Document Type : Research Paper
Author
Abstract
Now days, many internal banks of country experiment a kind of credit
risk, where can enumerate increasing non-performing loans of the
banks and not repayment problem of the central bank debts as its
results. Therefore, to establish a system of credit risk management is
necessary and essential. The Five Cs of credit valid system is one of
the rating systems of customers where can be considered for credit
risk management. In the other hand, existence of a suitable tool to
establish this system is necessary. The VIKOR method is one the
efficient tools to rate feasible alternatives where can be used for rating
credit of customers. In this paper, a method of advanced VIKOR will
be proposed which can present the optimal values of attributes
preference weights in decision making process. To illustrate the
method proposed, a numerical example will be presented about credit
rating problem of banks customers and the best feasible alternative to
give facilities will be determined
Keywords
رجب زاده قطری، علی، بهرام میرزایی، آرش و احمدی، پرویز ) 1388 (. طراحی سیستم
هوشمند ترکیبی رتبه بندی اعتباری مشتریان بانک ها با استفاده از مد ل های استدلالی فازی
ترکیبی. پژوهشنامه بازرگانی. شماره 53 . ششمین مقاله.
2. فلاح شمس، میر فیض و رشنو، مهدی ) 1387 (. مدیریت ریسک اعتباری در بانک ها و
موسسات مالی و اعتباری )مفاهیم و مدل ها(. تهران، انتشارات دانشکده علوم اقتصادی.
3. Chang CL.(2009). A modified VIKOR method for multiple criteria
analysis. Environmental Monitoring and Assessment. DOI:
10.1007/s10661-009-1117-0.
4. Collin-Dufresne P and Goldstein R.(2001). Do credit spreads
reflect stationary leverage ratios? Journal of Finance. 56, 1929–
1957.
5. Deng H, Yeh CH and Willis RJ.(2000). Inter-company
comparison using modified TOPSIS with objective weights.
Computers & Operations Research. 27, 963–973.
6. Huang JJ, Tzeng GH and Liu HH.(2009). A revised VIKOR model
for multiple criteria decision making - The Perspective of Regret
Theory, Y. Shi et al. (Eds.): MCDM 2009, CCIS 35, pp. 761–768,
Springer-Verlag Berlin Heidelberg.
7. Kackar RN.(1985). Off-line quality control, parameter design and
the Taguchi method. Journal of Quality Technology. 17, 176–188.
8. Kim SH and Ahn BS.(1999). Interactive group decision making
procedure under incomplete information. European Journal of
Operational Research. 116, 498–507.
9. Lai YJ, Liu TY and Hwang CL.(1994). TOPSIS for MODM.
European Journal of Operational Research. 76, 486–500.
10. Leland H and Toft K.(1996). Optimal capital structure,
endogenous bankruptcy, and the term structure of credit spreads.
Journal of Finance. 51, 987–1019.
11. Li DF and Yang JB.(2004). Fuzzy linear programming technique
for multiattribute group decision making in fuzzy environments.
Information Sciences 158, 263–275.
12. Li DF.(2005a). Multiattribute decision making models and
methods using intuitionistic fuzzy sets. Journal of Computer and
System Science. 70, 73–85.
13. Li DF.(2005b). An approach to fuzzy multiattribute decision
making under uncertainty. Information Sciences. 169, 97–112.
14. Li DF.(2007). A fuzzy closeness approach to fuzzy multi-attribute
decision making. Fuzzy Optimization and Decision Making. 6, 3,
237–254.
211 مطالعات مدیریت صنعتی، سال نهم، شماره 12 ، تابستان 12
15. Liao HH, Chen TK and Lu CW.(2009). Bank credit risk and
structural credit models: Agency and information asymmetry
perspectives. Journal of Banking and Finance. 33, 1520–1530.
16. Longstaff F and Schwartz E.(1995). A simple approach to valuing
risky fixed and floating rate debt. Journal of Finance. 50, 789–819.
17. Marcucci J and Quagliariello M.(2009). Asymmetric effects of the
business cycle on bank credit risk. Journal of Banking and
Finance. 33, 1624–1635.
18. Merton RC.(1974). On the pricing of corporate debt: The risk
structure of interest rates. Journal of Finance. 29, 449–470.
19. Odders-White ER and Ready MJ.(2006). Credit ratings and stock
liquidity. Review of Financial Studies. 19, 119–157.
