Valuasi One Period Coupon Bond dengan Aset Mengikuti Model Geometric Brownian Motion with Jump Diffusion

Meiliawati Aniska, Di Asih I Maruddani, Suparti Suparti

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

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References

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DOI: https://doi.org/10.13057/ijas.v3i2.43149

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