메뉴 건너뛰기




Volumn 18, Issue 1, 2014, Pages 38-55

An AHP-based approach to credit risk evaluation of mortgage loans

Author keywords

AHP based approach; Credit scoring; MCDA; Mortgage loan risk analysis; Trade offs

Indexed keywords


EID: 84897058997     PISSN: 1648715X     EISSN: 16489179     Source Type: Journal    
DOI: 10.3846/1648715X.2013.863812     Document Type: Article
Times cited : (36)

References (48)
  • 1
    • 80053367609 scopus 로고    scopus 로고
    • Bank monitoring, profit efficiency and the commercial lending business model
    • Akhigbe, A.; McNulty, J. 2011. Bank monitoring, profit efficiency and the commercial lending business model, Journal of Economics and Business 63(6): 531-551. http://dx.doi.org/10.1016/j.jeconbus.2011.07.001
    • (2011) Journal of Economics and Business , vol.63 , Issue.6 , pp. 531-551
    • Akhigbe, A.1    McNulty, J.2
  • 3
    • 0031521259 scopus 로고    scopus 로고
    • Credit risk measurement: developments over the last 20 years
    • Altman, E.; Saunders, A. 1997. Credit risk measurement: developments over the last 20 years, Journal of Banking & Finance 21(11/12): 1721-1742. http://dx.doi.org/10.1016/S0378-4266(97)00036-8
    • (1997) Journal of Banking & Finance , vol.21 , Issue.11-12 , pp. 1721-1742
    • Altman, E.1    Saunders, A.2
  • 4
    • 67649117907 scopus 로고    scopus 로고
    • A critical review of multicriteria decision making methods with special reference to forest management and planning
    • Ananda, J.; Herath, G. 2009. A critical review of multicriteria decision making methods with special reference to forest management and planning, Ecological Economics 68(10): 2535-2548. http://dx.doi.org/10.1016/j.ecolecon.2009.05.010
    • (2009) Ecological Economics , vol.68 , Issue.10 , pp. 2535-2548
    • Ananda, J.1    Herath, G.2
  • 5
    • 1942472555 scopus 로고    scopus 로고
    • Consumer credit scoring: do situational circumstances matter?
    • Avery, R.; Calem, P.; Canner, G. 2004. Consumer credit scoring: do situational circumstances matter?, Journal of Banking & Finance 28(4): 835-856. http://dx.doi.org/10.1016/j.jbankfin.2003.10.009
    • (2004) Journal of Banking & Finance , vol.28 , Issue.4 , pp. 835-856
    • Avery, R.1    Calem, P.2    Canner, G.3
  • 6
    • 36849024019 scopus 로고    scopus 로고
    • A critical analysis of the eigenvalue method used to derive priorities in the AHP
    • Bana e Costa, C.; Vansnick, J. 2008. A critical analysis of the eigenvalue method used to derive priorities in the AHP, European Journal of Operational Research 187(3): 1422-1428. http://dx.doi.org/10.1016/j.ejor.2006.09.022
    • (2008) European Journal of Operational Research , vol.187 , Issue.3 , pp. 1422-1428
    • Bana e Costa, C.1    Vansnick, J.2
  • 8
    • 49049129048 scopus 로고
    • On a short-coming of Saaty's method of analytic hierarchies
    • Belton, V.; Gear, A. 1983. On a short-coming of Saaty's method of analytic hierarchies, Omega 11(3): 228-230. http://dx.doi.org/10.1016/0305-0483(83)90047-6
    • (1983) Omega , vol.11 , Issue.3 , pp. 228-230
    • Belton, V.1    Gear, A.2
  • 10
    • 84861785324 scopus 로고    scopus 로고
    • The credit crisis around the globe: why did some banks perform better?
    • Beltratti, A.; Stulz, R. 2012. The credit crisis around the globe: why did some banks perform better?, Journal of Financial Economics 105(1): 1-17. http://dx.doi.org/10.1016/j.jfineco.2011.12.005
    • (2012) Journal of Financial Economics , vol.105 , Issue.1 , pp. 1-17
    • Beltratti, A.1    Stulz, R.2
  • 11
    • 45749097813 scopus 로고    scopus 로고
    • Determinants of commercial mortgage-backed securities credit ratings: Australian evidence
    • Chikolwa, B.; Chan, F. 2008. Determinants of commercial mortgage-backed securities credit ratings: Australian evidence, International Journal of Strategic Property Management 12(2): 69-94. http://dx.doi.org/10.3846/1648-715X.2008.12.69-94
    • (2008) International Journal of Strategic Property Management , vol.12 , Issue.2 , pp. 69-94
    • Chikolwa, B.1    Chan, F.2
  • 12
    • 84897047370 scopus 로고    scopus 로고
    • Market risk measurement methods: a comparative study
    • Costa, P.; Baidya, T. 2003. Market risk measurement methods: a comparative study, Revista Produção 13(3): 18-33.