20. [20] Opricovic S.(1998). Multi-criteria Optimization of Civil
Engineering Systems. Faculty of Civil Engineering, Belgrade.
21. Opricovic S and Tzeng GH.(2004). Compromise solution by
MCDM methods: A comparative analysis of VIKOR and TOPSIS.
European Journal of Operational Research. 156, 445–455.
22. Opricovic S and Tzeng GH.(2007). Extended VIKOR method in
comparison with outranking methods. European Journal of
Operational Research. 178, 514–529.
23. Park KS and Kim SH.(1997). Tools for interactive multi-attribute
decision making with incompletely identified information.
European Journal of Operational Research. 98, 111–123.
24. Sayadi MK, Heydari M and Shahanaghi K.(2009). Extension of
VIKOR method for decision making problem with interval
numbers. Applied Mathematical Modeling. 33, 2257–2262.
25. Tzeng GH and Opricovic S.(2002). A comparative analysis of the
DEA-CCR model and the VIKOR method. Yugoslav Journal of
Operations Research. 18, 187–203.
26. Tzeng GH, Tsaur SH, Laiw YD and Opricovic S.(2002a).
Multicriteria analysis of environmental quality in Taipei: Public
preferences and improvement strategies. Journal of Environmental
Management. 65, 2, 109–120.
27. Tzeng GH, Teng MH, Chen JJ and Opricovic S.(2002b).
Multicriteria selection for a restaurant location in Taipei.
International Journal of Hospitality Management. 21, 2, 171–187.
28. Vahdani B, Hadipour H, Salehi Sadaghiani J and Amiri M.(2009).
Extension of VIKOR method based on interval-valued fuzzy sets.
The International Journal of Advanced Manufacturing
Technology.
29. Xu ZS and Chen J.(2006). An interactive method for fuzzy
multiple attribute group decision making. Information Sciences (in
press).
معرفی یک روش ویکور توسعه یافته برای... 211
30. Xu Z.(2007). An interactive procedure for linguistic multiple
attribute decision making with incomplete weight information.
Fuzzy Optimization and Decision Making. 6, 1, 17–27.
31. Yang YPO, Shieh HM and Tzeng GH.(2009). A VIKOR
Technique with Applications Based on DEMATEL and ANP, Y.
Shi et al. (Eds.): MCDM 2009, CCIS 35, pp. 780–788, 2009.
Springer-Verlag Berlin Heidelberg 2009.
32. Zimmermann HJ and Zysno P.(1980). Latent connectives in
human decision making. Fuzzy Sets and Systems. 4, 37–51
هوشمند ترکیبی رتبه بندی اعتباری مشتریان بانک ها با استفاده از مد ل های استدلالی فازی
ترکیبی. پژوهشنامه بازرگانی. شماره 53 . ششمین مقاله.
2. فلاح شمس، میر فیض و رشنو، مهدی ) 1387 (. مدیریت ریسک اعتباری در بانک ها و
موسسات مالی و اعتباری )مفاهیم و مدل ها(. تهران، انتشارات دانشکده علوم اقتصادی.
3. Chang CL.(2009). A modified VIKOR method for multiple criteria
analysis. Environmental Monitoring and Assessment. DOI:
10.1007/s10661-009-1117-0.
4. Collin-Dufresne P and Goldstein R.(2001). Do credit spreads
reflect stationary leverage ratios? Journal of Finance. 56, 1929–
1957.
5. Deng H, Yeh CH and Willis RJ.(2000). Inter-company
comparison using modified TOPSIS with objective weights.
Computers & Operations Research. 27, 963–973.
6. Huang JJ, Tzeng GH and Liu HH.(2009). A revised VIKOR model
for multiple criteria decision making - The Perspective of Regret
Theory, Y. Shi et al. (Eds.): MCDM 2009, CCIS 35, pp. 761–768,
Springer-Verlag Berlin Heidelberg.
7. Kackar RN.(1985). Off-line quality control, parameter design and
the Taguchi method. Journal of Quality Technology. 17, 176–188.
8. Kim SH and Ahn BS.(1999). Interactive group decision making
procedure under incomplete information. European Journal of
Operational Research. 116, 498–507.
9. Lai YJ, Liu TY and Hwang CL.(1994). TOPSIS for MODM.
European Journal of Operational Research. 76, 486–500.
