- -

A multicriteria approach to manage credit risk under strict uncertainty

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by


A multicriteria approach to manage credit risk under strict uncertainty

Show full item record

Pla Santamaría, D.; Bravo Selles, M.; Reig-Mullor, J.; Salas-Molina, F. (2021). A multicriteria approach to manage credit risk under strict uncertainty. Top. 29(2):494-523. https://doi.org/10.1007/s11750-020-00571-0

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/168598

Files in this item

Item Metadata

Title: A multicriteria approach to manage credit risk under strict uncertainty
Author: Pla Santamaría, David BRAVO SELLES, MILAGROS Reig-Mullor, Javier Salas-Molina, Francisco
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
[EN] Assessing the ability of applicants to repay their loans is generally recognized as a critical task in credit risk management. Credit managers rely on financial and market information, usually in the form of ratios, ...[+]
Subjects: Moderate pessimism decision-making , Finance and banking , Financial modeling , Compromise programming
Copyrigths: Reserva de todos los derechos
Top. (issn: 1134-5764 )
DOI: 10.1007/s11750-020-00571-0
Publisher version: https://doi.org/10.1007/s11750-020-00571-0
Type: Artículo


Abdi H, Williams LJ (2010) Principal component analysis. Wiley Interdiscip Reviews Comput Stat 2(4):433–459

Adams W, Einav L, Levin J (2009) Liquidity constraints and imperfect information in subprime lending. Am Econ Rev 99(1):49–84

Altman EI (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J Financ 23(4):589–609 [+]
Abdi H, Williams LJ (2010) Principal component analysis. Wiley Interdiscip Reviews Comput Stat 2(4):433–459

Adams W, Einav L, Levin J (2009) Liquidity constraints and imperfect information in subprime lending. Am Econ Rev 99(1):49–84

Altman EI (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J Financ 23(4):589–609

Altman EI, Iwanicz-Drozdowska M, Laitinen EK, Suvas A (2016) Financial and non-financial variables as long-horizon predictors of bankruptcy. J Credit Risk 12(4):49–78

Angilella S, Mazzù S (2015) The financing of innovative smes: a multicriteria credit rating model. Eur J Oper Res 244(2):540–554

Armor DJ (1973) Theta reliability and factor scaling. Sociol Methodol 5:17–50

Avery RB, Bostic RW, Calem PS, Canner GB (2000) Credit scoring: statistical issues and evidence from credit-bureau files. Real Estate Econ 28(3):523–547

Ballestero E (2002) Strict uncertainty: a criterion for moderately pessimistic decision makers. Decis Sci 33(1):87–108

Ballestero E (2006) Ranking alternatives from the decision maker’s preferences: an approach based on utility and the notion of marginal action. J Oper Res Soc Jpn 49(1):49–65

Ballestero E, Pla-Santamaria D (2004) Selecting portfolios for mutual funds. Omega 32(5):385–394

Ballestero E, Romero C (1998) Multiple criteria decision making and its applications to economic problems. Kluwer Academic Publishers, Dordrecht

Ballestero E, Günther M, Pla-Santamaria D, Stummer C (2007) Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the frankfurt and vienna stock exchanges. Eur J Oper Res 181(3):1476–1487

Bartlett MS (1937) Properties of sufficiency and statistical tests. Proc R Soc Lond Ser A Math Phys Sci 160(901):268–282

Bellman R (1957) Dynamic programming. Princeton University Press, New Jersey

Bravo M, Pla-Santamaria D (2012) Evaluating loan performance for bank offices: a multicriteria decision-making approach. Inf Syst Oper Res 50(3):127–133

Breeden JL (2016) Incorporating lifecycle and environment in loan-level forecasts and stress tests. Eur J Oper Res 255(2):649–658

Carmines EG, Zeller RA (1979) Reliability and validity assessment. Quantitative applications in the social sciences. SAGE, Thousand Oaks

Cerny BA, Kaiser HF (1977) A study of a measure of sampling adequacy for factor-analytic correlation matrices. Multivar Behav Res 12(1):43–47

Chen M-Y (2014) Using a hybrid evolution approach to forecast financial failures for taiwan-listed companies. Quant Financ 14(6):1047–1058

Conway JM, Huffcutt AI (2003) A review and evaluation of exploratory factor analysis practices in organizational research. Organ Res Methods 6(2):147–168

Doumpos M, Zopounidis C (2011) A multicriteria outranking modeling approach for credit rating. Decis Sci 42(3):721–742

Edelberg W (2006) Risk-based pricing of interest rates for consumer loans. J Monet Econ 53(8):2283–2298

Einav L, Jenkins M, Levin J (2012) Contract pricing in consumer credit markets. Econometrica 80(4):1387–1432

Einav L, Jenkins M, Levin J (2013) The impact of credit scoring on consumer lending. Rand J Econ 44(2):249–274

