An MCDA-based approach for creditworthiness assessment

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Preprint 01 Jan 2008 Italy English Publisher:Dipartimento di Matematica Applicata, Università Ca’ Foscari Venezia

Authors: CORAZZA, Marco; FUNARI, Stefania; SIVIERO F.;

handle: 10278/21906

An MCDA-based approach for creditworthiness assessment

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Abstract

In this paper we propose a deterministic methodology for creditworthiness evaluation based on the Multi-Criteria Decision Analysis (MCDA) method known as MUlticriteria RAnking MEthod (MURAME). This approach allows to rank the firms according to their credit risk characteristics and to sort them into a prefixed number of homogeneous creditworthiness groups. Moreover, the methodology allows to estimate ex-post proxies of the probabilities of default and of the probabilities of transition. Then, we apply the proposed approach to check its capability to evaluate the creditworthiness in real cases; in particular, we consider the case of an important north eastern Italian bank.

Il working paper è inserito nell'archivio RePEc. http://ideas.repec.org/p/vnm/wpaper/177.html

Country

Italy

Related Organizations

Ca Foscari University of Venice
Italy

Keywords

Multi-Criteria Decision Analysis (or MCDA), MUlti-criteria RAnking MEthod (or MURAME), credit risk assessment, Multi-Criteria Decision Analysis (MCDA); MUlti-criteria RAnking MEthod (or MURAME); Credit risk assessment., jel: jel:C02, jel: jel:G20, jel: jel:G32

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