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


  • Goran Klepac

    (Raiffeisen Bank Austria, Zagreb, Croatia)


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.

Suggested Citation

  • Goran Klepac, 2008. "Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes," Financial Theory and Practice, Institute of Public Finance, vol. 32(4), pages 461-476.
  • Handle: RePEc:ipf:finteo:v:32:y:2008:i:4:p:461-476

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    References listed on IDEAS

    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.
    2. 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.
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