The Resilience of African Banks in the COVID-19 Crisis : A Study on the Macroprudential Stress Test of Banks in the WAEMU Zone

In this article, we have implemented a macroprudential “stress-test” (Top-down) of credit risk at the level of banks in the WAEMU zone. Empirically, we performed a simulation on three macroeconomic scenarios using the Vector Auto Regressive (VAR) model. Our historical scenarios refer to the Covid-19 pandemic crisis during the year 2020 which took place in WAEMU countries. We carried out a simulation on GDP growth, unemployment and the general level of prices through inflation. The results of the stress test showed a banking sector resistant to severe macroeconomic shocks. Whatever the shocks, the banks' capital adequacy ratio (CAR-Capital Adequacy Ratio) will always remain above 11.5% in 2020, the minimum required by Basel II and Basel III, so that we We noted a slight drop in the ratio, which was 12.4% in 2020. This result shows that efforts have been made in the banking sector at the level of equity, with a view to limiting the risk by maintaining the CAR at a higher than 11.5% (the ratios vary between 11.94% and 12.24%)