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


  • 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.

Suggested Citation

  • Christophe J. Godlewski, 2004. "Modélisation de la Prévision de Défaillance de la Banque : Une Application aux Banques des Pays Emergents," Working Papers of LaRGE Research Center 2004-08, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  • Handle: RePEc:lar:wpaper:2004-08

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    References listed on IDEAS

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    More about this item


    Faillite bancaire; modèlisation de la prévision de défaillance bancaire; pays émergents; rating CAMEL; modèlé logit.;

    JEL classification:

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


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