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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Bibliographic Details
Main Authors: Bernd Engelmann, Ha Pham
Format: Article
Language:English
Published: MDPI AG 2020-06-01
Series:Risks
Subjects:
Online Access:https://www.mdpi.com/2227-9091/8/2/63