The financing of innovative SMEs: a multicriteria credit rating model
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Publication:319403
DOI10.1016/J.EJOR.2015.01.033zbMATH Open1346.91247arXiv1308.0889OpenAlexW2085422494MaRDI QIDQ319403FDOQ319403
Silvia Angilella, Sebastiano Mazzù
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Abstract: Small Medium-sized Enterprises (SMEs) face many obstacles when they try to access credit market. These obstacles are increased if the SMEs are innovative. In this case, financial data are insufficient or even not reliable. Thus, when building a judgemental rating model, mainly based on qualitative criteria (soft information), it is very important to finance SMEs' activities. Until now, there isn't a multicriteria credit risk model based on soft information for innovative SMEs. In this paper, we try to fill this gap by presenting a multicriteria credit risk model, specifically, ELECTRE-TRI. To obtain robust SMEs' assignments to the risk classes, a SMAA-TRI analysis is also implemented. In fact, SMAA-TRI incorporates ELECTRE-TRI by considering different sets of preference parameters with Monte Carlo simulations. Finally, we carry out some real case studies, with the aim of illustrating the multicriteria credit risk model proposed.
Full work available at URL: https://arxiv.org/abs/1308.0889
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multiple criteria decision aidinginnovative SMEsjudgmental credit rating modelqualitative criteriaSMAA-TRI
Management decision making, including multiple objectives (90B50) Multi-objective and goal programming (90C29) Credit risk (91G40) Financial applications of other theories (91G80)
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- MURAME parameter setting for creditworthiness evaluation: data-driven optimization
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