Évaluation du risque de défaut de solvabilité des PME par une double approche

Aldo Levy, Riad Baha and Safia Bouzar
Additional contact information
Aldo Levy: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - Cnam - Conservatoire National des Arts et Métiers [Cnam]
Riad Baha: LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - Cnam - Conservatoire National des Arts et Métiers [Cnam]
Safia Bouzar: University of Algiers 3 : Université d' Alger 3

Post-Print from HAL

Abstract: Credit risk prediction and borrowers solvency has been widely discussed in the financial and accounting literature. Many prediction models are constructed to assess this risk for each borrower studied separately. However, a loan is a component of a lending institution's debt portfolio. The aim of this work is to assess the risk of borrower solvency default using a dual approach. First, we use the Logit model to discriminate between failing and non-failing companies. The first attempts to assess credit risk on an individual scale using the Logit model. The second aims at assessing the risk of the overall portfolio through the CreditRisk+ model on a sample of 500 SMEs in the Algerian private sector in 2016.

Keywords: crédit; Risque; Défaut de solvabilité; Classification; Portefeuille (search for similar items in EconPapers)
Date: 2021-04-27
References: Add references at CitEc
Citations:

Published in Gestion 2000, 2021, 38 (1), pp.51-70. ⟨10.3917/g2000.381.0051⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04553423

DOI: 10.3917/g2000.381.0051

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().