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A Multicriteria Approach to Bank Rating

In: Evaluation and Decision Models with Multiple Criteria

Author

Listed:
  • Michael Doumpos

    (University Campus)

  • Constantin Zopounidis

    (University Campus)

Abstract

Bank rating refers to the analysis of a bank’s overall viability, performance and risk exposure. Within the recent financial turmoil, bank rating has become extremely important. Typically, bank rating is performed through empirical procedures that combine financial and qualitative data into an overall performance index. This paper presents a case study on the implementation of a multicriteria approach to bank rating. The proposed methodology is based on the PROMETHEE II method. A rich set of evaluation criteria are used in the analysis, selected in accordance with widely accepted bank rating principals. Special emphasis is put on the sensitivity of the results with regard to the relative importance of the evaluation criteria and the parameters of the PROMETHEE method. Analytic and Monte Carlo simulation techniques are used for this purpose.

Suggested Citation

  • Michael Doumpos & Constantin Zopounidis, 2015. "A Multicriteria Approach to Bank Rating," International Handbooks on Information Systems, in: Raymond Bisdorff & Luis C. Dias & Patrick Meyer & Vincent Mousseau & Marc Pirlot (ed.), Evaluation and Decision Models with Multiple Criteria, edition 127, chapter 0, pages 563-587, Springer.
    • Handle: RePEc:spr:ihichp:978-3-662-46816-6_19
    DOI: 10.1007/978-3-662-46816-6_19
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