Title: Competition, fast growth and commercialization: A copula approach for systemic credit risk in microcredit markets
Authors: Andreas Heinen - Universite de Cergy Pontoise (France) [presenting]
Abstract: The sources of systemic credit risk in the microfinance sector in a sample of countries are analysed by using techniques from risk management. More specifically, for all countries and years in our sample, we model the joint distribution of portfolio quality of all microfinance institutions (MFIs) using an equidependent copula and an empirical density for the marginal. 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 find that penetration, market concentration, and accelerated growth of the sector make the microfinance sector more risky.