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Credit risk management: A multicriteria approach to assess creditworthiness

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Credit risk management: A multicriteria approach to assess creditworthiness

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dc.contributor.author García García, Fernando es_ES
dc.contributor.author Giménez Molina, Vicente es_ES
dc.contributor.author Guijarro Martínez, Francisco es_ES
dc.date.accessioned 2014-06-10T15:42:25Z
dc.date.issued 2013-10
dc.identifier.issn 0895-7177
dc.identifier.uri http://hdl.handle.net/10251/38062
dc.description.abstract Credit risk management is a key issue for any company at anytime, but is especially important in the case of the banking industry. This fact is more than evident in times of financial crises, when financial institutions can suffer high losses due to unpaid credits. For this reason, international financial supervisors and authorities have forced banks to monitor their credit risk and this risk is a variable that is constantly under the scrutiny of all financial agents in the international markets. There are currently several methodologies that aim to predict the default probability of debtors. Many of them use logit analysis to discriminate among debtors. New methodologies make use of neural networks or multicriteria methods. This paper presents a new proposal based on goal programming, which allows the judgement of experts to be incorporated into the model, as suggested by the Basel Committee. Our approach combines the objective information of financial variables with the subjective judgement of experts about the different relevance of these variables, so observing the Basel Committee guidelines. es_ES
dc.language Inglés es_ES
dc.publisher Elsevier es_ES
dc.relation.ispartof Mathematical and Computer Modelling es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Credit risk es_ES
dc.subject Goal programming es_ES
dc.subject Default probability es_ES
dc.subject Firm solvency es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Credit risk management: A multicriteria approach to assess creditworthiness es_ES
dc.type Artículo es_ES
dc.embargo.lift 10000-01-01
dc.embargo.terms forever es_ES
dc.identifier.doi 10.1016/j.mcm.2012.03.005
dc.rights.accessRights Cerrado 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 García García, F.; Giménez Molina, V.; Guijarro Martínez, F. (2013). Credit risk management: A multicriteria approach to assess creditworthiness. Mathematical and Computer Modelling. 57:2009-2015. doi:10.1016/j.mcm.2012.03.005 es_ES
dc.description.accrualMethod Senia es_ES
dc.relation.publisherversion http://dx.doi.org/10.1016/j.mcm.2012.03.005 es_ES
dc.description.upvformatpinicio 2009 es_ES
dc.description.upvformatpfin 2015 es_ES
dc.type.version info:eu repo/semantics/publishedVersion es_ES
dc.description.volume 57 es_ES
dc.relation.senia 234158


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