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Probability of default using APT model: Case of Moroccan banking system

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  • firano, zakaria

Abstract

In this paper we propose a measure of the probability of default of the Moroccan banking system through the model arbitration. We use a GMM estimation of financial data extracted from the Moroccan stock market over a period of 2000 to 2009 quarterly. The results obtained allow us to confirm that the default probability of major Moroccan banks (ATW, BMCE, BMCI and CDM) is low and its evolution remains moderate. In addition, results that were obtained after using the banking index confirms that the probability of Moroccan banking system is low since the volatility index remains acceptable.

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  • firano, zakaria, 2011. "Probability of default using APT model: Case of Moroccan banking system," MPRA Paper 95342, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:95342
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    References listed on IDEAS

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    1. Clare, Andrew D, 1995. "Using the Arbitrage Pricing Theory to Calculate the Probability of Financial Institution Failure: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 920-926, August.
    2. Clare, Andrew & Priestley, Richard, 2002. "Calculating the probability of failure of the Norwegian banking sector," Journal of Multinational Financial Management, Elsevier, vol. 12(1), pages 21-40, February.
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    More about this item

    Keywords

    Probability of default; APT model; Financial market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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