2017/01/05 by Anas Yassine, Yassine, Anas, Abdelmadjid Ibenrissoul +1
Business, Management and Accounting · Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Computational Finance (q-fin.CP) #Credit Risk and Financial Regulations #FOS: Economics and business #Financial Distress and Bankruptcy Prediction #Housing Market and Economics #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1801.05770
openalex publication_date 2018/01/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.