کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11011923 | 1802847 | 2019 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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چکیده انگلیسی
Corporate 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Omega - Volume 82, January 2019, Pages 166-180
Journal: Omega - Volume 82, January 2019, Pages 166-180
نویسندگان
Michalis Doumpos, José Rui Figueira,