Please use this identifier to cite or link to this item: https://hdl.handle.net/11000/30753
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dc.contributor.authorPla‑Santamaria, David-
dc.contributor.authorBravo, Mila-
dc.contributor.authorReig-Mullor, Javier-
dc.contributor.authorSalas-Molina, Francisco-
dc.contributor.otherDepartamentos de la UMH::Estudios Económicos y Financieroses_ES
dc.date.accessioned2024-01-26T11:27:30Z-
dc.date.available2024-01-26T11:27:30Z-
dc.date.created2020-05-20-
dc.identifier.citationTOP (2021) 29:494–523es_ES
dc.identifier.issn1863-8279-
dc.identifier.issn1134-5764-
dc.identifier.urihttps://hdl.handle.net/11000/30753-
dc.description.abstractAssessing the ability of applicants to repay their loans is generally recognized as a critical task in credit risk management. Credit managers rely on financial and market information, usually in the form of ratios, to estimate the quality of credit applicants. However, there is no guarantee that a given set of ratios contains the information needed for credit classification. Decision rules under strict uncertainty aim to mitigate this drawback. In this paper, we propose the use of a moderate pessimism decision rule combined with dimensionality reduction techniques and compromise programming. Moderate pessimism ensures that neither extreme optimistic nor pessimistic decisions are taken. Dimensionality reduction from a set of ratios facilitates the extraction of the relevant information. Compromise programming allows to find a balance between quality of debt and risk concentration. Our model produces two critical outputs: a quality assessment and the optimum allocation of funds. To illustrate our multicriteria approach, we include a case study on 29 firms listed in the Spanish stock market. Our results show that dimensionality reduction contributes to avoid redundancy and that quality-diversification optimization is able to produce budget allocations with a reduced number of firms.es_ES
dc.formatapplication/pdfes_ES
dc.format.extent30es_ES
dc.language.isoenges_ES
dc.publisherSpringeres_ES
dc.rightsinfo:eu-repo/semantics/closedAccesses_ES
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectModerate pessimism decision-makinges_ES
dc.subjectFinance and bankinges_ES
dc.subjectFinancial modelinges_ES
dc.subjectCompromise programminges_ES
dc.subject.classificationEconomía financiera y contabilidades_ES
dc.subject.otherCDU::3 - Ciencias sociales::33 - Economíaes_ES
dc.titleA multicriteria approach to manage credit risk under strict uncertaintyes_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherversionhttps://doi.org/10.1007/s11750-020-00571-0es_ES
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Artículos Estudios Económicos y Financieros


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