Academy of Accounting and Financial Studies Journal (Print ISSN: 1096-3685; Online ISSN: 1528-2635)

Abstract

Factors Affecting the Distance to Default of Steel Firms Listed on Vietnamese Stock Market

Author(s): Pham Quoc Huan, Pham Thi Mai Quyen

To determine the factors affecting the distance to default (DD-Distance to default) of firms is one of the basic problems of risk analysis. Distance to default is an important input to many types of credit risk management processes at the portfolio management level, such as in credit valuation and hedging. The default gap is an integral part of financial risk. The credit risk of a firm is often discussed as the risk of default of the firm. Default is often related to the bankruptcy of the firms. We are interested in credit operations or defaults without discussing liability or meeting detailed requirements in credit terms. Determining the distance to default for predicting the probability of default is the attention of many individuals and firms. Several credit rating agencies have handled these cases. The article is dedicated to determining the factors that affect the default of steel firms listed on the Vietnamese stock market based on the variables introduced in the model of Stephen Kealhofer, John McQuown and Oldrich. Vasicek (KMV).

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