Rating model for assessing the credit risk of SMEs in the construction sector in Morocco

Modèle de rating pour l'évaluation du risque de crédit des PME du secteur BTP au Maroc

Rachid Maghniwi and Mustapha Oukassi
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Rachid Maghniwi: UM5 - Université mohamed 5, Rabat
Mustapha Oukassi: UM5 - Université mohamed 5, Rabat

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Abstract: This study develops an innovative scoring model, the Z-BTP-Maroc, to assess credit risk among SMEs in Morocco's construction and public works sector. The model is constructed using multivariate discriminant analysis applied to a sample of 50 SMEs over the 2018-2021 period, using data from Bank Al-Maghrib's Central Balance Sheet Office and the High Commission for Planning. The Z-BTP-Maroc combines four financial ratios (indebtedness, profitability, working capital, accounts receivable turnover) and two macroeconomic indicators (construction sector growth rate and non-performing loan rate). The model achieves an accuracy of 80% at one year and 75% at two years. Its application reveals the impact of the COVID-19 crisis on the sector, showing a deterioration in ratings during 2020 followed by improvement in 2021.

Keywords: Rating; Credit risk; SEM; Construction sector; Discriminant analysis; risque de crédit; PME; secteur BTP; Quantitative analysis; analyse discriminante (search for similar items in EconPapers)
Date: 2024-11
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Published in Revue froncophone , 2024, 2 (4), ⟨10.5281/zenodo.14176674⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04791887

DOI: 10.5281/zenodo.14176674

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