What is RAROC? How does this model use the concept of duration to mea- sure the risk

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What is RAROC? How does this model use the concept of duration to mea- sure the risk exposure of a loan? How is the expected change in the credit risk premium measured? What precisely is ALN in the RAROC equation?

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Financial Institutions Management A Risk Management Approach

ISBN: 9780073530758

7th Edition

Authors: Anthony Saunders, Marcia Cornett

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Question Posted: Jul 24, 2024 07:00 AM

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What is RAROC? How does this model use the concept of duration to mea- sure the risk

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Financial Institutions Management A Risk Management Approach

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