There has been a growing recognition that issues of data quality, which are routine in practice, can materially affect the assessment of learned model performance. In this paper, we develop some analytic results that are useful in sizing the biases associated with tests of discriminatory model...

Prudent credit risk management within a bank requires that a number of agents within the firm communicate, agree and act in a concerted fashion to manage credit risk both at the individual exposure level and at the broader portfolio level. This can be challenging given the nature of credit...

In this article, we outline some concepts relating to the use of stress testing in credit risk management. We begin by providing a simple taxonomy of stress scenarios and discussing the trade-offs that different approaches require for implementation. Our taxonomy is modeled after one that is...