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...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2020-06-01
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| coleção: | Risks |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2227-9091/8/2/63 |
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