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Prevention Du Risque De Defaillance Des Banques De La Region Mena: Analyse Par Equations Simultanees En Donnees De Panel

Author

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  • Sanae Solhi

    (Université Mohammed V-Agdal)

  • Abdelhaq Mehdi

Abstract

Les débats sur les risques bancaires n’ont pas cessé de s’amplifier au fur et à mesure que les crises financières se succédèrent (Wall Street 1929, Black Monday 1987, Subprimes 2008). Cet article se propose la prévention du risque de défaillance au sein de l’industrie bancaire à partir des indicateurs d’alerte comme le z-score et le risque de l’actif (dROA). Notre démarche adoptée teste l’impact de la taille sur la maîtrise des risques sur un panel constitué des pays de la région MENA (Egypte, Liban, Maroc, Oman, et Tunisie). Ensuite, à expliquer le risque de faillite (z-score) par le recours aux ratios de capital et la régulation prudentielle afin d’identifier les déterminants de la solvabilité/insolvabilité des banques. L’analyse propose un modèle structurel en équations simultanées en données de panel. L’accent est mis sur l’estimation par la méthode du maximum de vraisemblance à informations limitées et la méthode du moment généralisée pour appréhender le mécanisme de propagation des risques compte tenu de la taille et des performances des banques des pays retenus.

Suggested Citation

  • Sanae Solhi & Abdelhaq Mehdi, 2012. "Prevention Du Risque De Defaillance Des Banques De La Region Mena: Analyse Par Equations Simultanees En Donnees De Panel," Working Papers 693, Economic Research Forum, revised 2012.
    • Handle: RePEc:erg:wpaper:693
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    References listed on IDEAS

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