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A Multicriterion System for Credit Risk Rating

Author

Listed:
  • Khalil, J.
  • Martel, J.-M.
  • Jutras, P.

Abstract

Evaluating credit risk is an important task for financial institution managers. In order to measure the risk pertaining to the borrower, these institutions often use a rating system to establish the credit risk. In this study, a multicriterion approach was chosen to elaborate a rating system for the credit risk. The procedure used is ELECTRE-TRI which was specially developed for the sorting problems. The application of this procedure to a sample of borrower files at the Confidiration des Caisses Populaires Desjardins de Quibec showed that the predictive capacity of this model is very good. The procedure was used as the basis for the elaboration of a credit risk rating software currently being used by the Surveillance and Financial Security Office at the Confederation des Caisses Populaires Desjardins.

Suggested Citation

  • Khalil, J. & Martel, J.-M. & Jutras, P., 1999. "A Multicriterion System for Credit Risk Rating," Papers 1999-14, Laval - Faculte des sciences de administration.
  • Handle: RePEc:fth:lavadm:1999-14
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    More about this item

    Keywords

    CREDIT ; FINANCIAL MARKET;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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