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...
| Published in: | Risks |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-06-01
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| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/8/2/63 |