An MCDA-based Approach for Creditworthiness Assessment

Marco Corazza (), Stefania Funari and Federico Siviero ()
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Federico Siviero: Cohen & Company, Subsidiary of London

No 177, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

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.

Keywords: Multi-Criteria Decision Analysis (or MCDA); MUlti-criteria RAnking MEthod (or MURAME); credit risk assessment (search for similar items in EconPapers)
JEL-codes: C02 G20 G32 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2008-11
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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