A Multicriteria Outranking Modeling Approach for Credit Rating
探索了排序多准则决策方法在信用评级中的应用，使用进化算法拟合模型，并在希腊企业样本上验证了其分类效果和评价准则重要性。
Rating models are widely used by credit institutions to obtain estimates for the probabilities of default for their clients (firms, organizations, individuals) and to assess the risk of credit portfolios. Several statistical and data mining methods are used to develop such models. In this article, the potential of an outranking multicriteria decision-aiding approach is explored. An evolutionary algorithm is used to fit a credit rating model on the basis of the ELimination Et Choix Traduisant la REalité trichotomique method. The methodology is applied to a large sample of Greek firms. The results indicate that outranking models are well suited to credit rating, providing good classification results and useful insight on the relative importance of the evaluation criteria.