PROBABILITY OF DEFAULT, INTEREST MARGIN, AND BANK EFFICIENCY: EMPIRICAL TEST OF MERTON MODEL IN INDONESIAN BANKING | Zendy

Buddi Wibowo | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

PROBABILITY OF DEFAULT, INTEREST MARGIN, AND BANK EFFICIENCY: EMPIRICAL TEST OF MERTON MODEL IN INDONESIAN BANKING

Author(s) -

Buddi Wibowo

Publication year - 2017

Publication title -

jurnal aplikasi manajemen

Language(s) - English

Resource type - Journals

eISSN - 2302-6332

pISSN - 1693-5241

DOI - 10.21776/ub.jam.2017.015.02.05

Subject(s) - indonesian , net interest margin , margin (machine learning) , test (biology) , non performing loan , probability of default , econometrics , economics , actuarial science , business , financial system , credit risk , computer science , finance , loan , linguistics , philosophy , profitability index , biology , return on assets , paleontology , machine learning

Measurement of bank failure risk is still a challenging research problem. This study is aimed to measure the Indonesia banks probability of bankruptcywith Model Merton which has the better predictive power and is based on a far stronger financial theoretical frameworkcompared to the popular bankruptcy prediction model which is categorized by Sundaresan (2013) as a theoretical model such as Altman Z-score model and Ohlson 0 score more popular. The study also examine the relationship of bank efficiency and market power with its probability of default. The test results demonstrate that bank efficiency significantly affects the dynamics of bank’s default risk.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research