Normal view MARC view

Pitfalls in the application of RAROC in loan management

Author: Dermine, Jean INSEAD Area: FinanceIn: Arbitrageur, vol. 1, no. 1, 1998 Language: EnglishDescription: p. 21-27.Type of document: INSEAD ArticleNote: Please ask the Library for this articleAbstract: This article discusses five pitfalls commonly encountered in the application of risk-adjusted return on capital techniques (RAROC) to loan management: the use of a single hurdle rate, the timing of loan provisions, the duration of funding, the time horizon for equity allocation, and the under-identified fenefits of portfolio diversification. Without explicit recognition of these issues by senior bank management, the application of RAROC to risk-adjusted performance measurement can produce misleading information
Tags: No tags from this library for this title. Add tag(s)
Log in to add tags.
Item type Current location Call number Status Date due
INSEAD Article Doriot Library
Available

Please ask the Library for this article

This article discusses five pitfalls commonly encountered in the application of risk-adjusted return on capital techniques (RAROC) to loan management: the use of a single hurdle rate, the timing of loan provisions, the duration of funding, the time horizon for equity allocation, and the under-identified fenefits of portfolio diversification. Without explicit recognition of these issues by senior bank management, the application of RAROC to risk-adjusted performance measurement can produce misleading information

Digitized

There are no comments for this item.

Log in to your account to post a comment.
Koha 3.18 - INSEAD Library Catalogue
Library Home | Contact Us | What's Koha?