Predicting Probability of Default

The paper studies the default probabilities of the 47 Indian firms over period of 2007 to 2013. This study uses options based method to predict the probability of default of these firms over the assessment period. We has used Black, Scholes and Merton model in this paper. The study estimates the market value of assets, asset volatility, risk neutral default probability and real default probability of firms and finds out the factors that have impact on the default probabilities