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 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.
Volume (Year): 32 (2008)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: Smiciklasova 21, 10000 Zagreb|
Web page: http://www.fintp.hr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ipf:finteo:v:32:y:2008:i:4:p:461-476. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martina Fabris)
If references are entirely missing, you can add them using this form.