史同學(xué)
2020-11-04 20:17D不懂
所屬:FRM Part I > Foundations of Risk Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Adam助教
2020-11-05 16:46
該回答已被題主采納
同學(xué)你好,
RAROC的計(jì)算公式是
Risk adjusted return on capital (RAROC)=after-tax risk-adjusted expected return(EL is subtracted)/economic capital
當(dāng)分母是economic capital時(shí),分子就應(yīng)該是after-tax risk-adjusted expected return
了解就可以了,后續(xù)在二級(jí)還會(huì)深入學(xué)習(xí)
