تجزیه و تحلیل امتیازدهی اعتباری با استفاده از یک مدل فازی مجموعه ای خشن احتمالی

Credit scoring analysis is an important activity, especially nowadays after a huge number of defaults has been one of the main causes of the financial crisis. Among the many different tools used to model credit risk, the recent development of rough set models has proved effective. The original development of rough set theory has been widely generalized and combined with other approaches to uncertain reasoning, especially probability and fuzzy set theories. Since coherent conditional probability assessments cope well with the problem of unifying these different approaches, a merging of fuzzy rough set theory with this subjectivist approach is proposed. Specifically, expert partial probabilistic evaluations are encompassed inside a gradual decision rule structure, with coherence of the conclusion as a guideline. In line with Bayesian rough set models, credibility degrees of multiple premises are introduced through conditional probability assessments. Nonetheless, discernibility with this method remains too fine. Therefore, the basic partition is coarsened by equivalence classes based on the arity of positively, negatively and neutrally related criteria. A membership function, which grades the likelihood of default, is introduced by a peculiar choice of tt-norms and tt-conorms. To build and test the model, real data related to a sample of firms are used.