ANALYSIS PROBABILTY OF DEFAULT USINGMERTON KMV MODEL CASE STUDY : PT KRAKATAU STEEL TBK

• Main Author: Fitrah, Bayu
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/40992
• Institution: Institut Teknologi Bandung

The steel industry is one of the industrial strategies in Indonesia, this sector plays a major role in supplying important raw materials for development in various fields ranging from the provision of infrastructure (buildings, roads, bridges, electricity and telecommunications networks), production of capital goods (factory machinery and supporting materials and spare parts), transportation equipment (ships, trains, volunteers and automotive), and weapons. Indonesia's steel needs reached 12.5 million tons in 2017 while national steel producers can only supply 6.5 million tons so that to meet the excess demand must be done by importing from other countries. One of the domestic steel producers is PT Krakatau Steel Tbk, which is one of the State-Owned Enterprise . The high demand for steel in Indonesia is not directly proportional to the financial performance of PT Krakatau Steel, Tbk, which actually suffered losses in the past 7 years. Financial performance that continues to lose money amid rising corporate debt has made it difficult for companies to fulfill their obligations which can lead to defaults and even lead to bankruptcy. The purpose of this research to determine the probability of default on PT Krakatau Steel Tbk. This research was conducted by using the Merton-KMV method model that measures the risk of the occurrence of company Asset Value under the value of the company's debt in the period 2019 with market value as the basis data. The result of data analysis is the value of Expected Default Frequency (EDF). Additionally, the data used in this study are the company's financial statements in 2018 and the historical data of the company's market prices since the IPO in 2010 to the last trading day of the stock in 2018. The results of this study indicates that the PT Krakatau Steel Tbk has probability of default 8.29% corresponded with an CCC + credit rating. In conclusion, the PT Krakatau Steel Tbk can be categorized as a high-risk company experiencing a default during 2019.