Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes

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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Bibliographic Details
Main Author: Goran Klepac
Format: Article
Language:English
Published: Institute of Public Finance 2008-12-01
Series:Financial Theory and Practice
Subjects:
portfolio analysis
credit risk
weighting
scoring
data mining
sensitivity analyses
decision support
Bayesian networks
BASEL II
Online Access:http://www.ijf.hr/eng/FTP/2008/4/klepac.pdf
Description
Summary: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 cases when we virtually change portfolio structure and/or macroeconomic factors. The model takes a holistic approach to portfolio management consolidating all organizational segments in the process such as marketing, retail and risk.
ISSN:1846-887X
1845-9757

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