Journal of Applied Finance & Banking

Study of endogenous and exogenous factors impactís on the default probability of listed companies on the Casablanca Stock Exchange

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  • Abstract 

    This paper aims to study the impact of endogenous and exogenous factors on the default probability through the structural approach (Internal Ratings-Based IRB). The study is conducted using data from listed companies on the Stock Exchange of Casablanca (BVMC); it covers the period from the beginning to the end of 2017. In this paper, we propose a numerical method, based on Monte Carlo simulation, to estimate the default probabilities using the Black & Scholes (1973) model. Our focus was on determining the most influential factors among the internal or external ones that impact the default probability of the listed non-financial companies on BVMC.

    JEL classification numbers: D81
    Keywords: Default probability, credit risk, IRB approach, Monte Carlo simulation.