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

Il working paper è inserito nell'archivio RePEc. http://ideas.repec.org/p/vnm/wpaper/177.html
Working Paper Series - Department of Applied Mathematics, University of Venice
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/21906
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