PENDEKATAN MODEL KMV MERTON UNTUK PENGUKURAN NILAI RISIKO KREDIT OBLIGASI EXPECTED DEFAULT FREQUENCY (EDF) DILENGKAPI GUI R
نویسندگان
چکیده
Bonds are debt securities from the issuer to bondholders with a promise pay off principal and coupon at maturity. Bond investing can generate income while also posing investment risks. One of risks connected bond is credit risk, which might manifest as firm collapsing (default). The KMV Merton model approach one method measuring risk. This computes Expected Default Frequency (EDF), likelihood failing in following years or years. data processing system using Graphical User Interface (GUI) facilitate analysis process by implementing Shiny Package R studio program. research case makes use up 48 months monthly corporate asset January 2018 December 2021. results obtained value (EDF) each company, namely PT Bank Mandiri Tbk 0% Rakyat Indonesia 1,406668E-113%. Because Tbk's percentage return higher than that Tbk, investors would be better bonds Tbk.
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ژورنال
عنوان ژورنال: Jurnal Gaussian : Jurnal Statistika Undip
سال: 2022
ISSN: ['2339-2541']
DOI: https://doi.org/10.14710/j.gauss.12.1.92-103