175-187

• Soares, João O.
• Pina, Joaquim P.

This paper revisits the problem of building a multicriteria additive value model for credit risk assessment, with a particular focus on quantitative criteria. The analysis deals with the information content of financial ratios collected from the European BACH-ESD database, covering aggregate firm data for seven countries – Austria, Belgium, France, Germany, Italy, Portugal and Spain – fifteen sectors and three size classes. A cross-sectional study is conducted employing non-parametric testing in order to look for similarities in the data, according to the multiple dimensions of the sample. Profitability, liquidity and leverage ratios exhibit different patterns of variation across countries, sectors and sizes, but the profitability indicators seem to have the greatest discriminating power, implying more specific benchmarks for credit risk assessment. It is also found that size and sector breakdowns are mostly relevant, while the country factor is somewhat less, for performance benchmarking. Moreover, the fact that the financial indicators show negligible differences across firms in many cases conveys a compelling argument for the accrued value, and central role, of qualitative information –market and management – in the decision making process, notably using a MCDA model.

• Economics and Business
• Computer and information sciences

• Finance
• Risk
• Statistics

multicriteria assignment, risk assessment, credit scoring, banking, financial ratios, cross-section evidence

Περιέχει σχήματα, παράρτημα πινάκων και βιβλιογραφία

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