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.