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Model risk in banking studies: a bibliometric analysis

Simona Cosma, Giuseppe Rimo
November 2022 - n. 11
Keywords: Rischio di modello, banca, analisi bibliometrica, gestione del rischio, questioni aperte
Jel codes: G21, G28, G32, B20

The use of models in banking management is constantly increasing and, consequently, the criticality of model risk is also growing. The purpose of this study is to clarify, through a bibliometric survey, how the literature on model risk is evolving, in order to understand the state of the art, identify the topics of discussion, open questions and challenges for the future. The results of the study highlight that the literature on model risk is recent and scarce. The issues to be resolved are of a conceptual, computational and organizational nature. The reflections made lead to the question of whether adding further complexity in Model Risk Management is a solution or if, on the contrary, it generates new model risk and whether a qualitative judgment may represent the best solution.

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