مدیریت ریسک اعتباری: یک رویکرد چند معیاره برای ارزیابی اعتبار

There are currently several methodologies that aim to predict the default probability of debtors. Many of them use logit analysis to discriminate among debtors. New methodologies make use of neural networks or multicriteria methods. This paper presents a new proposal based on goal programming, which allows the judgement of experts to be incorporated into the model, as suggested by the Basel Committee. Our approach combines the objective information of financial variables with the subjective judgement of experts about the different relevance of these variables, so observing the Basel Committee guidelines.