Hey all!
I assume that guys in Asset Management knows something about RAROC. (Risk-adjusted return on capital) Expect return/ VaR
How does your firm implement RAROC ? or allocate VaR in relation with expect returns. What is a good RAROC ratio on a position or a portfolio ?
I would appreciate any insight you guys may have into this.
| +37 | Q&A | Research Associate, Long-Only | (0 years in DCM/IB/consulting) | 14 | 4d |
| +17 | Working for Endowment? | 8 | 3w |
| +14 | Early career insurance AM - should I just thug it out? | 3 | 2w |
| +8 | Bridgepoint Acq Kayne Anderson RE | 2 | 3w |
| +7 | CPP Early Investor Program (Summer 2027) Check | 6 | 2d |
| +6 | MBB to Banking Career | 1 | 3w |
| +6 | Goldman Sachs Operations? | 1 | 3w |
| +3 | Headhunters - Europe | 1 | 20h |
| +3 | ARES - culture, WLB | 1 | 2d |
| +1 | Dodge & Cox perception, reputation in industry the industry? | 4 | 3d |
Career Resources
Get instant access to lessons taught by experienced private equity pros and bulge bracket investment bankers including financial statement modeling, DCF, M&A, LBO, Comps and Excel Modeling.
A lot of the DCM guys use RAROC too. Banks look at RAROC when they lend so anyone doing relationship lending would use it
Should RAROC calculation include capital benefits? (Originally Posted: 01/10/2018)
Hi all!
Quick question on RAROC calculation.
In the real life, do banks include capital benefits in the numerator of RAROC?
If so, they are assuming that the entire operation is being funded with debt (ie without capital). If not, they are assuming that the operation is being funded both with debt and with capital. In the latter, where should one compute the capital gains from the liquidity buffer?
Many thanks
André
Soluta eum earum optio sit. Molestiae quia quis non et enim veniam deleniti.
Debitis rerum sed atque provident. Qui dolor similique est corrupti amet aut. Temporibus autem dolores modi sunt nam ut. Qui asperiores qui quos explicabo autem.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...