Impact of the economic downturn on the default rate of the bank's customers

Authors

  • Anas YASSINE Université Hassan II - Casablanca- Maroc .
  • Abdelmajid IBENRISSOUL

DOI:

https://doi.org/10.59051/joaf.v9i1.115

Abstract

This article analyses the correlation between the evolution of macroeconomic risk factors and the default of the borrowers. For this purpose, we have proceeded to the modelisation of the default rate distribution of a Moroccan bank while we inspired from some studies carried out in USA and Canada.

This paper aims to measure and explain the impact of the adverse economic conditions on the degradation of the credit portfolio quality. This work does not valid any previous study but it consists on the definition of an explanatory framework approach. Indeed, the majority of the current studies mainly focus on the modeling of the systematic risk related to individuals loans but do not take into account the case of hybrid portfolios which include all bank customers

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Author Biographies

  • Anas YASSINE, Université Hassan II - Casablanca- Maroc .
    Doctorant en Sciences de Gestion, Laboratoire Management, Systèmes Financiers et Gestion des Risques (MSFGR) Université Hassan II - Casablanca- Maroc                                                                              
  • Abdelmajid IBENRISSOUL
    Professeur de l’enseignement supérieur, Laboratoire Ingénierie Scientifique des Organisations (ISO) Université Hassan II – Casablanca- Maroc                                                                                                                                         

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Published

2018-06-13

Issue

Vol. 9 No. 1 (2018): Spring 2018

Section

Articles

License

Copyright (c) 2018 Anas YASSINE, Abdelmajid IBENRISSOUL

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How to Cite

Impact of the economic downturn on the default rate of the bank’s customers. (2018). Journal of Academic Finance, 9(1), 104-118. https://doi.org/10.59051/joaf.v9i1.115