Purpose – The paper aims to provide a quantitative methodology for dealing with (true) Knightian uncertainty in the management of credit risk based on information-gap decision theory. Design/methodology/approach – Credit risk management assigns clients to credit risk categories with...

Purpose – The paper aims to provide a quantitative methodology for dealing with (true) Knightian uncertainty in the management of credit risk based on information‐gap decision theory. Design/methodology/approach – Credit risk management assigns clients to credit risk categories with...