A credit risk model with an automatic override for innovative small and medium-sized enterprises
本文构建了一个基于ELECTRE TRI框架的信用评估模型，通过模拟方法处理创新型中小企业的信用评级，允许在数据不足时自动覆盖信用等级，对银行创新贷款流程有实用价值。
The goal of this paper is to build an operational model for assessing creditworthiness of innovative small and medium-sized enterprises. To this purpose, a novel multicriteria methodology is implemented through a simulation approach within the context of the ELECTRE TRI-based framework. The model is applied to a database, retained from AIDA, involving a sample of Italian innovative small and medium-sized enterprises. The main finding is twofold. From a theoretical point of view, the credit rating model proposed allows to incorporate an override in the credit class, as required by Basel II in all the cases in which the availability of data is insufficient to describe the risk factors or a judgmental rating model is advised, as well as in innovative small and medium-sized enterprises. From an operational point of view, this methodology could be a useful tool for banks’ innovative lending processes, because of the lack of a credit model in this context.