Credit Risk Management Under Uncertainty Using a Fuzzy VIKOR Method

In today's conditions that many domestic banks of country are experiencing a kind of credit risk, establishing a credit risk management system is necessary to reduce bank's outstanding claims and resolve the failure to repay loans problem of central bank. Creating a proper costumer's credit ranking system is one of the fundamental issues and requirements of establishing a credit risk management system. Five C's of credit system is on of the reliable systems for costumers ranking which can be used for this purpose. On the other hand, effort to achieve a suitable tool for implementing and executing this system is an important and inevitable issue. VIKOR method is one of the capable multi-attribute decision making methods which can be applied for executing five C's of credit system and solving the costumer's credit ranking problem. In this paper, a VIKOR method is presented which not only is capable of determining the optimum values of importance weights of criteria but also could take into consideration fuzzy importance weights of decision maker's judgments during the process of costumer's credit ranking. The proposed method is adopted to solve a numerical example about credit ranking of bank's costumers and thereby, the best alternative for giving loan facilities is selected in uncertain conditions.