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The macroeconomics determinants of default of the borrowers: The case of Moroccan bank

Les déterminants macroéconomiques de la défaillance des emprunteurs: Cas d'une banque marocaine

Anas Yassine () and Abdelmadjid Ibenrissoul
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Anas Yassine: MSFGR - Laboratoire Management, Systèmes Financiers et Gestion des Risques [Casablanca] - Université Hassan II Casablanca - UH2C (MOROCCO)

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Abstract: This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit portfolio quality. In our paper, we have shed more light on the question of the aggravation of default rate. For this, we have undertaken econometric modeling of the default rate distribution of a Moroccan bank while we inspired from some studies carried out. Our findings demonstrate that the decline in the economic situation has a positive impact on default of borrowers. Hence, the bank also has responsibility for monitoring the adverse economic conditions.

Keywords: solvability; Risk factors; solvability 2; solvabilité; taux de défaut; macroéconomique; Facteurs de risque; Key-words: Risk factors; macroeconomic; default rate; credit (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara and nep-ban
Date: 2017-01-05
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01683225v3
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