Enterprise risk management: coping with model risk in a large bank

被引：109
|
作者：
Wu, D. [1 ,2 ]
Olson, D. L. [3 ]
机构：
[1] Univ Toronto, RiskLab, Toronto, ON M5S 3E6, Canada
[2] Reykjavik Univ, Reykjavik, Iceland
[3] Univ Nebraska, Lincoln, NE USA
来源：
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 2010年 / 61卷 / 02期
关键词：
enterprise risk management; model risk management; credit risk; statistical analysis; CREDIT RISK; INFORMATION; SYSTEMS;
D O I：
10.1057/jors.2008.144
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Enterprise risk management (ERM) has become an important topic in today's more complex, interrelated global business environment, replete with threats from natural, political, economic, and technical sources. Banks especially face financial risks, as the news makes ever more apparent in 2008. This paper demonstrates support to risk management through validation of predictive scorecards for a large bank. The bank developed a model to assess account creditworthiness. The model is validated and compared to credit bureau scores. Alternative methods of risk measurement are compared. Journal of the Operational Research Society (2010) 61, 179-190. doi: 10.1057/jors.2008.144 Published online 7 January 2009
引用
收藏
页码：179 / 190
页数：12
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