Combining option approach with logistic regression analysis to measure default risk of listed companies on Vietnamese stock market

This paper explores correlation between growth of stock market and economic growth in Vietnam by examining causal relationship between VN-Index and the GDP. The results show that there is no evidence of a causal relation between VN-Index and economic growth. This finding allows several implications of restructuring of the Vietnamese economy. | 92 | Phan Đình Anh & Nguyễn Hòa Nhân | 92-109 Combining Option Approach with Logistic Regression Analysis to Measure Default Risk of Listed Companies on Vietnamese Stock Market PHAN ĐÌNH ANH Đà Nẵng University of Economics dinhanhdhkt@ NGUYỄN HÒA NHÂN Đà Nẵng University of Economics nhndhdn@ ARTICLE INFO ABSTRACT Received: March 12, 2013 Received in revised form May 16, 2013 Accepted: June 15, 2013 This paper explores correlation between growth of stock market and economic growth in Vietnam by examining causal relationship between VN-Index and the GDP. The results show that there is no evidence of a causal relation between VN-Index and economic growth. This finding allows several implications of restructuring of the Vietnamese economy. Keywords: default risk risk measurement listed companies combined model Combining Option Approach with Logistic Regression Analysis JED July 2013| 93 1. INTRODUCTION Accurately measuring the default risk in an enterprise is the first criterion for any credit rating model. However, common approaches such as credit scoring or statistical methods only focus on certain financial indicators of businesses. Data on listed enterprises, however, are not frequently updated and objectively presented since their financial statements are usually publicized on a quarterly basis and generally not required to be audited by independent auditors. In the meantime, models applying the option approach to measure default risk have overcome this shortcoming by exploiting information from the company’s stock prices via the implication of Merton’s option pricing model (referred to as option approach hereafter), an approach that allows default risk of a company to be updated over time, ensures objectivity based on continuity of stock prices, and acts as market evaluation of company value. Main shortcoming of the pure option approach is the use of many assumptions, which do not fit market facts, to facilitate .

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