A New Rough Set Approach to Evaluation of Bankruptcy Risk

We present a new rough set method for evaluation of bankruptcy risk. This approach is based on approximations of a given partition of a set of firms into pre-defined and ordered categories of risk by means of dominance relations, instead of indiscernibility relations. This type of approximations enables us to take into account the ordinal properties of considered evaluation criteria. The new approach maintains the best properties of the original rough set analysis: it analyses only facts hidden in data, without requiring any additional information, and possible inconsistencies are not corrected. Moreover, the results obtained in terms of sorting rules are more understandable for the user than the rules obtained by the original approach, due to the possibility of dealing with ordered domains of criteria instead of non-ordered domains of attributes. The rules based on dominance are also better adapted to sort new actions than the rules based on indiscernibility. One real application illustrates the new approach and shows its advantages with respect to the original rough set analysis.

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