A Raroc Valuation Scheme for Loans and Its Application in Loan Origination
In this article, a risk-adjusted return on capital (RAROC) valuation scheme for loans is derived. The critical assumption throughout the article is that no market information on a borrower’s credit quality like bond or CDS (Credit Default Swap) spreads is available. Therefore, market-based approache...
Αποθηκεύτηκε σε:
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
MDPI AG
2020-06-01
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| Σειρά: | Risks |
| Θέματα: | |
| Διαθέσιμο Online: | https://www.mdpi.com/2227-9091/8/2/63 |
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