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Modélisation de la Prévision de Défaillance de la Banque : Une Application aux Banques des Pays Emergents

Listed author(s):
  • Christophe J. Godlewski


    (Laboratoire de Recherche en Gestion et Economie, Université Louis Pasteur)

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. 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.

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Paper provided by Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg in its series Working Papers of LaRGE Research Center with number 2004-08.

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Date of creation: 2004
Handle: RePEc:lar:wpaper:2004-08
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