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首页> 外文会议>The 2nd International Conference on Software Engineering and Data Mining >DMCDM: A dynamic multi criteria decision making model for sovereign credit default risk evaluation
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DMCDM: A dynamic multi criteria decision making model for sovereign credit default risk evaluation

机译：DMCDM：用于主权信用违约风险评估的动态多准则决策模型

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摘要

The losses on sovereign debt of Iceland and Greece led to concern about current sovereign credit rating systems by Moody''s and Standard and Poor''s, which can only afterwards adjust the credit score of the corresponding country. In this research, we proposed a Dynamic Multiple Criteria Decision Making Model, which evaluates and ranks the country risk based on historical data and predicts the credit crisis in advance. In proposed model, the entropy theory was introduced to assess the weight of the data of different years in the time series data. The weight of different factors was determined by AHP. Then, the country risk scores are computed and ranked by UTADIS (ÜTilités Additives Discriminantes) method. The proposed model was applied to the 1990–2006 world economy development indicator data of 32 countries extracted from World Bank database. 5 high risk countries (New Zealand, Spain, Iceland, USA and Greece) were identified by the DMCDM model and the proposed model successfully predicted the credit risk associated with 2007 subprime mortgage financial crisis in USA, 2009 Iceland Bankrupt and 2010 Greece''s economic crisis based on the data between 1990 and 2006.
机译：冰岛和希腊主权债务的损失引起了穆迪和标准普尔对现行主权信用评级体系的担忧，这些评级体系随后只能调整相应国家的信用评分。在这项研究中，我们提出了一个动态的多准则决策模型，该模型可以根据历史数据对国家风险进行评估和排名，并预先预测信用危机。在提出的模型中，引入了熵理论来评估时间序列数据中不同年份数据的权重。通过AHP确定不同因素的权重。然后，通过UTADIS（ÜTilitésAdditives Discriminantes）方法计算国家风险分数并对其进行排名。提议的模型应用于从世界银行数据库中提取的32个国家的1990-2006年世界经济发展指标数据。 DMCDM模型确定了5个高风险国家（新西兰，西班牙，冰岛，美国和希腊），该模型成功地预测了与2007年美国次贷危机，2009年冰岛破产和2010年希腊债务危机相关的信用风险。根据1990年至2006年之间的数据进行的经济危机。

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