Mathias Schmit and Helena Marrez
Savings and Development Vol. 34(2010), No. 3, pp. 369-388

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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