A multicriteria approach for rating the credit risk of financial institutions

被引：19

作者：

Baourakis, G. ^{[1
]}

Conisescu, M. ^{[1
]}

van Dijk, G. ^{[2
,3
]}

Pardalos, P. M. ^{[4
]}

Zopounidis, C. ^{[5
]}

机构：

[1] Mediterranean Agron Inst Chania, Dept Business Econ & Management, Khania, Greece

[2] Wageningen Univ, Dept Mkt, Wageningen, Netherlands

[3] Nyenrode Business Sch, Wageningen, Netherlands

[4] Univ Florida, Dept Ind & Syst Engn, 303 Weil Hall,POB 116595, Gainesville, FL 32611 USA

[5] Tech Univ Crete, Dept Prod Engn & Management, Financial Engn Lab, Khania, Greece

来源：

COMPUTATIONAL MANAGEMENT SCIENCE | 2009年 / 6卷 / 03期

关键词：

Credit risk modeling; Financial institutions; Multiple criteria decision making;

D O I：

10.1007/s10287-007-0050-3

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

Within the new bank regulatory context, the assessment of the credit risk of financial institutions is an important issue for supervising authorities and investors. This study explores the possibility of a developing risk assessment model for financial institutions using a multicriteria classification method. The analysis is based on publicly available financial data for UK firms. The results indicate that the proposed multicriteria methodology provides promising results compared to well known statistical methods.

引用

页码：347 / 356

页数：10

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