A Multicriterion System for Credit Risk Rating
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.
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|Date of creation:||1999|
|Date of revision:|
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