10. Leland H and Toft K.(1996). Optimal capital structure,
endogenous bankruptcy, and the term structure of credit spreads.
Journal of Finance. 51, 987–1019.
11. Li DF and Yang JB.(2004). Fuzzy linear programming technique
for multiattribute group decision making in fuzzy environments.
Information Sciences 158, 263–275.
12. Li DF.(2005a). Multiattribute decision making models and
methods using intuitionistic fuzzy sets. Journal of Computer and
System Science. 70, 73–85.
13. Li DF.(2005b). An approach to fuzzy multiattribute decision
making under uncertainty. Information Sciences. 169, 97–112.
14. Li DF.(2007). A fuzzy closeness approach to fuzzy multi-attribute
decision making. Fuzzy Optimization and Decision Making. 6, 3,
237–254.
211 مطالعات مدیریت صنعتی، سال نهم، شماره 12 ، تابستان 12
15. Liao HH, Chen TK and Lu CW.(2009). Bank credit risk and
structural credit models: Agency and information asymmetry
perspectives. Journal of Banking and Finance. 33, 1520–1530.
16. Longstaff F and Schwartz E.(1995). A simple approach to valuing
risky fixed and floating rate debt. Journal of Finance. 50, 789–819.
17. Marcucci J and Quagliariello M.(2009). Asymmetric effects of the
business cycle on bank credit risk. Journal of Banking and
Finance. 33, 1624–1635.
18. Merton RC.(1974). On the pricing of corporate debt: The risk
structure of interest rates. Journal of Finance. 29, 449–470.
19. Odders-White ER and Ready MJ.(2006). Credit ratings and stock
liquidity. Review of Financial Studies. 19, 119–157.
20. [20] Opricovic S.(1998). Multi-criteria Optimization of Civil
Engineering Systems. Faculty of Civil Engineering, Belgrade.
21. Opricovic S and Tzeng GH.(2004). Compromise solution by
MCDM methods: A comparative analysis of VIKOR and TOPSIS.
European Journal of Operational Research. 156, 445–455.
22. Opricovic S and Tzeng GH.(2007). Extended VIKOR method in
comparison with outranking methods. European Journal of
Operational Research. 178, 514–529.
23. Park KS and Kim SH.(1997). Tools for interactive multi-attribute
decision making with incompletely identified information.
European Journal of Operational Research. 98, 111–123.
24. Sayadi MK, Heydari M and Shahanaghi K.(2009). Extension of
VIKOR method for decision making problem with interval
numbers. Applied Mathematical Modeling. 33, 2257–2262.
25. Tzeng GH and Opricovic S.(2002). A comparative analysis of the
DEA-CCR model and the VIKOR method. Yugoslav Journal of
Operations Research. 18, 187–203.
26. Tzeng GH, Tsaur SH, Laiw YD and Opricovic S.(2002a).
Multicriteria analysis of environmental quality in Taipei: Public
preferences and improvement strategies. Journal of Environmental
Management. 65, 2, 109–120.
27. Tzeng GH, Teng MH, Chen JJ and Opricovic S.(2002b).
Multicriteria selection for a restaurant location in Taipei.
International Journal of Hospitality Management. 21, 2, 171–187.
28. Vahdani B, Hadipour H, Salehi Sadaghiani J and Amiri M.(2009).
Extension of VIKOR method based on interval-valued fuzzy sets.
The International Journal of Advanced Manufacturing
Technology.
29. Xu ZS and Chen J.(2006). An interactive method for fuzzy
multiple attribute group decision making. Information Sciences (in
press).
معرفی یک روش ویکور توسعه یافته برای... 211
30. Xu Z.(2007). An interactive procedure for linguistic multiple
attribute decision making with incomplete weight information.
Fuzzy Optimization and Decision Making. 6, 1, 17–27.
31. Yang YPO, Shieh HM and Tzeng GH.(2009). A VIKOR
Technique with Applications Based on DEMATEL and ANP, Y.
Shi et al. (Eds.): MCDM 2009, CCIS 35, pp. 780–788, 2009.
Springer-Verlag Berlin Heidelberg 2009.
32. Zimmermann HJ and Zysno P.(1980). Latent connectives in
human decision making. Fuzzy Sets and Systems. 4, 37–51
)