Narumon Saardchom

(NIDA Business School, National Institute of Development Administration, Bangkok, Thailand)

 

 

Abstract: The literature of scoring model seems to favor the model built based on statistical method. However, every bank has its internal rating system, which is not entirely based on statistical methods. This paper provides an alternative scoring model based on expert judgment when the bank cannot build a statistical model either because it does not have high quality data or it decides to rely on the expert judgment for certain types of loans. Existing validation techniques are also mainly statistical for measuring the discriminatory power and calibration. When the model is not built based only on data, the regulatory validation of the internal scoring model can be problematic. The validation method for expert judgment based model is introduced in this paper.

 

 

Key words: analytical method; validation; risk analysis

 

JEL codes: C65, C52, G11