Risk-adjusted measures of value creation in financial institutions
Many financial institutions assess portfolio decisions using RAROC, the ratio of expected return to risk (or ‘economic’) capital. We use asset pricing theory to determine the appropriate hurdle rate, finding that this varies with the skewness of asset returns. We quantify this discrepancy under a ra...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Default Article |
| Published: |
2012
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/15155 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|