Risk adjusted performance measurement for trading desks within banks.
This paper gives an overview of the Risk Adjusted Return on Capital (RAROC) and Value-at-Risk (VaR) concepts, used for measuring market risk of portfolios. The concepts incorporate risk management and capital structure decisions, and provide a simple setting within which to address questions relatin...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8290 |
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| Institution: | Nanyang Technological University |
| Summary: | This paper gives an overview of the Risk Adjusted Return on Capital (RAROC) and Value-at-Risk (VaR) concepts, used for measuring market risk of portfolios. The concepts incorporate risk management and capital structure decisions, and provide a simple setting within which to address questions relating to capital budgeting and performance measurement. |
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