    • (2003) Revista Produção , vol.13 , Issue.3 , pp. 18-33
    • Costa, P.1    Baidya, T.2
  • 13
    • 34447100569 scopus 로고    scopus 로고
    • Recent developments in consumer credit risk assessment
    • Crook, J.; Edelman, D.; Thomas, L. 2007. Recent developments in consumer credit risk assessment, European Journal of Operational Research 183(3): 1447-1465. http://dx.doi.org/10.1016/j.ejor.2006.09.100
    • (2007) European Journal of Operational Research , vol.183 , Issue.3 , pp. 1447-1465
    • Crook, J.1    Edelman, D.2    Thomas, L.3
  • 14
    • 0007738930 scopus 로고    scopus 로고
    • Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment
    • Doumpos, M.; Zopounidis, C. 2001. Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment, Omega 29(1): 97-109. http://dx.doi.org/10.1016/S0305-0483(00)00028-1
    • (2001) Omega , vol.29 , Issue.1 , pp. 97-109
    • Doumpos, M.1    Zopounidis, C.2
  • 15
    • 0037117676 scopus 로고    scopus 로고
    • Credit risk assessment using a multicriteria hierarchical discrimination approach: a comparative analysis
    • Doumpos, M.; Kosmidou, K.; Baourakis, G.; Zopounidis, C. 2002. Credit risk assessment using a multicriteria hierarchical discrimination approach: a comparative analysis, European Journal of Operational Research 138(2): 392-412. http://dx.doi.org/10.1016/S0377-2217(01)00254-5
    • (2002) European Journal of Operational Research , vol.138 , Issue.2 , pp. 392-412
    • Doumpos, M.1    Kosmidou, K.2    Baourakis, G.3    Zopounidis, C.4
  • 16
    • 79955598117 scopus 로고    scopus 로고
    • Adding value to bank branch performance evaluation using cognitive maps and MCDA: a case study
    • Ferreira, F.; Santos, S.; Rodrigues, P. 2011a. Adding value to bank branch performance evaluation using cognitive maps and MCDA: a case study, Journal of the Operational Research Society 62(7): 1320-1333. http://dx.doi.org/10.1057/jors.2010.111
    • (2011) Journal of the Operational Research Society , vol.62 , Issue.7 , pp. 1320-1333
    • Ferreira, F.1    Santos, S.2    Rodrigues, P.3
  • 17
    • 84891867626 scopus 로고    scopus 로고
    • From traditional operational research to multiple criteria decision analysis: basic ideas on an evolving field
    • Ferreira, F.; Santos, S.; Rodrigues, P. 2011b. From traditional operational research to multiple criteria decision analysis: basic ideas on an evolving field, Problems and Perspectives in Management 9(3): 114-121.
    • (2011) Problems and Perspectives in Management , vol.9 , Issue.3 , pp. 114-121
    • Ferreira, F.1    Santos, S.2    Rodrigues, P.3
  • 18
    • 84867281599 scopus 로고    scopus 로고
    • New banking trends, MCDA and financial decisions: insights and a framework for retail banking
    • Ferreira, F.; Spahr, R.; Pereira, J. 2011c. New banking trends, MCDA and financial decisions: insights and a framework for retail banking, Banks and Bank Systems 6(2): 23-35.
    • (2011) Banks and Bank Systems , vol.6 , Issue.2 , pp. 23-35
    • Ferreira, F.1    Spahr, R.2    Pereira, J.3
  • 19
    • 10244229052 scopus 로고    scopus 로고
    • The role of nonfinancial factors in internal credit ratings
    • Grunert, J.; Norden, L.; Weber, M. 2005. The role of nonfinancial factors in internal credit ratings, Journal of Banking & Finance 29(2): 509-531. http://dx.doi.org/10.1016/j.jbankfin.2004.05.017
    • (2005) Journal of Banking & Finance , vol.29 , Issue.2 , pp. 509-531
    • Grunert, J.1    Norden, L.2    Weber, M.3
  • 20
    • 0037375024 scopus 로고    scopus 로고
    • Bank lending policy, credit scoring and value-at-risk
    • Jacobson, T.; Roszbach, K. 2003. Bank lending policy, credit scoring and value-at-risk, Journal of Banking& Finance 27(4): 615-633. http://dx.doi.org/10.1016/S0378-4266(01)00254-0
    • (2003) Journal of Banking& Finance , vol.27 , Issue.4 , pp. 615-633
    • Jacobson, T.1    Roszbach, K.2
  • 21
    • 33644770431 scopus 로고    scopus 로고
    • The role of banks in the provision of low-income housing finance in South Africa: can they play a different role?
