PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs

27 Pages Posted: 20 Mar 2017

See all articles by Marco Corazza

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

Giovanni Fasano

Ca Foscari University of Venice - Department of Management

Stefania Funari

Ca Foscari University of Venice - Department of Management

Riccardo Gusso

Independent

Date Written: March 17, 2017

Abstract

In this work we use a MultiCriteria Decision Analysis (MCDA) model to evaluate the creditworthiness of a sample of Italian Small and Medium-sized Enterprises (SMEs), on the basis of their balance sheet data provided by the AIDA database. Our methodology is able to consider simultaneously different factors affecting the firms’ solvency level, and can produce results in terms of scoring, classification into homogeneous rating classes and migration probabilities. In this contribution we compare the results obtained considering two scenarios. On one hand, we experience an exogenous specification of the parameters that describe the preference structure implicit in the used MCDA model. On the other hand, we consider the results obtained using a preference disaggregation method to endogenously determine some of the model parameters. Because of the complexity of the obtained mathematical programming problem, we use an heuristic methodology, namely Particle Swarm Optimization (PSO), which provides a reasonable compromise between the quality of the solution and the computational burden.

Keywords: MultiCriteria Decision Analysis, Small and Medium-sized Enterprises, Credit Risk, Particle Swarm Optimization

JEL Classification: C38, C61, C63

Suggested Citation

Corazza, Marco and Fasano, Giovanni and Funari, Stefania and Gusso, Riccardo, PSO-Based Tuning of Murame Parameters for Creditworthiness Evaluation of Italian SMEs (March 17, 2017). Department of Management, UniversitĂ  Ca' Foscari Venezia Working Paper No. 2017/04. Available at SSRN: https://ssrn.com/abstract=2934929 or http://dx.doi.org/10.2139/ssrn.2934929

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

Giovanni Fasano

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

Stefania Funari

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

Riccardo Gusso (Contact Author)

Independent ( email )

No Address Available

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