Validation of the effectiveness of the bank retail portfolio risk management procedure

被引：0
|
作者：
Pomazanov, Mikhail [1 ]
机构：
[1] Natl Res Univ Higher Sch Econ, Myasnitskaya St 20, Moscow 101000, Russia
来源：
8TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2020 & 2021): DEVELOPING GLOBAL DIGITAL ECONOMY AFTER COVID-19 | 2022年 / 199卷
关键词：
validation; optimal solution; retail lending; Gini index; credit process; risk management procedure; rating; default;
D O I：
10.1016/j.procs.2022.01.099
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The article considers the issue of quantifying the quality of discrimination (approval) in the retail portfolio segments based on current statistical data on the level of refuse of customers who applied to the bank, the current level of defaults and market data (credit history bureaus). The analysis of the economic efficiency of the practiced level of approval/rejection of applications, taking into account the credit risk, is carried out. On the example of several cases, the typical reasons for the weakness of the quality assessments of discrimination of risk procedures are considered. (C) 2021 The Authors. Published by Elsevier B.V.
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页码：798 / 805
页数：8
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