financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2020-24-1-6-13finance-949Research ArticleКОРПОРАТИВНЫЕ ФИНАНСЫCORPORATE FINANCEФинансовые показатели и вероятность дефолта, вычисленные по методу КМВ-Мертона в нефинансовом секторе на фондовой бирже ИндонезииFinancial Ratios and Probability of Default by Using the KMV-Merton Method in the Non-Financial Sector listed on the Indonesia Stock Exchangehttps://orcid.org/0000-0003-3461-9701МаласариД.MalasariD.

Dessy Malasari —  Graduate student, Faculty of Economics

dessymal@gmail.comhttps://orcid.org/0000-0002-3260-3266АдамМ.AdamM.

Mohamad Adam —  Professor, Faculty of Economics

https://orcid.org/0000-0003-3488-7941Юлиани.Yuliani.

Yuliani —  Doctor, Faculty of Economics

https://orcid.org/0000-0003-2966-3943ХанафиА.HanafiA.

Agustina Hanafi —  Doctor, Faculty of Economics

Университет ШривиджаяРоссияSriwijaya UniversityRussian Federation202007032020241613Copyright © Маласари Д., Адам М., Юлиани .., Ханафи А., 20202020Маласари Д., Адам М., Юлиани .., Ханафи А.Malasari D., Adam M., Yuliani .., Hanafi A.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/949

Цель статьи —  анализ прогнозов вероятности дефолта в нефинансовом секторе фондовой биржи Индонезии и взаимовлияния при этом финансовых показателей. При вычислениях использован метод КМВ-Мертона. Исследование проводилось на примере данных 18 компаний, котирующихся на фондовой бирже Индонезии. Проанализированы научные материалы и документация с использованием программы Eviews. В результате авторы сделали следующие

выводы: рентабельность капитала (ROE) не влияет на вероятность дефолта; коэффициент текущей ликвидности (CR) не влияет на вероятность дефолта; соотношение долга к капиталу (DER) положительно влияет на вероятность дефолта; общий оборот активов (TAT) отрицательно влияет на вероятность дефолта. 

This study aims to analyze the predictions of the default probability in the non-financial sector of the Indonesia Stock Exchange and the mutual influence between financial ratios. The KMV–Merton method was used for the calculations. The study was conducted on the example of data from 18 companies listed on the Indonesia Stock Exchange. The scientific materials and documentation were analyzed with the help of the EViews. The authors made the following

conclusions: Return on Equity (ROE) has no effect on the probability of default; Current Ratio (CR) has no effect on the probability of default; Debt to Equity Ratio (DER) has a positive effect on the probability of default; Total Assets Turnover (TAT) has a negative effect on the probability of default. 

