Ιδρυματικό Αποθετήριο
Πολυτεχνείο Κρήτης
Πολυτεχνείο Κρήτης
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| URI | http://purl.tuc.gr/dl/dias/D10967EF-10E9-4610-BBEA-B59B6935A76F | - |
| Αναγνωριστικό | http://www.sciencedirect.com/science/article/pii/S0377221701002545 | - |
| Αναγνωριστικό | https://doi.org/10.1016/S0377-2217(01)00254-5 | - |
| Γλώσσα | en | - |
| Μέγεθος | 21 pages | en |
| Τίτλος | Credit risk assessment using a multicriteria hierarchical discrimination approach: a comparative analysis | en |
| Δημιουργός | Michael Doumpos | en |
| Δημιουργός | Δουμπος Μιχαλης | el |
| Δημιουργός | Zopounidis Konstantinos | en |
| Δημιουργός | Ζοπουνιδης Κωνσταντινος | el |
| Δημιουργός | Kosmidou, Kyriaki | en |
| Δημιουργός | Baourakis, George | en |
| Εκδότης | Elsevier | en |
| Περίληψη | 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. | en |
| Τύπος | Peer-Reviewed Journal Publication | en |
| Τύπος | Δημοσίευση σε Περιοδικό με Κριτές | el |
| Άδεια Χρήσης | http://creativecommons.org/licenses/by/4.0/ | en |
| Ημερομηνία | 2015-11-09 | - |
| Ημερομηνία Δημοσίευσης | 2002 | - |
| Θεματική Κατηγορία | Credit risk assessment | en |
| Θεματική Κατηγορία | Multicriteria decision aid | en |
| Θεματική Κατηγορία | Classification | en |
| Θεματική Κατηγορία | Case study | en |
| Βιβλιογραφική Αναφορά | M. Doumpos, K. Kosmidou, G. Baourakis and C. Zopounidis, "Credit risk assessment using a multicriteria hierarchical discrimination approach: a comparative analysis," Europ. J. Operat. Res., vol. 138, no. 2, pp. 392-412, Apr. 2002. doi:10.1016/S0377-2217(01)00254-5 | en |
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