Credit risk assessment using a multicriteria hierarchical discrimination approach: A comparative analysis

نویسندگان

  • Michael Doumpos
  • Kyriaki Kosmidou
  • George Baourakis
  • Constantin Zopounidis
چکیده

Corporate credit risk assessment decisions involve two major issues: the determination of the probability of default and the estimation of potential future benefits and losses for credit granting. The former issue is addressed by classifying the firms seeking credit into homogeneous groups representing different levels of credit risk. Classification/discrimination procedures commonly employed for such purposes include statistical and econometric techniques. This paper explores the performance of the M.H.DIS method (Multi-group Hierarchical DIScrimination), an alternative approach that originates from multicriteria decision aid (MCDA). The method is used to develop a credit risk assessment model using a large sample of firms derived from the loan portfolio of a leading Greek commercial bank. A total of 1411 firms are considered in both training and holdout samples using financial information through the period 1994–1997. A comparison with discriminant analysis (DA), logit analysis (LA) and probit analysis (PA) is also conducted to investigate the relative performance of the M.H.DIS method as opposed to traditional tools used for credit risk assessment. 2002 Elsevier Science B.V. All rights reserved.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Assessing ®nancial risks using a multicriteria sorting procedure: the case of country risk assessment

The assessment of ®nancial risks is a problem of major interest for corporate entities (organizations, ®nancial institutions, ®rms, etc.). The vulnerable economic and ®nancial environments necessitate the development of operational approaches to measure and control ®nancial risks. Most of the methodologies that have been proposed in the past employ a probabilistic notion of risk. This paper pro...

متن کامل

Assessment of the Risk of Individual and Occupational Factors Affecting the Causes of Occupational Accidents in the Construction Industry Using the Fuzzy Hierarchical Analysis Approach: A Case Study in Kurdistan Province, Iran

Background and Aim: Based on the Iranian Social Security Organization statistics, in 2012 the accidents occurring in the construction industry accounted for 26% of all the occupational accidents in the country. Therefore, this study was conducted to identify the individual and occupational risk factors affecting the causes of occupational accidents in this industry using the fuzzy hierarchical ...

متن کامل

Constructing a Composite Index of Risk in the Banking Sector: A Multilayer DEA Approach (Case Study: Tehran Stock Exchange Member Banks)

Risk analysis is necessary for portfolio management. Investors in setting an appropriate portfolio need to pay attention to risk-related indicators as well as profitability. Beside soft approaches for composing indicators to an index such as AHP, the optimization approaches such as DEA are also considered. However, if the indicators have a hierarchical structure, then it is no longer possible t...

متن کامل

The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis

The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...

متن کامل

Choosing a Commercial Broiler Strain Based on Multicriteria Decision Analysis

With the complexity and amount of information in a wide variety of comparative performance reports in poultry production, making a decision is difficult. This problem is overcomed only when all data can be put into a common unit. For this purpose, five different decision making analysis approaches including  Maximin, Equally likely, Weighted average, Ordered weighted averages and Technique for ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • European Journal of Operational Research

دوره 138  شماره 

صفحات  -

تاریخ انتشار 2002