Evaluation of SMEs’ solvency risk using a dual approach
Type de matériel :
TexteLangue : français Détails de publication : 2021.
Sujet(s) : Ressources en ligne : Abrégé : Credit risk prediction and borrower solvency has been widely discussed in the financial and accounting literature. Many prediction models have been developed to assess this risk for borrowers 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. The first attempts to assess credit risk on an individual scale using the Logit model. The second assesses the risk of the overall portfolio through the CreditRisk+ model, using a sample of 500 SMEs in the Algerian private sector over the year 2016.
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Credit risk prediction and borrower solvency has been widely discussed in the financial and accounting literature. Many prediction models have been developed to assess this risk for borrowers 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. The first attempts to assess credit risk on an individual scale using the Logit model. The second assesses the risk of the overall portfolio through the CreditRisk+ model, using a sample of 500 SMEs in the Algerian private sector over the year 2016.
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