вероятность дефолтаметод КМВ-Мертонафинансовый коэффициентфондовая биржа Индонезииprobability of defaultKMV–Merton methodfinancial ratioIndonesia Stock ExchangeReferencesMerton R. C. On the pricing of corporate debt: The risk structure of interest rates. The Journal of Finance. 1974;29(2):449–470. DOI: 10.2307/2978814Merton R. C. On the pricing of corporate debt: The risk structure of interest rates. The Journal of Finance. 1974;29(2):449–470. DOI: 10.2307/2978814Crosbie P., Bohn J. Modeling default risk. New York: Moody’s KMV Co.; 2003. 31 p. URL: https://www. moodysanalytics.com/-/media/whitepaper/before-2011/12–18–03-modeling-default-risk.pdfCrosbie P., Bohn J. Modeling default risk. New York: Moody’s KMV Co.; 2003. 31 p. URL: https://www. moodysanalytics.com/-/media/whitepaper/before-2011/12–18–03-modeling-default-risk.pdfRudiyanto. Know how bond works 2. Bond Risk Analysis. 2012.Rudiyanto. Know how bond works 2. Bond Risk Analysis. 2012.Hadad M. D., Wimboh S., Dwityapoetra S. B., Ita R. Probability of corporate default using the Merton model. Reseach Paper. Bank of Indonesia. 2004.Hadad M. D., Wimboh S., Dwityapoetra S. B., Ita R. Probability of corporate default using the Merton model. Reseach Paper. Bank of Indonesia. 2004.Fernandes J. Corporate credit risk modeling: Quantitative rating system and probability of default estimation. SSRN Electronic Journal. 2005. DOI: 10.2139/ssrn.722941Fernandes J. Corporate credit risk modeling: Quantitative rating system and probability of default estimation. SSRN Electronic Journal. 2005. DOI: 10.2139/ssrn.722941Manurung A. H. Company default probability. Journal of Research Finance. 2007.Manurung A. H. Company default probability. Journal of Research Finance. 2007.Petru P. T. et al. Empirical study of the probability of default in case of Romanian companies listed on Stock Exchange. Annals of the University of Oradea: Economic Science. 2011;1(1):515–523.Petru P. T. et al. Empirical study of the probability of default in case of Romanian companies listed on Stock Exchange. Annals of the University of Oradea: Economic Science. 2011;1(1):515–523.Asdriargo A., Maruddani D. A., Hoyyi A. Credit risk measurement of bond prices using the KMV-Merton structural model approach. Journal Gaussian. 2012;1(1):11–20.Asdriargo A., Maruddani D. A., Hoyyi A. Credit risk measurement of bond prices using the KMV-Merton structural model approach. Journal Gaussian. 2012;1(1):11–20.Konstituanto A., Sanim B., Manurung A. H., Hakim D. B. Bank default probability: Merton model. Jurnal Manajemen. 2011;15(3):293–307. (In Indones.).Konstituanto A., Sanim B., Manurung A. H., Hakim D. B. Bank default probability: Merton model. Jurnal Manajemen. 2011;15(3):293–307. (In Indones.).Muharam H. Credit risk model: Approaches and factors that influence it. Seminar Nasional. 2012.Muharam H. Credit risk model: Approaches and factors that influence it. Seminar Nasional. 2012.Saleh A., Sudiyatno B. The effect of financial ratios to predict the probability of bankruptcy in manufacturing companies listed on the Indonesia Stock Exchange. Dinamika Akuntansi Keuangan dan Perbankan. 2013;2(1). (In Indones.).Saleh A., Sudiyatno B. The effect of financial ratios to predict the probability of bankruptcy in manufacturing companies listed on the Indonesia Stock Exchange. Dinamika Akuntansi Keuangan dan Perbankan. 2013;2(1). (In Indones.).Agus S., Irwanto A. K., Maulana T. N. A. Analysis of the effect of financial ratios on the probability of bankruptcy of four banks in the LQ 45 group on the Indonesia stock exchange. Widyariset. 2014;17(1):163–174. (In Indones.). DOI: 10.14203/widyariset.17.1.2014.163–174Agus S., Irwanto A. K., Maulana T. N. A. Analysis of the effect of financial ratios on the probability of bankruptcy of four banks in the LQ 45 group on the Indonesia stock exchange. Widyariset. 2014;17(1):163–174. (In Indones.). DOI: 10.14203/widyariset.17.1.2014.163–174Ayomi S., Hermanto B. Systemic risk and financial linkages measurement in the Indonesian banking. Buletin Ekonomi Moneter dan Perbankan = Bulletin of Monetary Economics and Banking. 2014;16(2):103–125. (In Indones.). DOI: 10.21098/bemp.v16i2.24Ayomi S., Hermanto B. Systemic risk and financial linkages measurement in the Indonesian banking. Buletin Ekonomi Moneter dan Perbankan = Bulletin of Monetary Economics and Banking. 2014;16(2):103–125. (In Indones.). DOI: 10.21098/bemp.v16i2.24Pribadi F., Susanto S. Merton model as predictor of failure probability of public banks in Indonesia. Journal of Economics, Business, and Accountancy Ventura. 2014;17(3):393–404. DOI: 10.14414/jebav.v17i3.361Pribadi F., Susanto S. Merton model as predictor of failure probability of public banks in Indonesia. Journal of Economics, Business, and Accountancy Ventura. 2014;17(3):393–404. DOI: 10.14414/jebav.v17i3.361Wendy. The credit risk assessment and failure model of the 1974 Merton model: A conceptual study. Dinamika Akuntansi, Keuangan dan Perbankan. 2015;4(2). (In Indones.)Wendy. The credit risk assessment and failure model of the 1974 Merton model: A conceptual study. Dinamika Akuntansi, Keuangan dan Perbankan. 