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Andreas HEINEN (Université de Cergy – France) "Competition, Fast Growth and Commercialization: Systemic Credit Risk in Microcredit Markets: A Copula Approach"
Date: 14th of November 2019
Place: Room 3001
Andreas HEINEN (Université de Cergy – France) “Competition, Fast Growth and Commercialization: Systemic Credit Risk in Microcredit Markets: A Copula Approach”
Abstract : We introduce a panel model of equicorrelated Gaussian copulas to measure systemic credit risk in microcredit markets and explore its determinants for 37 countries from 2000 to 2014. We model the joint distribution of portfolio quality of all microfinance institutions (MFIs) in a given country using an equidependent copula and an empirical density for the marginal. We apply a Hahn and Newey (2004) analytical bias correction to our estimates in order to deal with the incidental parameter problem that, due to its non-linearity, our model is subject to. Our methodology is based on the idea that a higher level of dependence among MFIs in a given country is an indicator of potential fragility of the sector. We show that, after controlling for country effects, measures of competition, market penetration, commercialization and excessive growth of the sector, as well as the level of interest rates charged by MFIs in a country all increase systemic credit risk in the microfinance sector, while lending to more women tends to reduce it. With this measure of systemic risk, we further compute the probability that a proportion of at least 20% of MFIs in a country are experiencing serious repayment problems and our simulations captures a progressive increase in risk in many countries that experienced a repayment crisis.
Joint work : Mlaika Hamadi, (Birmingham Business School ) and Jérémie Juste, (U. Cergy-Pontoise and EHESS)
Jean-Michel ZAKOIAN (CREST )
CREST and ILB
Address : ENSAE ParisTech
5, avenue Henry Le Chatelier
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