Elisabetsky R (1976) Um modelo matemático para decisões de crédito no banco comercial. PhD thesis, Dissertação (Mestrado)–Escola Politécnica, Universidade de São Paulo, São Paulo

Eriksson K, Jonsson S, Lindbergh J, Lindstrand A (2014) Modeling firm specific internationalization risk: an application to banks’ risk assessment in lending to firms that do international business. Int Bus Rev 23(6):1074–1085

Fabrigar LR, Wegener DT, MacCallum RC, Strahan EJ (1999) Evaluating the use of exploratory factor analysis in psychological research. Psychol Methods 4(3):272

Falangis K (2007) The use of MSD model in credit scoring. Oper Res Int J 7(3):481–503

Ford JK, MacCallum RC, Tait M (1986) The application of exploratory factor analysis in applied psychology: a critical review and analysis. Pers Psychol 39(2):291–314

Freeman L, Hamilton D (2002) A dream deferred or realized: the impact of public policy on fostering black homeownership in new york city throughout the 1990’s. Am Econ Rev 92(2):320–324

George W, Snedecor CWG (1989) Statistical methods. Iowa State University Press, Iowa

Jory SR, Ngo TN, Wang D (2016) Credit ratings and the premiums paid in mergers and acquisitions. J Empir Financ 39:93–104

Kaiser HF (1958) The varimax criterion for analytic rotation in factor analysis. Psychometrika 23(3):187–200

Kaiser HF (1974) An index of factorial simplicity. Psychometrika 39(1):31–36

Kanitz S (1974) Como prever falencias de empresas. Revista de Negocios Em Exame, Dezembro, pp 95–102

Kantardzic M (2011) Data mining: concepts, models, methods, and algorithms. Wiley, New York

Kealhofer S (1993) Portfolio management of default risk. KMV Corporation, San Francisco

Laplace P-S (1825) Essai philosophique sur les probabilités. H. Remy, Paris

Legault, J. and Score, A. (1987). Ca score. warning system for small business failures. Bilanas, June, pages 29–31

Li H, Hong L-Y, Zhou Q, Yu H-J (2015) The assisted prediction modelling frame with hybridisation and ensemble for business risk forecasting and an implementation. Int J Syst Sci 46(11):2072–2086

Magee S (2013) The effect of foreign currency hedging on the probability of financial distress. Account Financ 53(4):1107–1127

McQuown J (1993) Market versus accounting-based measures of default risk. KMV Corporation, San Francisco

Mencía J (2012) Assessing the risk-return trade-off in loan portfolios. J Bank Financ 36(6):1665–1677

Merton RC (1974) On the pricing of corporate debt: the risk structure of interest rates. J Financ 29(2):449–470

Mester LJ (1997) What’s the point of credit scoring? Bus Rev 3(Sep/Oct):3–16

Nunnally JC, Bernstein I (1994) Psychometric theory (McGraw-Hill Series in Psychology), vol 3. McGraw-Hill, New York

Saunders D, Xiouros C, Zenios SA (2007) Credit risk optimization using factor models. Ann Oper Res 152(1):49–77

Sengupta R, Bhardwaj G (2015) Credit scoring and loan default. Int Rev Financ 15(2):139–167

Shi J, Xu B (2016) Credit scoring by fuzzy support vector machines with a novel membership function. J Risk Financ Manag 9(4):13

Sirignano J, Giesecke K (2019) Risk analysis for large pools of loans. Manag Sci 65(1):107–121

Sirignano JA, Tsoukalas G, Giesecke K (2016) Large-scale loan portfolio selection. Oper Res 64(6):1239–1255

Spector PE (1992) Summated rating scale construction: An introduction, vol 82. Sage, Newbury Park

Springate GL (1978) Predicting the possibility of failure in a Canadian firm: a discriminant analysis. PhD thesis, Simon Fraser University

Thomas LC (2009) Consumer credit models: pricing, profit and portfolios: pricing, profit and portfolios. Oxford University Press, Oxford

Vasicek O (1984) The philosophy of credit valuation: the credit valuation model. KMV Corporation, San Francisco

Wald A (1950) Statistical decision functions. Wiley, New York

Wang J, Wang J (2015) Forecasting stock market indexes using principle component analysis and stochastic time effective neural networks. Neurocomputing 156:68–78

Weber O (2012) Environmental credit risk management in banks and financial service institutions. Bus Strate Environ 21(4):248–263

Woerheide W, Persson D (1992) An index of portfolio diversification. Financ Serv Rev 2(2):73–85

Yu P-L (1985) Multiple-criteria decision making: concepts, techniques, and extensions. Plenum Press, New York

Zeleny M (1973) Compromise programming. In: Cochrane JL, Zeleny M (eds) Multiple criteria decision making. University of South Carolina Press, Columbia, pp 262–301

Zeleny M (1982) Multiple criteria decision making. McGraw-Hill, New York




This item appears in the following Collection(s)

Show full item record