    • Kajimo-Shakantu, K.; Evans, K. 2006. The role of banks in the provision of low-income housing finance in South Africa: can they play a different role?, International Journal of Strategic Property Management 10(1): 23-38. http://dx.doi.org/10.1080/1648715X.2006.9637542
    • (2006) International Journal of Strategic Property Management , vol.10 , Issue.1 , pp. 23-38
    • Kajimo-Shakantu, K.1    Evans, K.2
  • 22
    • 84855821023 scopus 로고    scopus 로고
    • A fuzzy approach to ebanking website quality assessment based on an integrated AHP-ELECTRE method
    • Kaya, T.; Kahraman, C. 2011. A fuzzy approach to ebanking website quality assessment based on an integrated AHP-ELECTRE method, Technological and Economic Development of Economy 17(2): 313-334. http://dx.doi.org/10.3846/20294913.2011.583727
    • (2011) Technological and Economic Development of Economy , vol.17 , Issue.2 , pp. 313-334
    • Kaya, T.1    Kahraman, C.2
  • 23
    • 83055176354 scopus 로고    scopus 로고
    • The financial crisis: what is there to learn?
    • Kowalski, T.; Shachmurove, Y. 2011. The financial crisis: what is there to learn?, Global Finance Journal 22(3): 238-247. http://dx.doi.org/10.1016/j.gfj.2011.10.014
    • (2011) Global Finance Journal , vol.22 , Issue.3 , pp. 238-247
    • Kowalski, T.1    Shachmurove, Y.2
  • 26
    • 0000619863 scopus 로고    scopus 로고
    • Evaluating credit risk models
    • Lopez, J.; Saidenberg, M. 2000Evaluating credit risk models, Journal of Banking & Finance 24(1-2): 151-165. http://dx.doi.org/10.1016/S0378-4266(99)00055-2
    • (2000) Journal of Banking & Finance , vol.24 , Issue.1-2 , pp. 151-165
    • Lopez, J.1    Saidenberg, M.2
  • 27
    • 9944242082 scopus 로고    scopus 로고
    • Credit risk analysis of mortgage loans: an application to the Italian market
    • Mari, C.; Renò, R. 2005. Credit risk analysis of mortgage loans: an application to the Italian market, European Journal of Operational Research 163(1): 83-93. http://dx.doi.org/10.1016/j.ejor.2003.12.007
    • (2005) European Journal of Operational Research , vol.163 , Issue.1 , pp. 83-93
    • Mari, C.1    Renò, R.2
  • 29
    • 84855874786 scopus 로고    scopus 로고
    • An AHP-based approach to mutual funds' social performance measurement
    • Perez-Gladish, B.; M'Zali, B. 2010. An AHP-based approach to mutual funds' social performance measurement, International Journal of Multicriteria Decision Making 1(1): 103-127. http://dx.doi.org/10.1504/IJMCDM.2010.033689
    • (2010) International Journal of Multicriteria Decision Making , vol.1 , Issue.1 , pp. 103-127
    • Perez-Gladish, B.1    M'Zali, B.2
  • 30
    • 79954595000 scopus 로고    scopus 로고
    • Global retail lending in the aftermath of the US financial crisis: distinguishing between supply and demand effects
    • Puri, M.; Rocholl, J.; Steffen, S. 2011. Global retail lending in the aftermath of the US financial crisis: distinguishing between supply and demand effects, Journal of Financial Economics 100(3): 556-578. http://dx.doi.org/10.1016/j.jfineco.2010.12.001
    • (2011) Journal of Financial Economics , vol.100 , Issue.3 , pp. 556-578
    • Puri, M.1    Rocholl, J.2    Steffen, S.3
  • 32
    • 70349572550 scopus 로고    scopus 로고
