A multicriteria decision support tool for modelling bank credit ratings

Chrysovalantis Gaganis (), Giota Papadimitri () and Menelaos Tasiou ()
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Menelaos Tasiou: University of Portsmouth

Annals of Operations Research, 2021, vol. 306, issue 1, No 3, 27-56

Abstract: Abstract We introduce an application of the SMAA-Fuzzy-FlowSort approach to the case of modelling bank credit ratings. Its stochastic nature allows for imprecisions and uncertainty that naturally surround a decision-making exercise to be embedded into the proposed framework, whilst its output complements the ordinal nature of a crisp classification with cardinal information that shows the degree of membership to each rating category. Combined with the SMAA variant of GAIA that offers a visual of a bank’s judgmental analysis, both recent approaches provide a holistic multicriteria decision support tool in the hands of a credit analyst and enable a rich inferential procedure to be conducted. To illustrate the assets of this framework, we provide a case study evaluating the credit risk of 55 EU banks according to their financial fundamentals.

Keywords: Bank credit ratings; MCDA; SMAA; FlowSort; GAIA (search for similar items in EconPapers)
JEL-codes: C38 C53 G21 G24 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s10479-020-03516-9

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