Il working paper è inserito nell'archivio RePEc. http://ideas.repec.org/p/vnm/wpaper/177.html
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.
An MCDA-based approach for creditworthiness assessment
CORAZZA, Marco
;FUNARI, Stefania
;
2008-01-01
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.File | Dimensione | Formato | |
---|---|---|---|
2008-Corazza_Funari_Siviero-An_MCDA-based_approach_for_creditworthiness_assessment-WP.pdf
accesso aperto
Descrizione: Articolo nella versione dell'editore.
Tipologia:
Versione dell'editore
Licenza:
Accesso libero (no vincoli)
Dimensione
138.47 kB
Formato
Adobe PDF
|
138.47 kB | Adobe PDF | Visualizza/Apri |
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.