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All Journal Journal of Management Review InPrime: Indonesian Journal Of Pure And Applied Mathematics MATHunesa: Jurnal Ilmiah Matematika Indonesian Capital Market Review The South East Asian Journal of Management
Suardi, Lenny
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Computer Science & IT Economics, Econometrics & Finance Mathematics

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Journal : Indonesian Capital Market Review

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Estimating Structural Models of Corporate Bond Prices in Indonesian Corporations Suardi, Lenny; Syamsudin, M.
The Indonesian Capital Market Review Vol. 2, No. 2
Publisher : UI Scholars Hub

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Abstract

This paper applies the maximum likelihood (ML) approaches to implementing the structural model of corporate bond, as suggested by Li and Wong (2008), in Indonesian corporations. Two structural models, extended Merton and Longstaff & Schwartz (LS) models, are used in determining these prices, yields, yield spreads and probabilities of default. ML estimation is used to determine the volatility of irm value. Since irm value is unobserved variable, Duan (1994) suggested that the irst step of ML estimation is to derive the likelihood function for equity as the option on the irm value. The second step is to ind parameters such as the drift and volatility of irm value, that maximizing this function. The irm value itself is extracted by equating the pricing formula to the observed equity prices. Equity, total liabilities, bond prices data and the irm's parameters (irm value, volatility of irm value, and default barrier) are substituted to extended Merton and LS bond pricing formula in order to valuate the corporate bond.These models are implemented to a sample of 24 bond prices in Indonesian corporation during period of 2001-2005, based on criteria of Eom, Helwege and Huang (2004). The equity and bond prices data were obtained from Indonesia Stock Exchange for irms that issued equity and provided regular inancial statement within this period. The result shows that both models, in average, underestimate the bond prices and overestimate the yields and yield spread.
Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters Husodo, Zäafri Ananto; Suardi, Lenny; Setiati, Ririen; Hudiyono, Risca Fleureta
The Indonesian Capital Market Review Vol. 7, No. 1
Publisher : UI Scholars Hub

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Abstract

This research proposes a numerical approach in estimating the trend of behavior of this market. This approach is applied to a model that is inspired by catalytic chemical model, in terms of differential equations, on four composite indices, New York Stock Exchange, Hong Kong Hang Seng, Straits Times Index, and Jakarta Stock Exchange, as suggested by Caetano and Yoneyama (2011). The approach is used to minimize the difference of estimated indices based on the model with respect to the actual data set. The result shows that the estimation is able to capture the trend of behavior in stock market well.
Co-Authors Agistia, Maulia Dita Dwi Nastiti Danarsari Hakim, Fahmi Husodo, Zaafri Ananto Ilmi, Irfan Jati, Muthaqin Dhamar Widhoro M. Syamsudin, M. Malau, Siska F Nugroho, Joshua Aditia Ratih Dyah Kusumastuti Ririen Setiati Risca Fleureta Hudiyono Soegondo, Dhanawan Prasidya Viverita Viverita