Similar Search Results

Risk-adjusted measures of value creation in financial institutions

Milne, Alistair; Onorato, Mario - Suomen Pankki - 2009

Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution … appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset … returns. Thus the RAROC hurdle rate should differ substantially between equity which has a right skew and debt which has a …

Persistent link: https://www.econbiz.de/10008509435

Practical methods for measuring and managing operational risk in the financial sector: a clinical study

Hübner, Georges; Peters, Jean-Philippe - Solvay Brussels School of Economics and Management, … - 2008

profitability, through an adapted measure of RAROC. The results suggest that substantial savings can be achieved through active …

Persistent link: https://www.econbiz.de/10008590535

Die Ermittlung von Risikoprämien unter Berücksichtigung des banksystematischen Risikos

Guthoff, Anja - 2001

Persistent link: https://www.econbiz.de/10001645364

Risk management and value creation in banks

Schröck, Gerhard; Steiner, Manfred - In: Risk management : challenge and opportunity ; with 125 …, (pp. 53-78). 2005

Persistent link: https://www.econbiz.de/10002447384

Economic capital and RAROC in a dynamic model

Bauer, Daniel; Zanjani, George - In: Journal of banking & finance 125 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012819680

Managing performance using a dual measure framework

Ozdemir, Bogie; Cubukgil, Evren; Xia, Huaxing - In: Journal of risk management in financial institutions 7 (2014) 3, pp. 257-276

Persistent link: https://www.econbiz.de/10010413326

Análisis de la gestión del riesgo de la banca múltiple en el Perú : 2000-2010

Cortez Cortez, Gaby - In: Pensamiento crítico : revista del Instituto de … 16 (2011), pp. 7-19

Persistent link: https://www.econbiz.de/10011520777

Determining hurdle rate and capital allocation in credit portfolio management

Miu, Peter; Ozdemir, Bogie; Cubukgil, Evren; Giesinger, … - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011667855

Long-term project valuation in capital-constrained firms

Shimko, David C. - In: Finance : revue de l'Association Française de Finance 40 (2019) 3, pp. 121-139

Persistent link: https://www.econbiz.de/10012154181

Capital allocation in decentralized businesses

Turnbull, Stuart M. - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-11

This paper described a theory of capital allocation for decentralized businesses, taking into account the costs associated with risk capital. We derive an adjusted present value expression for making investment decisions, that incorporates the time varying profile of risk capital. We discuss the...

Persistent link: https://www.econbiz.de/10011960544