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Enterprise Risk Management: Coping with Model Risk in a Large Bank
D. Wu and D. L. Olson
The Journal of the Operational Research Society
Vol. 61, No. 2 (Feb., 2010), pp. 179-190
Stable URL: http://www.jstor.org/stable/40540242
Page Count: 12
You can always find the topics here!Topics: Investment risk, Statistical models, Credit risk, Modeling, Risk management, Predictive modeling, Business risks, Beacons, Banks, Parametric models
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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.
The Journal of the Operational Research Society © 2010 Operational Research Society