Munich Personal RePEc Archive

Intersectorial contagion risk in Morocco

Firano, Zakaria and Filali adib, Fatine (2019): Intersectorial contagion risk in Morocco.

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Abstract

This paper proposes an evaluation of intersectorial contagion risk through the analysis of the network of the intersectorial expositions, on the one hand, and the implementation of the approach of the contingent claims analysis (CCA) on the other hand. From this point of view, the matrix of the intersectorial expositions was approximated and of the indicators of centrality, resulting from the network analysis, were estimated. Then, using the CCA, which rises from the pricing theory of the options, the indicators of risk were calculated for each sector, in particular, the distance to the default, probability of default and the leverage ratio. The results obtained confirm that the financial and non-financial companies are the most systemic institutional sectors being able to constitute a principal channel of contagion. Lastly, an estimate of the joint and the conditional probabilities of default of the economic sectors was carried out, while taking as a starting point the work by Goodhart and al (2009) and by using the Archimedean copulas.

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