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Estimation du risque de defaut par une modelisation stochastique du bilan : application a des firmes industrielles francaises

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Abstract

Une methodologie alternative aux modeles multicriteres fondes sur l'etude economique et financiere de la firme est proposee afin d'estimer le risque de defaut des entreprises et d'elaborer un indicateur du risque de faillite. Nous recourons a une methode de Gestion Actif - Passif d'estimation des risques inspiree des modeles d'evaluation des actifs financiers.

Suggested Citation

  • Refait, C., 2000. "Estimation du risque de defaut par une modelisation stochastique du bilan : application a des firmes industrielles francaises," Papiers d'Economie Mathématique et Applications 2000.40, Université Panthéon-Sorbonne (Paris 1).
  • Handle: RePEc:fth:pariem:2000.40
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    Keywords

    RISQUE ; FAILLITE ; BANQUES;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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