11. RAROC Models

  1. Anthony Saunders and
  2. Linda Allen

Published Online: 6 DEC 2011

DOI: 10.1002/9781118267981.ch11

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

How to Cite

Saunders, A. and Allen, L. (2010) RAROC Models, in Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267981.ch11

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 APR 2010

ISBN Information

Print ISBN: 9780470478349

Online ISBN: 9781118267981

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Keywords:

  • RAROC Models;
  • modern portfolio theory;
  • economic capital;
  • bank for international settlements;
  • loan portfolio

Summary

This chapter contains sections titled:

  • Introduction

  • What Is RAROC?

  • RAROC, ROA, and RORAC

  • Alternative Forms of RAROC

  • The RAROC Denominator and Correlations

  • RAROC and EVA

  • Summary