raroc

I apologize in advance if this is not the right post. A quick question about EVA (Economic Value Added). Study notes Crouhy, Page 17 - it is defined as : EVA (economic value added), or NIACC (net income after capital charge), is the after-tax adjusted net income less a capital charge equal to...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

Learning objectives: Explain the impact of changing assumptions used in calculating economic capital, including choosing a time horizon, measuring default probability, and choosing a confidence level. Calculate the hurdle rate and apply this rate in making business decisions using RAROC. Compute...

Learning objectives: Define, compare, and contrast risk capital, economic capital and regulatory capital, and explain the motivations for using economic capital. Describe the RAROC (risk-adjusted return on capital) methodology and its benefits. Compute and interpret the RAROC for a project...

Dear David, I am confuse with the following concept and would appreciate if you could clarify. Shall RAROC or ARAROC be used to determine the viability of a project? The study note seems to suggest that ARAROC shall be used but the practice question 1.5 as set out below seem to tell...

I am watching your OpRisk Part B and the section on RAROC and adjusted RAROC. You say that in the first generation RAROC, you compute the RAROC and compare it to a "hurdle rate" and then if the RAROC os greater then you go ahead with some risky project. 1. What is "hurdle rate" and what is it...