The increasing usage of quantitative techniques in rating assignment and loan portfolio management is a great source of model risk and amplifies the tendency towards commoditization and short-termism of bank lending. Relationship banking is put in jeopardy. Roles and responsibilities of relationship managers, credit risk models structures, and statistical- based rating systems architectures are clear indicators of the magnitude and the nature of model risk in credit management processes. Results are relevant for banks’ strategies and organizational design, as well as for improving regulations on banks
GIACOMO DE, L., Gabbi, G. (2010). Model Risk in Credit Management Processes. In The Risk Modeling Evaluation Handbook (pp. 205-222). New York : McGraw-Hill.
Model Risk in Credit Management Processes
GABBI, GIAMPAOLO
2010-01-01
Abstract
The increasing usage of quantitative techniques in rating assignment and loan portfolio management is a great source of model risk and amplifies the tendency towards commoditization and short-termism of bank lending. Relationship banking is put in jeopardy. Roles and responsibilities of relationship managers, credit risk models structures, and statistical- based rating systems architectures are clear indicators of the magnitude and the nature of model risk in credit management processes. Results are relevant for banks’ strategies and organizational design, as well as for improving regulations on banks
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https://hdl.handle.net/11365/13014
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