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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 : Le cas d'une banque marocaine]

Author

Listed:
  • Anas Yassine

    () (MSFGR - Laboratoire Management, Systèmes Financiers et Gestion des Risques [Casablanca] - Université Hassan II Casablanca - UH2C (MOROCCO))

  • Abdelmadjid Ibenrissoul

    (Laboratoire Ingénierie Scientifique des Organisations (ISO) Université Hassan II Casablanca)

  • Nawal Snoussi

    (Laboratoire Ingénierie Scientifique des Organisations (ISO) Université Hassan II Casablanca)

  • Zakaria Benjouid

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.

Suggested Citation

  • Anas Yassine & Abdelmadjid Ibenrissoul & Nawal Snoussi & Zakaria Benjouid, 2017. "The macroeconomics determinants of default of the borrowers: The case of Moroccan bank
    [Les déterminants macroéconomiques de la défaillance des emprunteurs : Le cas d'une banque marocaine]
    ," Working Papers hal-01683225, HAL.
  • Handle: RePEc:hal:wpaper:hal-01683225
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01683225v4
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    References listed on IDEAS

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    1. Emery, Kenneth M. & Cantor, Richard, 2005. "Relative default rates on corporate loans and bonds," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1575-1584, June.
    2. D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541.
    3. John M. Mulvey & Stavros A. Zenios, 1994. "Capturing the Correlations of Fixed-income Instruments," Management Science, INFORMS, vol. 40(10), pages 1329-1342, October.
    4. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
    5. Asquith, Paul & Mullins, David W, Jr & Wolff, Eric D, 1989. " Original Issue High Yield Bonds: Aging Analyses of Defaults, Exchanges, and Calls," Journal of Finance, American Finance Association, vol. 44(4), pages 923-952, September.
    6. Lee, C Jevons, 1981. "The Pricing of Corporate Debt: A Note," Journal of Finance, American Finance Association, vol. 36(5), pages 1187-1189, December.
    7. Sumit Agarwal & Chunlin Liu, 2003. "Determinants of credit card delinquency and bankruptcy: Macroeconomic factors," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 75-84, March.
    8. Khemraj, Tarron & Pasha, Sukrishnalall, 2009. "The determinants of non-performing loans: an econometric case study of Guyana," MPRA Paper 53128, University Library of Munich, Germany.
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Les déterminants macroéconomiques de la défaillance des emprunteurs : Cas d’une banque marocaine
      by pmakdissi in NEP-ARA blog on 2018-04-09 15:57:58

    More about this item

    Keywords

    Risk factors; macroeconomic; default rate; solvability.; Facteurs de risque; macroéconomique; taux de défaut; crédit; solvabilité.;

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