{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/36220"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/36220","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)","abstract":"The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level.","abstract_html":"The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level.","abstract_has_math":false,"creators":["Zille, Nicholas Wolf"],"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":2021,"date_issued":"2021","date_published":"2021","updated_at":"2026-07-22T22:22:49Z","subjects":["Covid-19","Default Probability","Merton (1974) Model","Credit Risk"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/36220","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":["Zille, Nicholas Wolf"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2022-03-29T10:24:16Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2022-03-29T10:24:16Z"]},{"key":"dc:date.issued","label":"Date","values":["2021"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters","MCom"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Covid-19","Default Probability","Merton (1974) Model","Credit Risk"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/36220"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level."]},{"key":"dc:title","label":"Title","values":["The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)"]}]}],"canonical_facts":{"dc:contributor.advisor":["Holman, Glen"],"dc:creator":["Zille, Nicholas Wolf"],"dc:date.accessioned":["2022-03-29T10:24:16Z"],"dc:date.available":["2022-03-29T10:24:16Z"],"dc:date.issued":["2021"],"dc:description.abstract":["The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level."],"dc:identifier.uri":["http://hdl.handle.net/11427/36220"],"dc:publisher.department":["Department of Finance and Tax"],"dc:subject":["Covid-19","Default Probability","Merton (1974) Model","Credit Risk"],"dc:title":["The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters","MCom"]},"updated_at":"2026-07-22T22:22:49Z"}