Open AccessModeling the default probability of Moroccan companies
Author(s) -
Siham LOTFI,
Hicham MESK
Publication year - 2022
Publication title -
international journal of performance and organizations
Language(s) - English
Resource type - Journals
ISSN - 2824-7116
DOI - 10.55897/ijpo.2022.01.04
Subject(s) - default , balance sheet , solvency , bankruptcy , probability of default , credit risk , business , sample (material) , logistic regression , financial crisis , financial ratio , actuarial science , accounting , finance , economics , statistics , chemistry , mathematics , chromatography , market liquidity , macroeconomics
The financial crisis that has rocked the world in recent years, expressed by the bankruptcy of large international banks (Lehman Brothers in the United States for example), it has led to a questioning of the banking risk management model including credit risk. The objective of our research is to assess the probability of default of firms through a sample that includes 2030 Moroccan companies made up of SMEs and large companies. For this, we used the logistic regression technique which was appreciated in the field of finance mainly in epistemological surveys and credit scoring. This quantitative approach allowed us to measure solvency and at the same time identify healthy borrowers from defaulting borrowers through a number of financial ratios calculated from the balance sheet of the 2015-2017 financial statements.