428
Views
16
CrossRef citations to date
0
Altmetric
Original Articles

Using DEA and financial ratings for credit risk evaluation: an empirical analysis

, &
Pages 1310-1317 | Published online: 02 Jul 2013

References

  • Altman , E. I. 1968 . Financial ratios, discriminant analysis and the prediction of corporate bankruptcy . Journal of Finance , 23 : 589 – 609 .
  • Avkiran , N. K. 2011 . Association of DEA super-efficiency estimates with financial ratios: investigating the case for Chinese banks . Omega , 39 : 323 – 34 .
  • Beaver , W. H. 1966 . “ Financial ratios as predictor to failure. Empirical research in accounting: selected studies ” . In Journal of Accounting Research, Supplement 71 – 111 .
  • Bruni , M. E. and Beraldi , B. June 2012 . “ Data Envelopment Analysis under Uncertainty and Risk ” . In Proceedings WASET 2012 World Academy of Science, Engineering and Technology , June , 27 – 28 . Paris .
  • Bruni , M. E. , Conforti , D. and Beraldi , B. 2009 . Probabilistically constrained models for efficiency and dominance in DEA . International Journal of Production Economics , 117 : 219 – 28 .
  • Bureau van Dijk . MODEFINANCE, Area Science Park, Trieste, updated October 2010 . ModeFinance Credit Risk Analysis , MODEFINANCE, Area Science Park, Trieste, updated October , The Multi Objective Rating Evaluation Model (MORE) .
  • Charnes , A. , Cooper , W. W. and Rhodes , E . 1978 . Measuring the efficiency of decision making units . European Journal of Operational Research , 2 : 429 – 44 .
  • Charnes , A. , Cooper , W. W. and Seiford , L. M. 1982 . A multiplicative model for efficiency analysis . Socio-Economic Planning Sciences , 16 : 223 – 4 .
  • Ching-Chiang , Y. , Der-Jang , C. and Ming-Fu , H. 2010 . A hybrid approach of DEA, rough set and support vector machines for business failure prediction . Expert Systems with Applications , 37 : 1535 – 41 .
  • Chiu , Y.-H. , Ma , C.-M. and Sun , M.-Y. 2010 . Efficiency and credit rating in Taiwan banking: data envelopment analysis estimation . Applied Economics , 42 : 2587 – 600 .
  • Damodaran , A. 2002 . Investment Valuation: Tools and Techniques for Determining the Value of any Asset , New York : John Wiley & Sons .
  • Iazzolino , G. and Fortino , A. 2012 . Credit risk analysis and the KMV-Black and Scholes model: a proposal of correction and an empirical analysis . Investment Management and Financial Innovations , 9 : 167 – 81 .
  • Kao , C. and Liu , S. T. 2004 . Predicting bank performance with financial forecasts: a case of Taiwan commercial banks . Journal of Banking and Finance , 28 : 2353 – 68 .
  • Paradi , J. C. , Asmild , M. and Simak , P. C. 2004 . Using DEA and worst practice DEA in credit risk evaluation . Journal of Productivity Analysis , 21 : 153 – 65 .
  • Premachandra , I. M. , Bhabra , G. S. and Sueyoshi , T. 2009 . DEA as a tool for bankruptcy assessment: a comparative study with logistic regression technique . European Journal of Operational Research , 193 : 412 – 24 .
  • Premachandra , I. M. , Chen , Y. and Watson , J. 2011 . DEA as a tool for predicting corporate failure and success . a case of bankruptcy assessment, Omega , 39 : 620 – 6 .
  • Psillaki , M. , Tsolas , I. E. and Margaritis , D. 2010 . Evaluation of credit risk based on firm performance . European Journal of Operational Research , 201 : 873 – 81 .
  • Ruggiero , J. 2004 . Data envelopment analysis with stochastic data . Journal of the Operational research Society , 55 : 1008 – 12 .
  • Shanmugam , R. and Johnson , C. 2007 . At a crossroad of data envelopment and principal component analyses . Omega , 35 : 351 – 64 .

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.