A multicriteria approach for rating the credit risk of financial institutions

A multicriteria approach for rating the credit risk of financial institutions

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Article ID: iaor200971046
Country: Germany
Volume: 6
Issue: 3
Start Page Number: 347
End Page Number: 356
Publication Date: Aug 2009
Journal: Computational Management Science
Authors: , , , ,
Keywords: decision theory: multiple criteria
Abstract:

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.

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