2015;4(2). (In Indones.)Wibowo B. Method of bank probability bankruptcy measurement and analysis of its relationship with diversification of revenue sources: The case of Indonesian banking. Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan. 2017;11(1):52–66. (In Indones.). DOI: 10.24843/MATRIK: JMBK.2017.V11.i01.p05Wibowo B. Method of bank probability bankruptcy measurement and analysis of its relationship with diversification of revenue sources: The case of Indonesian banking. Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan. 2017;11(1):52–66. (In Indones.). DOI: 10.24843/MATRIK: JMBK.2017.V11.i01.p05Benos A., Papanastasopoulos G. Extending the Merton model: A hybrid approach to assessing credit quality. Mathematical and Computer Modelling. 2005;46(1–2):47–68. DOI: 10.1016/j.mcm.2006.12.012Benos A., Papanastasopoulos G. Extending the Merton model: A hybrid approach to assessing credit quality. Mathematical and Computer Modelling. 2005;46(1–2):47–68. DOI: 10.1016/j.mcm.2006.12.012Widarjo W., Setiawan D. The effect of financial ratios on financial distress conditions in automotive companies. Jurnal Bisnis dan Akuntans. 2009;11(2):107–119. (In Indones.). DOI: 10.34208/jba.v11i2.174Widarjo W., Setiawan D. The effect of financial ratios on financial distress conditions in automotive companies. Jurnal Bisnis dan Akuntans. 2009;11(2):107–119. (In Indones.). DOI: 10.34208/jba.v11i2.174Almilia L. S., Kristijadi K. Financial ratio analysis to predict the financial distres conditions of manufacturing companies listed on the Jakarta Stock Exchange. Jurnal Akuntansi dan Auditing Indonesia. 2003;7(2):183–210. (In Indones.).Almilia L. S., Kristijadi K. Financial ratio analysis to predict the financial distres conditions of manufacturing companies listed on the Jakarta Stock Exchange. Jurnal Akuntansi dan Auditing Indonesia. 2003;7(2):183–210. (In Indones.).Mulyaningrum P. Effect of financial ratios on bankruptcy in Indonesia Doctoral dissertation. Program Pascasarjana Universitas Diponegoro. 2008.Mulyaningrum P. Effect of financial ratios on bankruptcy in Indonesia Doctoral dissertation. Program Pascasarjana Universitas Diponegoro. 2008.Pranowo K. et al. Determinant of corporate financial distress in emerging market economy: Empirical evidence from the Indonesian Stock Exchange 2004–2008. International Research Journal of Finance and Economics. 2010;(52):81–90. URL: http://achsani.blog.mb.ipb.ac.id/files/2010/11/irjfe_52_08.pdfPranowo K. et al. Determinant of corporate financial distress in emerging market economy: Empirical evidence from the Indonesian Stock Exchange 2004–2008. International Research Journal of Finance and Economics. 2010;(52):81–90. URL: http://achsani.blog.mb.ipb.ac.id/files/2010/11/irjfe_52_08.pdfLi J., Du W. An empirical study on the corporate financial dstress prediction based on logistic model evidence from China’s manufacturing industry. International Journal of Digital Content Technology and its Applications. 2011;5(6):368–379. URL: http://www.globalcis.org/jdcta/ppl/44_%20JDCTA_June-48.pdfLi J., Du W. An empirical study on the corporate financial dstress prediction based on logistic model evidence from China’s manufacturing industry. International Journal of Digital Content Technology and its Applications. 2011;5(6):368–379. URL: http://www.globalcis.org/jdcta/ppl/44_%20JDCTA_June-48.pdfBrigham E., Houston J. F. Fundamentals of financial management. Transl. from Eng. Jakarta: Four Salemba; 2001. (In Indones.).Brigham E., Houston J. F. Fundamentals of financial management. Transl. from Eng. Jakarta: Four Salemba; 2001. (In Indones.).Spence M. Job market signaling. The Quarterly Journal of Economics. 1973;87(3):355–374. URL: https://msu. edu/~conlinmi/teaching/EC 860/signallingscreening/SpenceQJE 1973.pdfSpence M. Job market signaling. The Quarterly Journal of Economics. 1973;87(3):355–374. URL: https://msu. edu/~conlinmi/teaching/EC 860/signallingscreening/SpenceQJE 1973.pdfSartono A. Financial management theory and application. 4th ed. Transl. from Eng. Yogyakarta: BPFE; 2001. (In Indones.).Sartono A. Financial management theory and application. 4th ed. Transl. from Eng. Yogyakarta: BPFE; 2001. (In Indones.).Kasmir. Analysis of financial reports. Jakarta: Rajawali Pers; 2009. (In Indones.).Kasmir. Analysis of financial reports. Jakarta: Rajawali Pers; 2009. (In Indones.).Lukman, Syamsuddin. Corporate financial management. Jakarta: PT Raja Grafindo; 2004. (In Indones.).Lukman, Syamsuddin. Corporate financial management. Jakarta: PT Raja Grafindo; 2004. (In Indones.).Hanafi M. M., dan Halim A. Financial statement analysis. Yogyakarta: UPP STIM YKPN; 2009. (In Indones.).Hanafi M. M., dan Halim A. Financial statement analysis. Yogyakarta: UPP STIM YKPN; 2009. (In Indones.).Hartono J. Portfolio theory and investment analysis. 8th ed. Yogyakarta: BPFE; 2013. (In Indones.).Hartono J. Portfolio theory and investment analysis. 8th ed. Yogyakarta: BPFE; 2013. (In Indones.).

The authors declare that there are no conflicts of interest present.