A Multicriterion System fro Credit Risk Rating

J. Khalil, J.M. Martel and P. Jutras

Working Papers from Laval - Faculte des sciences de administration

Abstract: Evaluating credit risk is an important task for financial institution managers. In order to measure the risk pertaining to the borrower, these institutions often use a rating system to establish the credit risk. In this study, a multicriterion approach was chosen to elaborate a rating system for the credit risk. The procedure used is ELECTRE-TRI which was specially developed for the sorting problems. The application of this procedure to a sample of borrower files at the Confédération des Caisses Populaires Desjardins de Québec showed that the predictive capacity of this model is very good. The procedure was used as the basis for the elaboration of a credit risk rating software currently being used by the Surveillance and Financial Security Office at the Confédération des Caisses Populaires Desjardins.

Keywords: CREDIT; RISK (search for similar items in EconPapers)
JEL-codes: G20 G21 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:lavadm:99-014

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