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
2010
9780071663700
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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/13014
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