Risk analysis for bank investments using PROMETHEE

Jean-Baptiste Rakotoarivelo (1, 2) , Pascale Zaraté (3, 4) , Marc Kilgour (5) , Jérôme Velo (2)

1 IRIT-PYRAMIDE - Optimisation Dynamique de Requêtes Réparties à grande échelle
2 Université de Toamasina
3 IRIT-ADRIA - Argumentation, Décision, Raisonnement, Incertitude et Apprentissage
4 UT Capitole - Université Toulouse Capitole
5 WLU - Wilfrid Laurier University

This article aims at analyzing financial investments from a risk point of view. The analysis is carried out by specifying, first, several financial operations typical of banking on a smaller scale, such as investing and extending credit and, second, several types of risk inherent in these activities. The risks are grouped into four criteria, operational risk, financial risk, management risk and external risk. The analysis is conducted using the PROMETHEE multi-criteria decision methodology. Professionals in risk management are trying to better appreciate the complexity of the financial activities under study, and have used complex models to do so, but nonetheless many risks are still not well understood. This article contributes to the risk analysis, delivering results that will help many financial institutions to improve the management of their financial operations, including micro-finance.

Mots clés: MCDM; Risk analysis; Bank investment; PROMETHEE

Domaines: Intelligence artificielle [cs.AI]; Apprentissage [cs.LG]; Logique en informatique [cs.LO]; Informatique et langage [cs.CL]

Jean-Baptiste Rakotoarivelo, Pascale Zaraté, Marc Kilgour, Jérôme Velo. Risk analysis for bank investments using PROMETHEE. 2nd International Conference on Decision Support Systems TechnologY (ICDSST 2016) EWG-DSS - EURO Working Group on Decision Support Systems, May 2016, Plymouth, United Kingdom. pp. 1-6. ⟨hal-01517392⟩