Risk adjusted performance measurement for trading desks within banks.
Date of Issue2002
College of Business (Nanyang Business School)
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.
Final Year Project (FYP)
Nanyang Technological University