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Predicting probability of default of Indian companies: A market based approach

Author

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  • Bhanu Pratap SINGH

    (Institute of Insurance and Risk Management (IIRM), Telangana, India)

  • Alok Kumar MISHRA

    (University of Hyderabad, Hyderabad, India)

Abstract

The paper models default probabilities for Indian companies in Black-Scholes- Metron (BSM) framework. The objective Probability of Default (PD) estimates are found to be higher for firms registered with Board of Industrial and Financial Reconstruction (BIFR). The proposed method can be applied to obtain direct PD estimates of companies to track their default status, calculate credit capital and corporate pricing by investors and financial institutions.

Suggested Citation

  • Bhanu Pratap SINGH & Alok Kumar MISHRA, 2016. "Predicting probability of default of Indian companies: A market based approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(608), A), pages 197-204, Autumn.
    • Handle: RePEc:agr:journl:v:xxiii:y:2016:i:3(608):p:197-204
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    References listed on IDEAS

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    Cited by:

    1. Bhanu Pratap SINGH & Alok Kumar MISHRA, 2019. "Sensitivity of bankruptcy prediction models to the change in econometric methods," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(620), A), pages 71-86, Autumn.

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