| Autor: |
Corazza, Marco, Fasano, Giovanni, Funari, Stefania, Gusso, Riccardo |
| Předmět: |
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| Zdroj: |
Decisions in Economics & Finance; Jun2021, Vol. 44 Issue 1, p295-339, 45p |
| Abstrakt: |
In this paper, we amend a multi-criteria methodology known as MURAME, to evaluate the creditworthiness of a large sample of Italian Small and Medium-sized Enterprises, using as input their balance sheet data. This methodology produces results in terms of scoring and of classification into homogeneous rating classes. A distinctive goal of this paper is to consider a preference disaggregation method to endogenously determine some parameters of MURAME, by solving a nonsmooth constrained optimization problem. Because of the complexity of the involved mathematical programming problem, for its solution we use an evolutionary metaheuristic, coupled with a specific efficient initialization. This is combined with an unconstrained reformulation of the problem, which provides a reasonable compromise between the quality of the solution and the computational burden. An extensive numerical experience is reported, comparing an exogenous choice of MURAME parameters with our approach. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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