A credit risk model with an automatic override for innovative small and medium-sized enterprises

摘要

The goal of this paper is to build an operational model for assessing creditworthiness of innovative small and medium-sized enterprises. To this purpose, a novel multicriteria methodology is implemented through a simulation approach within the context of the ELECTRE TRI-based framework. The model is applied to a database, retained from AIDA, involving a sample of Italian innovative small and medium-sized enterprises. The main finding is twofold. From a theoretical point of view, the credit rating model proposed allows to incorporate an override in the credit class, as required by Basel Ⅱ in all the cases in which the availability of data is insufficient to describe the risk factors or a judgmental rating model is advised, as well as in innovative small and medium-sized enterprises. From an operational point of view, this methodology could be a useful tool for banks' innovative lending processes, because of the lack of a credit model in this context.