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Suparti Suparti
Departemen Statistika, Fakultas Sains Dan Matematika, Universitas Diponegoro
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Journal : Indonesian Journal of Applied Statistics

 1 
Valuasi One Period Coupon Bond dengan Aset Mengikuti Model Geometric Brownian Motion with Jump Diffusion Meiliawati Aniska; Di Asih I Maruddani; Suparti Suparti
Indonesian Journal of Applied Statistics Vol 3, No 2 (2020)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v3i2.43149

Abstract

One period coupon bond gives coupon once a bond life together with the principal debt. If the firm’s asset value on maturity date is insufficient to meet the debtholder’s claim, then the firm is stated as default. The well-known model for predicting default probability is KMV-Merton model. Under this model, it is assumed that the return on the firm’s assets is distributed normally and their behaviour can be described with the Geometric Brownian Motion (GBM) formula. In practice, most of the financial data tend to have heavy-tailed distribution. It indicates that the data contain some extreme values. GBM with Jump is a popular model to capture the extreme values. In this paper, we evaluate a corporate bond which has some extreme condition in their asset value and predicts the default probability in the maturity date. Empirical studies were carried out on bond that is issued by CIMB Niaga Bank that has a payment due in November 2020. The result shows that modelling the asset value is more appropriate by using GBM with Jump rather than GBM modelling. Estimation to CIMB Niaga Bank equity in November 2020 is IDR 246,533,573,844,229.00. The liability of this company is IDR 4,205,751,155,771.00. The prediction of CIMB Niaga Bank default probability is 1.065812 ´ 10-8 at the bond maturity. It indicates that the company is considered capable of fulfilling the obligations at the maturity date.Keywords: jump diffusion, extreme value, probability default, equity, liability
Co-Authors A. Sulaksono, A. A.A. Ketut Agung Cahyawan W Abdul Hoyyi Adhytia, Rizkyhimawan Agus Cahyono Agus Rusgiyono Agus Triyono Akbari, Windusiwi Asih Alan Prahutama Alanindra Saputra Alvita Rachma Devi Amanda Devi Paramitha Aminah Asngad Ananda, Refisa Angelia, Yuni Any Setyaningsih, Any Arianti Suhartini Arieanti, Dian Dinarafika Arief Rachman Hakim Arief Rachman Hakim Arnisa Melani Kahar Asismarta Asismarta, Asismarta AYU LESTARI Azizah, Adilla Nur Badriyah, Ratu Bahtiar Ilham Triyunanto Brillianing Pratiwi Budi Warsito C Yuwono Sumasto, C Yuwono Deden Aditya Nanda, Deden Aditya Dewi, Anggra Lita Sandra Dewi, P A R Dhea Dewanti Di Asih I Maruddani Diah Safitri Dwi Ispriyanti Dwi Sambada Dwi Wahyuningsih, Dwi Dwikoranto Eka Anisha Eka Destiyani Eka Fadilah Eka Wijayanti Erna Sulistianingsih Ernik Yuliana Esti Pratiwi Evelyna, Feby Fadilah, Eka Fitri Juniaty Simatupang, Fitri Juniaty Gina Wangsih Hanifah Nur Aini Happy Suci Puspitasari Hasbi Yasin Ihdayani Banun Afa Immawati Ainun Habibah Intaniasari, Yossinta Iut Tri Utami Iut Triutami Izzudin Khalid, Izzudin Jefferio Gusti Putratama Jody Hendrian Juwanda, Farikhin Karwanto, Karwanto Khansa Amalia Fitroh Khansa, I H Khoirunnisa, Siti Intan Khulaifiyah, Khulaifiyah Lamik Nabil Mu'affa Lanjari , Restu Lintangesukmanjaya, R T Lismiyati Marfuah, Lismiyati Lulu Maulatus Saidah Lulus Darwati, Lulus M. Noris Maman Suryaman Meiliawati Aniska Milawati Milawati Moch. Abdul Mukid Mokhamad Nurjam'i MUHAMAD SHOLEH Muhammad Sulaiman Muhammad Taufan Muqorobin, Masculine Muhammad Mustafid Mustafid Mustofa, Achmad Nastiti, Tri Dyah Netriwati Noer Rachma, Gustyas Zella Nunuk Hariyati Nurina Salma Alfiyyah Nurul Fitria Fitria Rizani Ovie Auliya’atul Faizah Paula Meilina Dwi Hapsari Prastya, Agus Puspita Kartikasari Putra, D A Rahma Dewi Hartati Rahman Kosasih, Fauzy Rahman, Syair Dafiq Faizur Rahmawati Patta, Rahmawati Rahyu Setiani Rambat Rambat, Rambat Riana Ayu Andam Pradewi Richy Priyambodo Rismawati Rismawati Rita Rahmawati Rudi Saputro Setyo Purnomo Rukun Santoso Sa'adah, Alfi Faridatus Sadjati, Ida Malati Safitri, Wardani Ana Salma Farah Aliyah Salsabila Rizkia Gusman Sania Anisa Farah Sanitoria Nadeak, Sanitoria Setiawan, Fuad Alfaridzi Setyoko Prismanu Ramadhan Setyowati, Titik Sholihah, Zaimatu Silvia Elsa Suryana Silvia Nur Rinjani Singgih Subiyantoro Siti Fadhilla Femadiyanti Sofiana Sofiana Sola Fide Sri Budiasih, Sri Sri Sumiyati Sri Wahyuni Sri Wahyuningrum Sudargo Sudarno Sudarno Sudarno Sudarno Sugito - Sugito Sugito Sunardi Sunardi Supeno Supratmi, Nunung Surasmi, W A Surasmi, Wuwuh Asrining Syafruddin Syafruddin Syafruddin*, Syafruddin syah, naziah Syazwina Aufa Syiva Multi Fani T. Mart, T. Tarno Tarno Tarno Tarno Tatik Widiharih Tiani Wahyu Utami Triastuti Wuryandari Tyas Estiningrum Ul Haq, Hasna Faridah Dhiya Vera Handayani Victoria Dwi Murti WAHYU SUKARTININGSIH Wahyu Tiara Rosaamalia Widari Widari, Widari Yasir Sidiq YATIM RIYANTO Yon Haryono Yunianika, Ika Tri Yupitasari, Yupitasari Yusak, Suharno Zein, Secondta Habib Syarifah Zia, Nabila Ghaida Zubaidah, Lailia