Risk adjusted performance measurement for trading desks within banks.
This paper gives an overview of the Risk Adjusted Return on Capital (RAROC) and Value-at-Risk (VaR) concepts, used for measuring market risk of portfolios. The concepts incorporate risk management and capital structure decisions, and provide a simple setting within which to address questions relatin...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8290 |
| _version_ | 1811688401704845312 |
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| author | Lee, Doreen. Sim, Winny. Wong, Xiuyi. |
| author2 | Cao, Yong |
| author_facet | Cao, Yong Lee, Doreen. Sim, Winny. Wong, Xiuyi. |
| author_sort | Lee, Doreen. |
| collection | NTU |
| description | This paper gives an overview of the Risk Adjusted Return on Capital (RAROC) and Value-at-Risk (VaR) concepts, used for measuring market risk of portfolios. The concepts incorporate risk management and capital structure decisions, and provide a simple setting within which to address questions relating to capital budgeting and performance measurement. |
| first_indexed | 2024-10-01T05:31:38Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/8290 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T05:31:38Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/82902023-05-19T05:41:34Z Risk adjusted performance measurement for trading desks within banks. Lee, Doreen. Sim, Winny. Wong, Xiuyi. Cao, Yong Nanyang Business School DRNTU::Business::Finance::Risk management This paper gives an overview of the Risk Adjusted Return on Capital (RAROC) and Value-at-Risk (VaR) concepts, used for measuring market risk of portfolios. The concepts incorporate risk management and capital structure decisions, and provide a simple setting within which to address questions relating to capital budgeting and performance measurement. 2008-09-24T07:19:29Z 2008-09-24T07:19:29Z 2002 2002 Final Year Project (FYP) http://hdl.handle.net/10356/8290 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Risk management Lee, Doreen. Sim, Winny. Wong, Xiuyi. Risk adjusted performance measurement for trading desks within banks. |
| title | Risk adjusted performance measurement for trading desks within banks. |
| title_full | Risk adjusted performance measurement for trading desks within banks. |
| title_fullStr | Risk adjusted performance measurement for trading desks within banks. |
| title_full_unstemmed | Risk adjusted performance measurement for trading desks within banks. |
| title_short | Risk adjusted performance measurement for trading desks within banks. |
| title_sort | risk adjusted performance measurement for trading desks within banks |
| topic | DRNTU::Business::Finance::Risk management |
| url | http://hdl.handle.net/10356/8290 |
| work_keys_str_mv | AT leedoreen riskadjustedperformancemeasurementfortradingdeskswithinbanks AT simwinny riskadjustedperformancemeasurementfortradingdeskswithinbanks AT wongxiuyi riskadjustedperformancemeasurementfortradingdeskswithinbanks |