Proceedings of The 3rd International Conference on Business, Management and Economics
Year: 2020
DOI: https://www.doi.org/10.33422/3rd.icbme.2020.03.22
The Default risk of North American infrastructure companies: A sectoral approach from 2006 to 2018
Vanderson Aparecido Delapedra da Silva and 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 1,520 North 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.