Probability of default using APT model: Case of Moroccan banking system

Firano Zakaria

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we propose a measure of the probability of default of the Moroccan banking system through the model arbitration. We use a GMM estimation of financial data extracted from the Moroccan stock market over a period of 2000 to 2009 quarterly. The results obtained allow us to confirm that the default probability of major Moroccan banks (ATW, BMCE, BMCI and CDM) is low and its evolution remains moderate. In addition, results that were obtained after using the banking index confirms that the probability of Moroccan banking system is low since the volatility index remains acceptable.

Keywords: Probability of default; APT model; Financial market (search for similar items in EconPapers)
JEL-codes: G1 G21 (search for similar items in EconPapers)
Date: 2011-08-18
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95342

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