Credit risk assessment using a multicriteria hierarchical discrimination approach: A comparative analysis

Doumpos, Michael; Kosmidou, Kyriaki; Baourakis, George; Zopounidis, Constantin

doi:10.1016/s0377-2217(01)00254-5

Cited by 103 publications

(35 citation statements)

References 17 publications

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“…Furthermore, the Altman's variables are more or less the 25% of all the variables in Table 1, as to say that the informative contents of the two sets of variables are so different that they have a significant impact on the rating. The results in terms of distribution of bankrupt firms in rating classes presented in [24,Tables 15,32,33] show that, in all the considered years, there is a slight decrease of the number of bankrupt firms in the first (best) class, and a slight increase of the number of the bankrupt enterprises in the last (worst) class. Therefore, it appears that MURAME methodology, when using only the Altman's variables, rates slightly better the bankrupt firms in the extreme classes than when using all the variables of Table 1.…”

Section: Data Set and Evaluation Criteriamentioning

confidence: 94%

“…Many methodologies which fall within MCDA have been widely adopted to support several kinds of real-life decision problems, as showed in [38], including financial decisions. Among the financial applications of MCDA, those regarding creditworthiness evaluations play a relevant role (see [47], [33], [34], [8], [35], [39], [25], [23]). Moreover, a few recent studies built MCDA models to specifically evaluate SMEs creditworthiness.…”

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confidence: 99%

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PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs

et al. 2017

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Section: Data Set and Evaluation Criteriamentioning

confidence: 94%

mentioning

confidence: 99%

PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs

et al. 2017

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“…Doumpos and Zopounidis (2002) who worked on mathematical programming previously applied UTADIS method in order to obtain a high performance of financial manipulation forecasting. UTADIS being mainly a Multi Criteria Decision Making (MCDM) method, aims to classify the observations into different groups.…”

Section: Mathematical Modelling Versus Statistical Techniquesmentioning

confidence: 99%

The detection of earnings manipulation: the three‐phase cutting plane algorithm using mathematical programming

Dikmen

Küçükkocaoğlu²

2010

Journal of Forecasting

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The primary goal of this study is to propose an algorithm using mathematical programming to detect earnings management practices 1 . In order to evaluate the ability of this proposed algorithm, the traditional statistical models are used as a benchmark vis-a-vis with their timeseries counterparts. As emerging techniques in the area of mathematical programming yields better results, application of suitable models expected to result in highly performed forecasts. The motivation behind this paper is to develop an algorithm which will give a successful achievement on detecting companies which appeal to financial manipulation. The methodology is based on cutting plane formulation using mathematical programming. A sample of 126 Turkish manufacturing firms described over ten financial ratios and indexes are used for detecting factors associated with false financial statements. The results indicate that the proposed three phase cutting plane algorithm outperforms the traditional statistical techniques which are widely used for false financial statement detections. Furthermore, the results indicate that the investigation of financial information can be helpful towards the identification of false financial statements and highlight the importance of financial ratios/indexes such as Days' Sales in Receivables Index (DSRI), Gross Margin Index (GMI), Working Capital Accruals to Total Assets (TATA), Days to Inventory Index (DINV).

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“…Still, as recognized by many (e.g. Altman, Saunders 1998;Lopez, Saidenberg 2000;Doumpos, Zopounidis 2001;Doumpos et al 2002;Mačerinskienė, Ivaškevičiūtė 2008;Thomas 2009;Twala 2010), despite the strengths and widespread application of current methodologies, models, techniques and/or simple applications, each solution has specific drawbacks where clarification is required on a number of issues. For example, observed a lack of transparency in the way trade-offs among evaluation criteria are made explicit.…”

Section: Introductionmentioning

confidence: 99%

Readjusting Trade-Offs Among Criteria in Internal Ratings of Credit-Scoring: An Empirical Essay of Risk Analysis in Mortgage Loans

Ferreira

Spahr²,

Gavancha³

et al. 2013

Journal of Business Economics and Management

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Abstract. Credit-scoring becomes increasingly important in poor economies and recessions. Decreasing liquidity due to reduced access to both money and debt markets has induced banks to impose restrictions on offering credit, including credit for mortgage loans. In this paper we analyze the internal rating system used by one of the top-five banks in Portugal, and propose a methodological framework which, based on an application of the Delphi technique, allows adjusting trade-offs among evaluation criteria and provides decision makers with a fairer, more accurate and transparent mortgage risk evaluation system.

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Credit risk assessment using a multicriteria hierarchical discrimination approach: A comparative analysis

Cited by 103 publications

References 17 publications

PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs

PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs

The detection of earnings manipulation: the three‐phase cutting plane algorithm using mathematical programming

Readjusting Trade-Offs Among Criteria in Internal Ratings of Credit-Scoring: An Empirical Essay of Risk Analysis in Mortgage Loans

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