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A multicriteria approach for rating the credit risk of financial institutions |
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| Authors: | G Baourakis M Conisescu G van Dijk P M Pardalos C Zopounidis |
| Institution: | (1) Department of Business Economics and Management, Mediterranean Agronomic Institute of Chania, Chania, Greece;(2) Department of Marketing, Wageningen University and Nyenrode Business School, Wageningen, The Netherlands;(3) Department of Industrial and Systems Engineering, University of Florida, 303 Weil Hall, P.O. Box 116595, 32611-6595 Gainesville, FL, USA;(4) Department of Production Engineering and Management, Financial Engineering Laboratory, Technical University of Crete, Chania, Greece |
| Abstract: | Within the new bank regulatory context, the assessment of the credit risk of financial institutions is an important issue for supervising authorities and investors. This study explores the possibility of a developing risk assessment model for financial institutions using a multicriteria classification method. The analysis is based on publicly available financial data for UK firms. The results indicate that the proposed multicriteria methodology provides promising results compared to well known statistical methods. |
| Keywords: | Credit risk modeling Financial institutions Multiple criteria decision making |
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