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A Multicriterion System fro Credit Risk Rating


  • Khalil, J.
  • Martel, J.M.
  • Jutras, P.


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 Confédération des Caisses Populaires Desjardins de Québec 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 Confédération des Caisses Populaires Desjardins.

Suggested Citation

  • Khalil, J. & Martel, J.M. & Jutras, P., 1999. "A Multicriterion System fro Credit Risk Rating," Papers 99-014, Laval - Faculte des sciences de administration.
  • Handle: RePEc:fth:lavadm:99-014

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    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages


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