APPLYING THE TODIM FUZZY METHOD TO THE VALUATION OF BRAZILIAN BANKS

ABSTRACT We propose the use of multicriteria decision analysis for the valuation of Brazilian banks. In order to model uncertainties, we combine the use of multicriteria decision analysis with fuzzy mathematics. We specifically modify the method Tomada de Decisão Interativa Multicritério (TODIM) to incorporate fuzzy numbers, resulting in a methodology we call TODIM Fuzzy. A six-year data set of audited financial statements is considered to illustrate the use of the methodology when analyzing the six largest (net worth) banks operating in Brazil. Several sensitivity analyses are conducted to illustrate how small changes in the inputs can alter the results obtained with the original TODIM and the TODIM Fuzzy. The numerical illustrations have displayed consistent and robust results when the scores of the six banks are computed and the institutions are compared among themselves.

摘要 本文提出将多准则决策分析（multicriteria decision analysis）应用于巴西银行的估值研究。为对不确定性进行建模，本文将多准则决策分析与模糊数学（fuzzy mathematics）相结合。本文对交互式多准则决策法（Tomada de Decisão Interativa Multicritério，简称TODIM）进行针对性改进，引入模糊数（fuzzy numbers），由此提出一种名为模糊TODIM（TODIM Fuzzy）的新方法。本文采用一份六年期经审计财务报表数据集，用于演示该方法在分析巴西境内按净资产排名前六的银行时的应用流程。本文开展了多组敏感性分析，用以展示输入参数的微小变化会如何改变原始TODIM法与模糊TODIM法的计算结果。在对六家银行进行评分并开展同业对比时，数值演示结果展现出了一致性与稳健性。