Маржинальный экономический эффект от повышения качества моделей рейтингования заемщиков банка
The paper substantiates a universal and simple marginal formula for guaranteed profit from improving the rating-scoring model underlying credit decisions. An example of the one-parameter family of Lorentz curve profiles (CAP-curve), which characterizes the discriminatory power of the rating, shows the range of applicability of the conservative estimate obtained. This area covers everything incoming parameters, that is most interesting from the point of view of practice - credit risk / profitability, the basic discriminatory capacity to be improved. The approach provides a reliable benchmark for making decisions about investing in improving the quality of the credit process and risk management in particular.