The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)

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.

Grantor

Department of Finance and Tax

Year dc:date.issued

2021

Author dc:creator

• Zille, Nicholas Wolf

Advisor dc:contributor.advisor

• Holman, Glen

• Covid-19
• Default Probability
• Merton (1974) Model
• Credit Risk

Handle dc:identifier.uri

http://hdl.handle.net/11427/36220

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/36220