An intelligent-agent-based fuzzy group decision making model for financial multicriteria decision support: The case of credit scoring
Credit risk analysis is an active research area in financial risk management and credit scoring is one of the key analytical techniques in credit risk evaluation. In this study, a novel intelligent-agent-based fuzzy group decision making (GDM) model is proposed as an effective multicriteria decision analysis (MCDA) tool for credit risk evaluation. In this proposed model, some artificial intelligent techniques, which are used as intelligent agents, are first used to analyze and evaluate the risk levels of credit applicants over a set of pre-defined criteria. Then these evaluation results, generated by different intelligent agents, are fuzzified into some fuzzy opinions on credit risk level of applicants. Finally, these fuzzification opinions are aggregated into a group consensus and meantime the fuzzy aggregated consensus is defuzzified into a crisp aggregated value to support final decision for decision-makers of credit-granting institutions. For illustration and verification purposes, a simple numerical example and three real-world credit application approval datasets are presented.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Malhotra, Rashmi & Malhotra, D. K., 2002. "Differentiating between good credits and bad credits using neuro-fuzzy systems," European Journal of Operational Research, Elsevier, vol. 136(1), pages 190-211, January.
- Piramuthu, Selwyn, 1999. "Financial credit-risk evaluation with neural and neurofuzzy systems," European Journal of Operational Research, Elsevier, vol. 112(2), pages 310-321, January.
- Wiginton, John C., 1980. "A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 757-770, September.
- Varetto, Franco, 1998. "Genetic algorithms applications in the analysis of insolvency risk," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1421-1439, October.
- Martens, David & Baesens, Bart & Van Gestel, Tony & Vanthienen, Jan, 2007. "Comprehensible credit scoring models using rule extraction from support vector machines," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1466-1476, December.
- Malhotra, Rashmi & Malhotra, D. K., 2003. "Evaluating consumer loans using neural networks," Omega, Elsevier, vol. 31(2), pages 83-96, April.
- Gerardine DeSanctis & R. Brent Gallupe, 1987. "A Foundation for the Study of Group Decision Support Systems," Management Science, INFORMS, vol. 33(5), pages 589-609, May.
When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:195:y:2009:i:3:p:942-959. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If references are entirely missing, you can add them using this form.