Maryam Shabani - Industrial Engineering, Amirkabir University of Technology
Naser Shams Ghameh - Industrial Engineering, Amirkabir University of Technology

Enterprise Risk Management is a relatively new term that is quickly becoming viewed as the ultimate approach to risk management. Consultants are advertising their ability to perform enterprise risk management. Auditors are examining how to incorporate enterprise risk management approaches into company audits. Presentations are being made on this topic at many actuarial, risk management and other insurance meetings. Seminars devoted to this topic are being conducted to explain the process, provide examples of applications and discuss advances in the field. Papers on enterprise risk management are beginning to appear in journals and books on the topic are starting to be published. Some universities are even starting to offer courses titled enterprise risk management. It appears that a new field of risk management is opening up, one requiring new and specialized expertise, one that will make other forms of risk management incomplete and less attractive.This paper demonstrates validation of model risk in ERM. A bank develops a scorecard models to assets account creditworthiness. We validate predictive scorecards based on data using PSI statistic measures.Section2 introduce enterprise risk management and CEO roles in organizations. Section3 introduce the objectives and purposes of apply ERM in banking. In section4 we talk about Risk Modeling and the companies that make Credit Rating. Then we introduce the model that bank calculate its Credit Rating and PSI for validation of risk model.