into the model. The results of this dissertation show that the Merton (1974) model may be used as a source of information of the underlying credit risk of publicly traded firms in South Africa."]},{"key":"dc:title","label":"Title","values":["Quantification of the default probability of the top 42 non-financial South African firms"]}]}],"canonical_facts":{"dc:contributor.advisor":["Holman, Glen"],"dc:creator":["Van Breda, Ryan"],"dc:date.accessioned":["2016-04-20T14:15:01Z"],"dc:date.available":["2016-04-20T14:15:01Z"],"dc:date.issued":["2007"],"dc:description.abstract":["The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model of default prediction builds upon option theory as pioneered by Black and Scholes and derives the probability of default predominately from the price and volatility of equity. In addition, BEE (Black Economic Empowerment) transactions currently being experienced within the South African corporate sector are further incorporated into the model. The results of this dissertation show that the Merton (1974) model may be used as a source of information of the underlying credit risk of publicly traded firms in South Africa."],"dc:identifier.uri":["http://hdl.handle.net/11427/19041"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Finance and Tax"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Quantification of the default probability of the top 42 non-financial South African firms"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-24T01:34:09Z"}