Enterprise risk management: Coping with model risk

被引：0

作者：

Wu, De Heng Dash ^{[1
]}

Olson, David L. ^{[2
]}

机构：

[1] Univ Toronto, RiskLab, Toronto, ON M5S 3E6, Canada

[2] Univ Nebraska, Dept Management, Lincoln, NE 68583 USA

来源：

PROCEEDINGS OF INTERNATIONAL CONFERENCE ON RISK MANAGEMENT AND ENGINEERING MANAGEMENT | 2008年

关键词：

enterprise risk management; model risk management; credit risk; statistical analysis;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

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. The development and current status of ERM is presented, with a discussion of how model risk can be managed through use of different measures. 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.

引用

页码：1 / 13

页数：13

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