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- W1497348997 abstract "Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial valuation. We use asset pricing theory to determine the appropriate hurdle rate for such a RAROC performance measure. We find that this hurdle rate varies with the skewness of asset returns. Thus the RAROC hurdle rate should differ substantially between equity which has a right skew and debt which has a pronounced left skew and also between different qualities of debt exposure. We discuss implications for financial institution risk management and supervision." @default.
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- W1497348997 date "2009-01-01" @default.
- W1497348997 modified "2023-09-23" @default.
- W1497348997 title "Risk-Adjusted Measures of Value Creation in Financial Institutions" @default.
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- W1497348997 doi "https://doi.org/10.2139/ssrn.1513235" @default.
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