Risk adjusted performance measurement for trading desks within banks.

• Main Authors: Lee, Doreen., Sim, Winny., Wong, Xiuyi.
• Other Authors: Cao, Yong
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/8290
• Institution: Nanyang Technological University

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...