Theoretical Credit Risk Assessment ModelsĬredit risk is one of the most important risks faced by credit institutions. The second part will focus on the evaluation of credit risk in Moroccan listed companies on the BVC.Ģ. The first will be devoted to the theoretical approach of measuring credit risk. To carry out this research, our work consists of two (2) parts: To verify these hypotheses we apply risk assessment methods to a sample of 22 listed companies over the period from January the 2 nd, 2014 to December the 31 st, 2014: the IRBF method and the scoring system representing internal rating approaches. Hypothesis 2: The business sector is a level risk determining factor. Hypothesis 1: The market value of companies listed on the BVC is negatively correlated with the probability of default In order to achieve our objectives, we have formulated two (2) hypotheses: The general purpose of our work is to assess and analyze the level of credit risk of companies listed on the stock exchange of Casablanca (BVC). Īs a result, banks are very interested in developing and applying internal evaluation models of credit risk, including the calculation of probability of default in order to optimize the return on loans granted. In this paper, we propose a methodology for estimating these probabilities of default and thus allow potential lenders to apply the internal evaluation methods (Z-score or IRB), Basel Committee on Banking Supervision (2011). The major challenge for estimating this risk for banks is the calculation of probabilities of default. In addition to the BAM circular, this obliges banks to use the IRB method in their credit risk information systems. Indeed, the Basel II Committee considered that credit risk is the most important risk of a bank, since it considered that for a bank, credit risk represents between 75% and 90% of the total risk. Credit risk, known as counterparty risk, is defined as the risk that a borrower could default on its liabilities: whether he is unable to keep his promise to pay the interest on time or to repay the principal to on the deadline. It is clear that several types of risks (market, credit and operational. In June 2014, Bank Al-Maghrib’s (BAM) prudential regulations accompanying the adoption of the Basel III standard came into force in order to strengthen the financial strength of credit institutions, Basel Committee on Banking Supervision (2015). The evolution of banking activity in recent years, and after the subprime crisis, makes the management of credit risks an important issue.
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