This paper introduces a model for rating a firm’s default risk based on fuzzy logic and expert system and an associated model of sensitivity analysis (SA) for managerial purposes. The rating model automatically replicates the evaluation process of default risk performed by human experts. It makes use of a modular approach based on rules blocks and conditional implications. The SA model investigates the change in the firm’s default risk under changes in the model inputs and employs recent results in the engineering literature of Sensitivity Analysis. In particular, it (i) allows the decomposition of the historical variation of default risk, (ii) identifies the most relevant parameters for the risk variation, and (iii) suggests managerial actions to be undertaken for improving the firm’s rating.
Rating firms and sensitivity analysis / Magni, C. A.; Malagoli, S.; Marchioni, A.; Mastroleo, G.. - In: JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY. - ISSN 0160-5682. - 71:12(2020), pp. 1940-1958. [10.1080/01605682.2019.1650626]
Data di pubblicazione: | 2020 | |
Titolo: | Rating firms and sensitivity analysis | |
Autore/i: | Magni, C. A.; Malagoli, S.; Marchioni, A.; Mastroleo, G. | |
Autore/i UNIMORE: | ||
Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/01605682.2019.1650626 | |
Rivista: | ||
Volume: | 71 | |
Fascicolo: | 12 | |
Pagina iniziale: | 1940 | |
Pagina finale: | 1958 | |
Codice identificativo ISI: | WOS:000482535000001 | |
Codice identificativo Scopus: | 2-s2.0-85070976656 | |
Citazione: | Rating firms and sensitivity analysis / Magni, C. A.; Malagoli, S.; Marchioni, A.; Mastroleo, G.. - In: JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY. - ISSN 0160-5682. - 71:12(2020), pp. 1940-1958. [10.1080/01605682.2019.1650626] | |
Tipologia | Articolo su rivista |
File in questo prodotto:
Pubblicazioni consigliate

I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris