Characterization of Electre I choice procedures

This paper discusses choice procedures that select the set of best alternatives taking into account reflexive binary relations (called pseudo-tournaments in the paper), such as those that can be obtained when constructing an outranking relation à la Electre. The paper contains interesting results which link together the second “exploitation” step in the Electre I outranking method with two choice procedures (Gocha and Getcha choice procedures also known in the literature as Schwartz set and Smith set respectively). A set of results that characterize some properties of the two outranking methods (ElectI and ElectIP choice procedures) is also presented.

Sovereign Credit Risk Assessment with Multiple Criteria Using an Outranking Method

In view of the records of failures in rating agencies’ assessments for sorting countries’ quality of credit in degrees of default risk, this paper proposes a multicriteria sorting model using reference alternatives so as to allocate sovereign credit securities into three categories of risk. From a numerical application, what was observed from the results was a strong adherence of the model in relation to those of the agencies: Standard & Poor's and Moody's. Since the procedure used by the agencies is extremely subjective and often questioned, the contribution of this paper is to put forward the use of an objective and transparent methodology to sort these securities. Given the agencies’ conditions for undertaking the assessment, a complete similarity between the results obtained and the assignments of the agencies was not expected. Therefore, this difference arises from subjective factors that the agencies consider but the proposed model does not. Such subjective and questionable aspects have been partly responsible for the credibility of these credit agencies being diminished, especially after the 2007-2008 crisis.