In the last 30-40 years multicriteria-based approaches have been strongly applied to financial decision-making problems. The contributions that use multicriteria methodologies in order to evaluate the creditworthiness of debtors and loan applicants belong to this research field and mainly refer to applications of UTADIS and ELECTRE methods. In this paper authors themselves propose a deterministic approach for creditworthiness evaluation based on the multicriteria method known as MURAME, which has been applied for the first time to creditworthiness assessment problems by the authors themselves. The MURAME-based approach proposed by the authors is articulated in two phases: a rating assignment phase, and a rating quantification phase. The first one is mainly devoted to determine the debtors’ rating classes, whereas the second phase allows to obtain estimates of the probabilities of default and of transition, and permits to calculate quantities providing further information about the (cardinal) rating and the (ordinal) ranking of the debtors’ credit quality. The proposed approach is applied to an important north eastern Italian bank, the Banca Popolare di Vicenza, in order to evaluate the creditworthiness in a real case.

In the last 30-40 years multicriteria-based approaches have been strongly applied to financial decision-making problems. The contributions that use multicriteria methodologies in order to evaluate the creditworthiness of debtors and loan applicants belong to this research field and mainly refer to applications of UTADIS and ELECTRE methods. In this paper authors themselves propose a deterministic approach for creditworthiness evaluation based on the multicriteria method known as MURAME, which has been applied for the first time to creditworthiness assessment problems by the authors themselves. The MURAME-based approach proposed by the authors is articulated in two phases: a rating assignment phase, and a rating quantification phase. The first one is mainly devoted to determine the debtors' rating classes, whereas the second phase allows to obtain estimates of the probabilities of default and of transition, and permits to calculate quantities providing further information about the (cardinal) rating and the (ordinal) ranking of the debtors' credit quality. The proposed approach is applied to an important northeastern Italian bank, the Banca Popolare di Vicenza, in order to evaluate the creditworthiness in a real case.

A MURAME-based technology for bank decision support in creditworthiness assessment

CORAZZA, Marco
;
FUNARI, Stefania
;
2014-01-01

Abstract

In the last 30-40 years multicriteria-based approaches have been strongly applied to financial decision-making problems. The contributions that use multicriteria methodologies in order to evaluate the creditworthiness of debtors and loan applicants belong to this research field and mainly refer to applications of UTADIS and ELECTRE methods. In this paper authors themselves propose a deterministic approach for creditworthiness evaluation based on the multicriteria method known as MURAME, which has been applied for the first time to creditworthiness assessment problems by the authors themselves. The MURAME-based approach proposed by the authors is articulated in two phases: a rating assignment phase, and a rating quantification phase. The first one is mainly devoted to determine the debtors’ rating classes, whereas the second phase allows to obtain estimates of the probabilities of default and of transition, and permits to calculate quantities providing further information about the (cardinal) rating and the (ordinal) ranking of the debtors’ credit quality. The proposed approach is applied to an important north eastern Italian bank, the Banca Popolare di Vicenza, in order to evaluate the creditworthiness in a real case.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/41520
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