The macroeconomics determinants of default of the borrowers: The case of Moroccan bank

TL;DR

This paper empirically investigates how macroeconomic factors influence borrower default rates in Morocco, highlighting the importance of economic conditions on credit portfolio quality and default risk.

Contribution

It provides an econometric analysis of macroeconomic impacts on borrower default in Morocco, emphasizing the bank's role in monitoring economic conditions.

Findings

Decline in economic situation increases borrower default rates

Adverse economic conditions negatively affect credit portfolio quality

Bank should monitor macroeconomic trends to manage default risk

Abstract

This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit portfolio quality.In our paper, we have shed more light on the question of the aggravation of default rate. For this, we have undertaken econometric modeling of the default rate distribution of a Moroccan bank while we inspired from some studies carried out. Our findings demonstrate that the decline in the economic situation has a positive impact on default of borrowers. Hence, the bank also has responsibility for monitoring the adverse economic conditions.