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

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  • Goran Klepac

    (Raiffeisen Bank Austria, Zagreb, Croatia)

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    Abstract

    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.

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    File URL: http://www.ijf.hr/eng/FTP/2008/4/klepac.pdf
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    Bibliographic Info

    Article provided by Institute of Public Finance in its journal Financial Theory and Practice.

    Volume (Year): 32 (2008)
    Issue (Month): 4 ()
    Pages: 461-476

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    Handle: RePEc:ipf:finteo:v:32:y:2008:i:4:p:461-476

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    Related research

    Keywords: portfolio analysis; credit risk; weighting; scoring; data mining; sensitivity analyses; decision support; Bayesian networks; BASEL II;

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    1. Goran Klepac, 2007. "Integrating Seasonal Oscillations into Basel II Behavioral Scoring Models," Financial Theory and Practice, Institute of Public Finance, vol. 31(3), pages 281-291.
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