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
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spelling doaj-3fb41da00a0946bb872d624f17e09ddd2020-11-24T22:39:56ZengInstitute of Public FinanceFinancial Theory and Practice1846-887X1845-97572008-12-01324461476Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic ChangesGoran KlepacThis 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.http://www.ijf.hr/eng/FTP/2008/4/klepac.pdfportfolio analysiscredit riskweightingscoringdata miningsensitivity analysesdecision supportBayesian networksBASEL II
collection DOAJ
language English
format Article
sources DOAJ
author Goran Klepac
spellingShingle Goran Klepac
Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
Financial Theory and Practice
portfolio analysis
credit risk
weighting
scoring
data mining
sensitivity analyses
decision support
Bayesian networks
BASEL II
author_facet Goran Klepac
author_sort Goran Klepac
title Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
title_short Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
title_full Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
title_fullStr Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
title_full_unstemmed Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
title_sort portfolio sensitivity model for analyzing credit risk caused by structural and macroeconomic changes
publisher Institute of Public Finance
series Financial Theory and Practice
issn 1846-887X
1845-9757
publishDate 2008-12-01
description 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.
topic portfolio analysis
credit risk
weighting
scoring
data mining
sensitivity analyses
decision support
Bayesian networks
BASEL II
url http://www.ijf.hr/eng/FTP/2008/4/klepac.pdf
work_keys_str_mv AT goranklepac portfoliosensitivitymodelforanalyzingcreditriskcausedbystructuralandmacroeconomicchanges
_version_ 1725706764701138944

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