Back to Search
Start Over
Credit rating prediction using a fuzzy MCDM approach with criteria interactions and TOPSIS sorting.
- Source :
-
Annals of Operations Research . Aug2024, p1-29. - Publication Year :
- 2024
-
Abstract
- Multi-criteria decision making (MCDM) provides effective methods for dealing with the challenge of sorting credit ratings. This paper presents a novel data-driven MCDM sorting approach to predicting credit ratings. Our methodology combines the fuzzy TOPSIS-Sort-C model with the fuzzy best-worst approach, supported by a fuzzy cognitive map, to effectively deal with criteria interactions. This approach provides a corporate credit risk assessment, taking into account the uncertainties in credit risk assessment and relevance of its criteria by using fuzzy <italic>c</italic>-means and correlation-based feature selection. Our empirical analysis of 1138 US companies demonstrates the reliability of our model in dealing with a range of financial and non-financial indicators. The results demonstrate the potential of our methodology in credit rating assessment, with a good predictive performance relative to existing models. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02545330
- Database :
- Academic Search Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 178803539
- Full Text :
- https://doi.org/10.1007/s10479-024-06183-2