Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 138, Issue 2, Pages 392-412Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/S0377-2217(01)00254-5
Keywords
credit risk assessment; multicriteria decision aid; classification; case study
Ask authors/readers for more resources
Corporate credit risk assessment decisions involve two major issues: the determination of the probability of default and the estimation of potential future benefits and losses for credit granting. The former issue is addressed by classifying the firms seeking credit into homogeneous groups representing different levels of credit risk. Classification/discrimination procedures commonly employed for such purposes include statistical and econometric techniques. This paper explores the performance of the M.H.DIS method (Multi-group Hierarchical DIScrimination), an alternative approach that originates from multicriteria decision aid (MCDA). The method is used to develop a credit risk assessment model using a large sample of firms derived from the loan portfolio of a leading Greek commercial bank. A total of 1411 firms are considered in both training and holdout samples using financial information through the period 1994-1997. A comparison with discriminant analysis (DA), logit analysis (LA) and probit analysis (PA) is also conducted-to investigate the relative performance of the M.H.DIS method as opposed to traditional tools used for credit risk assessment. (C) 2002 Elsevier Science B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available