What is RAROC? How does this model use the concept of duration to measure the risk exposure

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What is RAROC? How does this model use the concept of duration to measure the risk exposure of a loan? How is the expected change in the credit risk premium measured? What precisely is (LN in the RAROC equation?

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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Question Posted: Dec 17, 2015 04:51 AM

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What is RAROC? How does this model use the concept of duration to measure the risk exposure

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RAROC is a measure of expected loan net income in the form of interest plus fees less c...View the full answer

Financial Institutions Management A Risk Management Approach

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