St.Petersburg Economic seminar (HSE, EU, PDMI) June, 8: Mariia Marakuieva

Title: Cost of credit risk modeling errors in the bank
Date & Time: June 8, 18.00 - 19.00
Speaker: Mariia Marakuieva
Where: White Hall of EU (room 430)

Mariia Marakuieva will give a talk on Cost of credit risk modeling errors in the bank.

Time: 18.00 - 19.00

Abstract:The paper will present the results of a released paper that summarizes the practical experience of building retail lending models in a bank in terms of the most common modeling errors. Examples of quantifying the cost of modeling errors for a bank's retail business will be discussed. Retail lending risk modeling has been performed by banks since the early 2000s, but there is still a long history of errors on which the banking business loses large amounts of money and sometimes even becomes unprofitable. New generations of scoring experts still lack attention to detail, the importance of which in modeling and model implementation is proving to be key. The report clearly demonstrates the difference between a correct and erroneous model in terms of model performance and monetary value for all highlighted types of model errors. The examples will be useful in other areas of application of mathematical models in economics.

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