" Evaluation of the Banking Fragility: An Investigation in the Tunisian Context"
Résumé
This article studies the fragility of the Tunisian banks by the elaboration of individual stress index. The specificity of this study is the fact that the stress indexes are elaborated by bank, and not by the whole banking system as it is usually the case. This index is estimated by using the technique of Principal Component Analysis (PCA). This evaluation shows that the majority of the Tunisian banks witnessed an improvement in their situations. This is essentially due to the significant reduction of non-performing loans. After that, we tried to identify the impact of the macroeconomic environment on the fragility of the Tunisian banks. Our empirical results reveal that an improvement of the liquidity of the economy, reserves in currency and GDP (Gross Domestic Product) and that a decrease of the debts of the State in percentage of the GDP (GROSS DOMESTIC PRODUCT) played a central role in the decrease of the fragility of the Tunisian banks.