420
Views
10
CrossRef citations to date
0
Altmetric
Original Articles

A constructivist multiple criteria framework for mortgage risk analysis

, &
Pages 361-378 | Received 16 Jan 2017, Accepted 12 May 2017, Published online: 05 Jun 2017

References

  • Ackermann F. 2012. Problem structuring methods ‘in the dock’: arguing the case for soft OR. Eur J Oper Res. 219:652–658.
  • Ackermann F, Eden C. 2001. Contrasting single user and networked group decision support systems for strategy making. Group Decis Negot. 10:47–66.
  • Ackermann F, Eden C. 2010. Strategic options development and analysis. In: Reynolds M, Holwell S, editors. Systems approaches to managing change: a practical guide. London: Springer; p. 139–190.
  • Akhigbe A, McNulty J. 2011. Bank monitoring, profit efficiency and the commercial lending business model. J Econ Bus. 63:531–551.
  • Aouni B, Martel J. 2004. Property assessment through an imprecise goal programming model. INFOR: Inf Syst Oper Res. 42:189–200.
  • Avery R, Bostic R, Calem P, Canner G. 1996. Credit risk, credit scoring, and the performance of home mortgages. Fed Reserve Bull. 1:621–648.
  • Bana e Costa C, De Corte J, Vansnick J. 2012. MACBETH. Int J Inf Technol Decis Mak. 11:359–387.
  • Bana e Costa C, De Corte J, Vansnick J. 2016. On the mathematical foundations of MACBETH. In: Greco S, Matthias E, Figueira J, editors. Multiple criteria decision analysis: state of the art surveys. New York (NY): Springer; p. 421–463.
  • Bana e Costa C, Vansnick J. 1994. MACBETH: an interactive path towards the construction of cardinal value functions. Int Trans Oper Res. 1:489–500.
  • Bana e Costa C, Vansnick, J. 1995. Uma nova abordagem ao problema da construção de uma função de valor cardinal: MACBETH [A new approach to value cardinal measurement: MACBETH]. Investigação Ope. 15:15–35.
  • Bell S, Morse S. 2013. Groups and facilitators within problem structuring processes. J Oper Res Soc. 64:959–972.
  • Belton V, Stewart T. 2002. Multiple criteria decision analysis: an integrated approach. Dordrecht: Kluwer Academic Publishers.
  • Beverly J, Levonian M, Saidenberg M, Stefan W, Wright D. 2001. Using credit risk models for regulatory capital: issues and options. FRBNY Econ Policy Rev. 1:19–36.
  • Calem P, Little M. 2004. Risk-based capital requirements for mortgage loans. J Bank Finance. 28:647–672.
  • Canas S, Ferreira F, Meidutė-Kavaliauskienė I. 2015. Setting rents in residential real estate: a methodological proposal using multiple criteria decision analysis. Int J Strateg Prop Manage. 19:368–380.
  • Dietsch M, Petey J. 2015. The credit-risk implications of home ownership promotion: the effects of public subsidies and adjustable-rates loans. J Housing Econ. 28:103–120.
  • Doumpos M, Kosmidou K, Baoumakis G, Zopounidis C. 2002. Credit risk assessment using a multicriteria hierarchical discrimination approach: acomparative analysis. Eur J Oper Res. 138:392–412.
  • Eden C. 1988. Cognitive mapping: a review. Eur J Oper Res. 36:1–13.
  • Eden C, Ackerman F. 2004. Cognitive mapping expert views for policy analysis in the public sector. Eur J Oper Res. 152:615–630.
  • Elhiwi M. 2014. Default barrier intensity model for credit risk evaluation. Stat Probab Lett. 95:125–131.
  • Ensslin L, Dutra A, Ensslin S. 2000. MCDA: a constructivist approach to the management of human resources at a governmental agency. Int Trans Oper Res. 7:79–100.
  • Ferreira F, Marques C, Bento P, Ferreira J, Jalali M. 2015. Operationalizing and measuring individual entrepreneurial orientation using cognitive mapping and MCDA techniques. J Bus Res. 68:2691–2702.
  • Ferreira F, Santos S. 2016. Comparing trade-off adjustments in credit risk analysis of mortgage loans using AHP, Delphi and MACBETH. Int J Strateg Prop Manage. 20:44–63.
  • Ferreira F, Santos S, Dias V. 2014. An AHP-based approach to credit risk evaluation of mortgage loans. Int J Strateg Prop Manage. 18:38–55.
