The Default risk of North American infrastructure companies: A sectoral approach from 2006 to 2018
December 15, 2020 0 comment
Proceedings of The 3rd International Conference on Business, Management and Economics
Year: 2020
DOI:
The Default risk of North American infrastructure companies: A sectoral approach from 2006 to 2018
Vanderson Aparecido Delapedra da Silva , Herbert Kimura
ABSTRACT:
This paper investigated the probability of default of infrastructure companies from a sectoral perspective during the period from 2006 to 2018. For this it was used a logistic regression with binary dependent variable and explanatory variables of reduced risk models of default, besides dummy variables representing the sectors and a variable of the KMV-Merton model, Distance to Default, as predictor variables to evaluate a universe of 1,520North American companies from 6 different sectors of infrastructure. The results show that oil and gas companies have a lower sensitivity to the variable Distance to Default than companies from other sectors, when this variable is used to explain the default probability of these companies.
Keywords: : Sectoral Risk, Distance to Default, Infrastructure.
Vanderson Aparecido Delapedra da Silva
University of Brasília –UnB, Brasília –DF, Brazil
Herbert Kimura
University of Brasília –UnB, Brasília –DF, Brazil
