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Évaluation du risque de défaut de solvabilité des PME par une double approche

Author

Listed:
  • Aldo Levy

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM])

  • Riad Baha

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM])

  • Safia Bouzar

    (University of Algiers 3 : Université d' Alger 3)

Abstract

Credit risk prediction and borrowers solvency has been widely discussed in the financial and accounting literature. Many prediction models are constructed to assess this risk for each borrower studied separately. However, a loan is a component of a lending institution's debt portfolio. The aim of this work is to assess the risk of borrower solvency default using a dual approach. First, we use the Logit model to discriminate between failing and non-failing companies. The first attempts to assess credit risk on an individual scale using the Logit model. The second aims at assessing the risk of the overall portfolio through the CreditRisk+ model on a sample of 500 SMEs in the Algerian private sector in 2016.

Suggested Citation

  • Aldo Levy & Riad Baha & Safia Bouzar, 2021. "Évaluation du risque de défaut de solvabilité des PME par une double approche," Post-Print hal-04553423, HAL.
    • Handle: RePEc:hal:journl:hal-04553423
    DOI: 10.3917/g2000.381.0051
    as

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