Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
This paper proposes a new model for portfolio sensitivity analysis. The model is suitable for decision support in financial institutions, specifically for portfolio planning and portfolio management. The basic advantage of the model is the ability to create simulations for credit risk predictions in...
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| Format: | Article |
| Language: | English |
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Institute of Public Finance
2008-12-01
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| Series: | Financial Theory and Practice |
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| Online Access: | http://www.ijf.hr/eng/FTP/2008/4/klepac.pdf |