    • Relative measurement and its generalization in decision making: why pairwise comparisons are central in mathematics for the measurement of intangible factors - the analytic hierarchy/network process
    • Saaty, T. 2008. Relative measurement and its generalization in decision making: why pairwise comparisons are central in mathematics for the measurement of intangible factors - the analytic hierarchy/network process, Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 102(2): 251-318. http://dx.doi.org/10.1007/BF03191825
    • (2008) Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas , vol.102 , Issue.2 , pp. 251-318
    • Saaty, T.1
  • 33
    • 55849101989 scopus 로고    scopus 로고
    • Utilização conjunta de modelagem econométrica e otimização em decisões de concessão de crédito
    • Scarpel, R.; Milioni, A. 2002. Utilização conjunta de modelagem econométrica e otimização em decisões de concessão de crédito, Pesquisa Operacional 22(1): 61-72. http://dx.doi.org/10.1590/S0101-74382002000100004
    • (2002) Pesquisa Operacional , vol.22 , Issue.1 , pp. 61-72
    • Scarpel, R.1    Milioni, A.2
  • 34
    • 58549120948 scopus 로고    scopus 로고
    • Consumer credit scoring models with limited data
    • Šušteršič, M.; Mramor, D.; Zupan, J. 2009. Consumer credit scoring models with limited data, Expert Systems with Applications 36(3): 4736-4744. http://dx.doi.org/10.1016/j.eswa.2008.06.016
    • (2009) Expert Systems with Applications , vol.36 , Issue.3 , pp. 4736-4744
    • Šušteršič, M.1    Mramor, D.2    Zupan, J.3
  • 35
    • 63449090851 scopus 로고    scopus 로고
    • Modelling the credit risk for portfolios of consumer loans: analogies with corporate loan models
    • Thomas, L. 2009. Modelling the credit risk for portfolios of consumer loans: analogies with corporate loan models, Mathematics and Computers in Simulation 79(8): 2525-2534. http://dx.doi.org/10.1016/j.mat-com.2008.12.006
    • (2009) Mathematics and Computers in Simulation , vol.79 , Issue.8 , pp. 2525-2534
    • Thomas, L.1
  • 36
    • 71749107984 scopus 로고    scopus 로고
    • Consumer finance: challenges for operational research
    • http://dx.doi.org/10.1057/jors.2009.104
    • Thomas, L. 2010. Consumer finance: challenges for operational research, Journal of the Operational Research Society 61(1): 41-52. http://dx.doi.org/10.1057/jors.2009.104
    • (2010) Journal of the Operational Research Society , vol.61 , Issue.1 , pp. 41-52
    • Thomas, L.1
  • 37
    • 71349085322 scopus 로고    scopus 로고
    • Multiple classifier application to credit risk assessment
    • Twala, B. 2010. Multiple classifier application to credit risk assessment, Expert Systems with Applications 37(4): 3326-3336. http://dx.doi.org/10.1016/j.eswa.2009.10.018
    • (2010) Expert Systems with Applications , vol.37 , Issue.4 , pp. 3326-3336
    • Twala, B.1
  • 38
    • 84992476270 scopus 로고    scopus 로고
    • Método multicritérios de análise de decisão (MMAD) para as decisões relacionadas ao uso múltiplo de reservatórios: Analytic hierarchy process (AHP)
    • In: Pessoa J., editors
    • Vilas Boas, C. 2005. Método multicritérios de análise de decisão (MMAD) para as decisões relacionadas ao uso múltiplo de reservatórios: analytic hierarchy process (AHP), in Pessoa, J. (Ed.). Simpósio brasileiro de recursos hídricos, 6.
