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The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)
The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for e...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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| _version_ | 1867613200846946304 |
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| access_status_str | Open Access |
| author | Zille, Nicholas Wolf |
| author2 | Holman, Glen |
| author_browse | Holman, Glen Zille, Nicholas Wolf |
| author_facet | Holman, Glen Zille, Nicholas Wolf |
| author_sort | Zille, Nicholas Wolf |
| collection | Thesis |
| description | The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/36220 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:21.936Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/36220 The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) Zille, Nicholas Wolf Holman, Glen Covid-19 Default Probability Merton (1974) Model Credit Risk The aim of this study is to quantify and investigate the effect of the Covid-19 pandemic on non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that the Covid-19 pandemic, on average, had a dramatic impact on the probability of default of publicly traded South African firms. The observed increase in default probability was found to be statistically significant at the 5% significance level. 2022-03-29T10:24:16Z 2022-03-29T10:24:16Z 2021 2022-03-29T08:48:26Z Master Thesis Masters MCom http://hdl.handle.net/11427/36220 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | Covid-19 Default Probability Merton (1974) Model Credit Risk Zille, Nicholas Wolf The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) |
| thesis_degree_str | Master's |
| title | The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) |
| title_full | The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) |
| title_fullStr | The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) |
| title_full_unstemmed | The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) |
| title_short | The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE) |
| title_sort | effect of covid 19 on the probability of default of south african firms listed on the johannesburg stock exchange jse |
| topic | Covid-19 Default Probability Merton (1974) Model Credit Risk |
| url | http://hdl.handle.net/11427/36220 |
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