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


Goran Klepac, Raiffeisen Bank Austria, Zagreb, Croatia


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.

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

Year:  2008   |   Volume:  32   |   Issue:  4   |   Pages:  461 - 476

Full text (PDF)   |   E-mail this article   |   Download to citation manager		 December, 2008
IV / 2008
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EBSCO Publishing
ISSN 1846-887X
e-ISSN 1845-9757
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