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A multicriteria approach to manage credit risk under strict uncertainty

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A multicriteria approach to manage credit risk under strict uncertainty

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dc.contributor.author Pla Santamaría, David es_ES
dc.contributor.author BRAVO SELLES, MILAGROS es_ES
dc.contributor.author Reig-Mullor, Javier es_ES
dc.contributor.author Salas-Molina, Francisco es_ES
dc.date.accessioned 2021-07-01T03:32:22Z
dc.date.available 2021-07-01T03:32:22Z
dc.date.issued 2021-07 es_ES
dc.identifier.issn 1134-5764 es_ES
dc.identifier.uri http://hdl.handle.net/10251/168598
dc.description.abstract [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, to estimate the quality of credit applicants. However, there is no guarantee that a given set of ratios contains the information needed for credit classification. Decision rules under strict uncertainty aim to mitigate this drawback. In this paper, we propose the use of a moderate pessimism decision rule combined with dimensionality reduction techniques and compromise programming. Moderate pessimism ensures that neither extreme optimistic nor pessimistic decisions are taken. Dimensionality reduction from a set of ratios facilitates the extraction of the relevant information. Compromise programming allows to find a balance between quality of debt and risk concentration. Our model produces two critical outputs: a quality assessment and the optimum allocation of funds. To illustrate our multicriteria approach, we include a case study on 29 firms listed in the Spanish stock market. Our results show that dimensionality reduction contributes to avoid redundancy and that quality-diversification optimization is able to produce budget allocations with a reduced number of firms. es_ES
dc.language Inglés es_ES
dc.publisher Springer-Verlag es_ES
dc.relation.ispartof Top es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Moderate pessimism decision-making es_ES
dc.subject Finance and banking es_ES
dc.subject Financial modeling es_ES
dc.subject Compromise programming es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title A multicriteria approach to manage credit risk under strict uncertainty es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1007/s11750-020-00571-0 es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.description.bibliographicCitation 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1007/s11750-020-00571-0 es_ES
dc.description.upvformatpinicio 494 es_ES
dc.description.upvformatpfin 523 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 29 es_ES
dc.description.issue 2 es_ES
dc.relation.pasarela S\425552 es_ES
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