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Audyt modeli wewnętrznych w kontekście stabilności instytucji kredytowych
Kamil Kryński
Abstract
Overseeing the stability of credit institutions should be preventive, since correct identification of risk and the degree of sensitivity to changes in the banking sector is essential to maintain the desired result. Thus, in the context of higher uncertainty in the credit institutions sector, the Basel Committee on Banking Supervision decided to update the guidelines on the role of internal audit function in banks. The document indicates that the internal audit should evaluate the modeling process, in particular the approval and maintenance of risk models including verification of consistency, timeliness, independence and reliability of data sources used in such models. It results from the fact that credit institutions are using model solutions for the management of the credit portfolio quality as well as the calculation of the economic and regulatory capital. Therefore, the results of the appropriately performed audits of the design, development, implementation and validation of the risk measurement models enables to assess the effectiveness of bank management. Thus, the audit results of the modeling process allow to assess the stability of credit institutions.
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