Modélisation KMVDe La Probabilité De Défaut De Remboursement : Application A La Bourse De Valeurs De Casablanca
Journal Title: IOSR Journal of Economics and Finance (IOSR-JEF) - Year 2018, Vol 9, Issue 3
Abstract
The granting of the loan by a credit institution in Morocco is a very risky operation, indeed, according to the Global Failure Index of the firm Euler Hermes, Morocco is among the countries that will record the highest increases in insolvencies (+12 % in 2017), alongside China (+10%), the United Kingdom (+ 8%), Romania (+7%), and Poland (+5%). Financial literature in developed countries is rich in failure prediction models, pioneering models are Beaver (1966), Altman (1968) and Merton (1974). But, this kind of work on failure forecasting is weak in African countries in general and in Morocco in particular, hence the interest of this work. This article examines empirically the modeling of the risk of credit default on the selected indicators of the performance of three companies listed on the Moroccan financial market. In an attempt to juxtapose previous results that were specific to developed countries, the KMV technique was used. The results revealed that, unlike work on the positive impact of leverage on the company's profitability, we concluded that changing the funding structure impacts the probability of default up or down. The results also highlight the interest for financial analysts to implement this type of tool to better manage default risk.
Authors and Affiliations
Omar Hajaji, Khalifa Ahsina, Cheklekbire MALAININE
Keywords
Related Articles
- EP ID EP414579
- DOI 10.9790/5933-0903010612.
- Views 215
- Downloads 0
Analysis of Export Competitiveness of Kenya’s Cut flower exports to the European Union Market
This paper analyzed export competitiveness of Kenyan cut flower exports to the European Union market using secondary data from 2001 to 2017. Revealed Comparative Advantage (RCA) was used to assess the competitive positio...
Impact of Fishery Agricultural Loans and Co-Operators’ Insurance Premium on Economic Growth of Fishery Production Sub-Sector in Nigeria
The study analyzed the effect of fishery agricultural loans and insurance premium on the economic growth of fishery production sub-sector in Nigeria. It adopted ex-post facto research design, in which data obtained from...
How Do The Oil Prices Affect The Macroeconomic Fundamentals, Monetary Policy and Stock Market? : The Case of The MENA Countries
The main objective of this study is to investigate the impact of oil prices on macroeconomic fundamentals, monetary policy and stock market for eight oil-exporting and non-oil exports countries in the Middle East and Nor...
Trade creation and Trade Diversion in the COMESA: Evidence of Kenya’s import Flows in Food and Live Animals
The paper used gravity model to analyze trade creation and trade diversion. All continous variables exhibited unit root at levels except for population, but all became stationary after first dfference. It was found that...
Public education expenditures and intergenerational income mobility: a logit model
Using data from the National Survey of Living Standards of Households in Morocco conducted in 2007 (NSLSHM 2007), we show that intergenerational income mobility (IIM) in Morocco is lower compared to that recorded in indu...