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PENGUKURAN PROBABILITAS KEBANGKRUTAN OBLIGASI KORPORASI DENGAN SUKU BUNGA COX INGERSOLL ROSS MODEL MERTON (Studi Kasus Obligasi PT Indosat, Tbk)

*Muhammad Akhir Siregar  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Mustafid Mustafid  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Rukun Santoso  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright 2020 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract

Nowadays bonds become one of the many securities products that are being prefered by investors. Observing the level of the company's rating which good enough or in the criteria of investment grade can’t be a handle of investors. Investing in long-term period investors should understand the risks to be faced, one of investment credit risk on bonds is default risk, this risk is related to the possibility that the issuer fails to fulfill its obligations to the investor in due date. The measurement of the probability of default failure by the structural method approach introduced first by Black-Scholes (1973) than developed by Merton (1974).  In Bankruptcy model, merton’s model assumed the company get default (bankrupt) when the company can’t pay the coupon or face value in the due date. Interest rates on the Merton model assumed to be constant values replaced by Cox Ingersoll Ross (CIR) rates. The CIR rate is the fluctuating interest rate in each period and the change is a stochastic process. The empirical study was conducted on PT Indosat, Tbk's bonds issued in 2017 with a face value of 511 Billion in payment of obligations by the issuer for 10 years. Based on simulation results done with R software obtained probability of default value equal to 7,416132E-215 Indicates that PT Indosat Tbk is deemed to be able to fulfill its obligation payment at the end of the bond maturity in 2027.

 

Keywords: Bond, CIR Rate, Merton Model, Ekuity, Probability of default

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Keywords: Bond, CIR Rate, Merton Model, Ekuity, Probability of default

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