  • Ferreira F, Santos S, Marques C, Ferreira J. 2014. Assessing credit risk of mortgage lending using MACBETH: a methodological framework. Manage Decis. 52:182–206.
  • Ferreira F, Santos S, Rodrigues P. 2011. Adding value to bank branch performance evaluation using cognitive maps and MCDA: a case study. J Oper Res Soc. 62:1320–1333.
  • Ferreira F, Spahr R, Gavancha I, Çipi A. 2013. Readjusting trade-offs among criteria in internal ratings of credit-scoring: an empirical essay of risk analysis in mortgage loans. J Bus Econ Manage. 14:715–740.
  • Ferreira F, Spahr R, Sunderman S. 2016. Using multiple criteria decision analysis (MCDA) to assist in estimating residential housing values. Int J Strateg Prop Manage. 20:354–370.
  • Fiedler F. 1965. Engineer the job to fit the manager. Harv Bus Rev. 43:115–122.
  • Filipe M, Ferreira F, Santos S. 2015. A multiple criteria information system for pedagogical evaluation and development of teachers. J Oper Res Soc. 66:1769–1782.
  • Gonçalves T, Ferreira F, Jalali M, Meidutė-Kavaliauskienė I. 2016. An idiosyncratic decision support system for credit risk analysis of small and medium-sized enterprises. Technol Econ Dev Econ. 22:598–616.
  • Hu B, Liang J, Wu Y. 2015. A free boundary problem for corporate bond with credit rating migration. J Math Anal Appl. 428:896–909.
  • Jacobson T, Roszbach K. 2003. Bank lending policy, credit scoring and value-at-risk. J Bank Finance. 27:615–633.
  • Jalali M, Ferreira F, Ferreira J, Meidutė-Kavaliauskienė I. 2016. Integrating metacognitive and psychometric decision making approaches for bank customer loyalty measurement. Int J Inf Technol Decis Mak. 15:815–837.
  • Junior H. 2008. Multicriteria approach to data envelopment analysis. Pesquisa Oper. 28:231–242.
  • Keeney R. 1992. Value-focused thinking: a path to creative decision making. Harvard: Harvard University Press.
  • Kollár B, Gondzárová B. 2015. Comparison of current credit risk models. Proc Econ Finance. 23:341–347.
  • Mari C, Renò R. 2005. Credit risk analysis of mortgage loans: an application to the Italian market. Eur J Oper Res. 163:83–93.
  • Oliveira M, Ferreira F, Pérez-Bustamante G, Jalali M. Forthcoming 2017. Integrating cognitive mapping and MCDA for bankruptcy prediction in small- and medium-sized enterprises. J Oper Res Soc. AOP 8 February 2017. doi:10.1057/s41274-016-0166-3
  • Pirlot M. 1990. Minimal representation of a semiorder. Theory Decis. 28:109–141.
  • Roszkowska E. 2014. The MACBETH approach for evaluation offers in ill–structure negotiations problems. Optimum Stud Ekonomiczne. 5:69–89.
  • Roy B, Bouyssou D. 1993. Aide multicritère à la décision: methodes et cas [Multiple criteria decision aid: methods and cases]. Paris: Economica.
  • Santos S, Belton V, Howick S. 2002. Adding value to performance measurement by using system dynamics and multicriteria analysis. Int J Oper Prod Manage. 22:1246–1272.
  • So M, Thomas L. 2010. Modeling and model validation of the impact of the economy on the credit risk of credit card portfolios. J Risk Model Validation. 4:93–126.
  • Tegarden D, Sheetz S. 2003. Group cognitive mapping: a methodology and system for capturing and evaluating managerial and organizational cognition. Int J Manage Sci. 31:113–125.
  • Wang J, Jing Y, Zhang C, Zhao J. 2009. Review on multi-criteria decision analysis aid in sustainable energy. Renew Sustainable Energy Rev. 13:2263–2278.
  • Winterfeldt D, Edwards W. 1986. Decision analysis and behavioral research. New York (NY): Cambridge University Press.
  • Yurdakul F. 2014. Macroeconomic modelling of credit risk for banks. Soc Behav Sci. 109:784–793.
  • Zavadskas E, Turskis Z, Kildienė S. 2014. State of art surveys of overviews on MCDM/MADM methods. Technol Econ Dev Econ. 20:165–179.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.