    • (2005) Simpósio brasileiro de recursos hídricos , pp. 6
    • Vilas Boas, C.1
  • 39
    • 77956619458 scopus 로고    scopus 로고
    • A comparative assessment of ensemble learning for credit scoring
    • Wang, G.; Hao, J.; Ma, J.; Jiang, H. 2011. A comparative assessment of ensemble learning for credit scoring, Expert Systems with Applications 8(1): 223-230. http://dx.doi.org/10.1016/j.eswa.2010.06.048
    • (2011) Expert Systems with Applications , vol.8 , Issue.1 , pp. 223-230
    • Wang, G.1    Hao, J.2    Ma, J.3    Jiang, H.4
  • 40
    • 0027593910 scopus 로고
    • Behavioral influences on weight judgments in multiattribute decision making
    • Weber, M.; Borcherding, K. 1993. Behavioral influences on weight judgments in multiattribute decision making, European Journal of Operational Research 67(1): 1-12. http://dx.doi.org/10.1016/0377-2217(93)90318-H
    • (1993) European Journal of Operational Research , vol.67 , Issue.1 , pp. 1-12
    • Weber, M.1    Borcherding, K.2
  • 41
    • 33748959169 scopus 로고    scopus 로고
    • The impact of DSS use and information load on errors and decision quality
    • Williams, M.; Dennis, A.; Stam, A.; Aronson, J. 2007. The impact of DSS use and information load on errors and decision quality, European Journal of Operational Research 176(1): 468-481 http://dx.doi.org/10.1016/j.ejor.2005.06.064
    • (2007) European Journal of Operational Research , vol.176 , Issue.1 , pp. 468-481
    • Williams, M.1    Dennis, A.2    Stam, A.3    Aronson, J.4
  • 42
    • 84855183910 scopus 로고    scopus 로고
    • Constructing a strategy map for banking institutions with key performance indicators of the balanced scorecard
    • Wu, H. 2012. Constructing a strategy map for banking institutions with key performance indicators of the balanced scorecard, Evaluation and Program Planning 35(3): 303-320. http://dx.doi.org/10.1016/j.eval-progplan.2011.11.009
    • (2012) Evaluation and Program Planning , vol.35 , Issue.3 , pp. 303-320
    • Wu, H.1
  • 43
    • 84055213139 scopus 로고    scopus 로고
    • Review of the international financial trends in post financial crisis era
    • Xiao-yan, Z.; Yan-lei, Q.; Peilong, S. 2011. Review of the international financial trends in post financial crisis era, Procedia Engineering 15: 4795-4799. http://dx.doi.org/10.1016/j.proeng.2011.08.896
    • (2011) Procedia Engineering , vol.15 , pp. 4795-4799
    • Xiao-yan, Z.1    Yan-lei, Q.2    Peilong, S.3
  • 44
    • 59849109050 scopus 로고    scopus 로고
    • A online credit evaluation method based on AHP and SPA
    • Xu, Y.; Zhang, Y. 2009. A online credit evaluation method based on AHP and SPA, Communications in Nonlinear Science and Numerical Simulation 14(7): 3031-3036. http://dx.doi.org/10.1016/j.cnsns.2008.10.018
    • (2009) Communications in Nonlinear Science and Numerical Simulation , vol.14 , Issue.7 , pp. 3031-3036
    • Xu, Y.1    Zhang, Y.2
  • 45
    • 79959916895 scopus 로고    scopus 로고
    • Causes, consequences and cures of the subprime financial crisis
    • Yeager, T. 2011. Causes, consequences and cures of the subprime financial crisis, Journal of Economics and Business 63(5): 345-348. http://dx.doi.org/10.1016/j.jeconbus.2011.05.004
    • (2011) Journal of Economics and Business , vol.63 , Issue.5 , pp. 345-348
    • Yeager, T.1
  • 46
    • 56349095375 scopus 로고    scopus 로고
    • An intelligent-agent-based fuzzy group decision making model for financial multicriteria decision support: the case of credit scoring
    • Yu, L.; Wang, S.; Lai, K. 2009. An intelligent-agent-based fuzzy group decision making model for financial multicriteria decision support: the case of credit scoring, European Journal of Operational Research 195(3): 942-959. http://dx.doi.org/10.1016/j.ejor.2007.11.025
    • (2009) European Journal of Operational Research , vol.195 , Issue.3 , pp. 942-959
    • Yu, L.1    Wang, S.2    Lai, K.3
  • 47
    • 1642303324 scopus 로고    scopus 로고
    • AHP approach in the credit evaluation of the manufacturing firms in Turkey
    • Yurdakul, M.; İç, Y. 2004. AHP approach in the credit evaluation of the manufacturing firms in Turkey, International Journal of Production Economics 88(3): 269-289. http://dx.doi.org/10.1016/S0925-5273(03)00189-0
    • (2004) International Journal of Production Economics , vol.88 , Issue.3 , pp. 269-289
    • Yurdakul, M.1    Iç, Y.2
  • 48
    • 83055186856 scopus 로고    scopus 로고
    • Multiple criteria decision making (MCDM) methods in economics: an overview
    • Zavadskas, E. K.; Turskis, Z. 2011. Multiple criteria decision making (MCDM) methods in economics: an overview, Technological and Economic Development of Economy 17(2): 397-427. http://dx.doi.org/10.3846/20294913.2011.593291
    • (2011) Technological and Economic Development of Economy , vol.17 , Issue.2 , pp. 397-427
    • Zavadskas, E.K.1    Turskis, Z.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.