Probability of default using APT model: Case of Moroccan banking system

firano, zakaria (2011): Probability of default using APT model: Case of Moroccan banking system.

Abstract

In this paper we propose a measure of the probability of default of the Moroccan banking system through the model arbitration. We use a GMM estimation of financial data extracted from the Moroccan stock market over a period of 2000 to 2009 quarterly. The results obtained allow us to confirm that the default probability of major Moroccan banks (ATW, BMCE, BMCI and CDM) is low and its evolution remains moderate. In addition, results that were obtained after using the banking index confirms that the probability of Moroccan banking system is low since the volatility index remains acceptable.

• Item Type: MPRA Paper
• Language: English
• Keywords: Probability of default, APT model, Financial market
• Subjects: G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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