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Modélisation de la Prévision de Défaillance Bancaire et Facteurs Réglementaires Une Application aux Banques des Pays Emergents

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  • Christophe Godlewski

    (LaRGE, Institut d'Etudes Politiques, Université Robert Schuman, Strasbourg 3)

Abstract

Notre travail s’inscrit dans le courant consacré à la prévision de la défaillance bancaire. Il se propose de tester la validité de la typologie de type CAMEL dans le cadre de la modélisation de la prévision du défaut bancaire dans les pays émergents. Son originalité réside dans l’application aux pays émergents, et dans l’intégration de variables supplémentaires sur l’environnement réglementaire, juridique et institutionnel dans le modèle de prévision de défaillance bancaire. En appliquant un modèle logit à une base de données de banques défaillantes dans les pays émergents, nous retrouvons les principaux résultats des modèles de prévision de la défaillance bancaire qui suivent la typologie CAMEL. Les variables proxies de la solvabilité bancaire, de la qualité des actifs, plus particulièrement la politique de provisionnement des crédits, de la qualité de gestion, de la rentabilité et de la liquidité des actifs et du taux d’intermédiation ont un impact significativement négatif sur la probabilité de défaillance à un an. La nationalité de l’actionnaire principal, la structure du système d’assurance des dépôts, la régulation et la surveillance prudentielles, et la structure du marché bancaire ont un impact significatif sur la probabilité de défaut des banques dans les pays émergents.

Suggested Citation

  • Christophe Godlewski, 2004. "Modélisation de la Prévision de Défaillance Bancaire et Facteurs Réglementaires Une Application aux Banques des Pays Emergents," Finance 0409027, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0409027
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    More about this item

    Keywords

    faillite bancaire; modèlisation de la prévision de défaillance bancaire; environnement réglementaire; légal et institutionnel; pays émergents; rating CAMEL; modèle logit;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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