Abstract |
This paper is the first to analyze the credit risk of a microfinance
institution based on the loan portfolio of a leading Maghrebian MFI, both in
terms of number of clients served and of portfolio size. This allows us to work
with a proprietary data set of 1,144,770 contracts issued between 1997 and
2007. Using a resampling technique, we estimate the probability density
function of losses and value-at-risk measures for a portfolio of loans granted
to female and male microfinance clients. Results show similarities and
differences in credit risk between male and female clients with implications in
terms of capital requirements.
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