Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes
AbstractThis 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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Bibliographic InfoArticle provided by Institute of Public Finance in its journal Financial Theory and Practice.
Volume (Year): 32 (2008)
Issue (Month): 4 ()
portfolio analysis; credit risk; weighting; scoring; data mining; sensitivity analyses; decision support; Bayesian networks; BASEL II;
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- Nora Mihail & Iuliana Cetina & Gheorghe Orzan, 2007. "Credit Risk Evaluation," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 4(4(509)), pages 47-52, April.
- 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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