Study of endogenous and exogenous factors impact’s on the default probability of listed companies on the casablanca stock exchange
Study of endogenous and exogenous factors impact’s on the default probability of listed companies on the casablanca stock exchange
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 deter