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A multicriteria outranking approach for modeling corporate credit ratings: an application of the ELECTRE TRI-NC method

Doumpos Michail, Figueira, Jose Rui

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URIhttp://purl.tuc.gr/dl/dias/169E1896-ECC7-456F-BDBE-2AB05EEF56A6-
Identifierhttps://doi.org/10.1016/j.omega.2018.01.003-
Identifierhttps://www.sciencedirect.com/science/article/pii/S0305048317306205-
Languageen-
Extent15 pagesen
TitleA multicriteria outranking approach for modeling corporate credit ratings: an application of the ELECTRE TRI-NC methoden
CreatorDoumpos Michailen
CreatorΔουμπος Μιχαηλel
CreatorFigueira, Jose Ruien
PublisherElsevieren
Content SummaryCorporate credit ratings are widely used in financial services for risk management, investment, and financing decisions. In this study, the use of a recently developed multicriteria outranking approach, namely the ELECTRE TRI-NC method, is examined for constructing internal credit rating models in an expert-based judgmental framework. The models are constructed in a multicriteria classification (sorting) setting and the results are analyzed in terms of their internal properties as well as their deviations from risk rating categories defined by rating agencies (i.e. external benchmarking). A simulation/scenario analysis is conducted to examine the results and performance of the outranking models in relation to their parameters. Empirical results are provided for a sample of European firms rated by three leading rating agencies.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2020-10-29-
Date of Publication2019-
SubjectCredit ratingsen
SubjectDecision supporten
SubjectELECTRE TRI-NCen
SubjectMultiple criteria analysisen
Bibliographic CitationM. Doumpos and J.R. Figueira, "A multicriteria outranking approach for modeling corporate credit ratings: an application of the ELECTRE TRI-NC method," Omega, vol. 82, pp. 166-180, Jan. 2019. doi: 10.1016/j.omega.2018.01.003en

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