Risk‐Adjusted Measures of Value Creation in Financial Institutions
利用资产定价理论确定RAROC的适当门槛率，发现该门槛率随资产收益偏度变化，权益与债务的偏度差异导致门槛率相差五倍以上，对金融机构风险管理和监管有启示。
Abstract Many financial institutions assess portfolio decisions using RAROC, the ratio of expected return to risk (or ‘economic’) capital. We use asset pricing theory to determine the appropriate hurdle rate, finding that this varies with the skewness of asset returns. We quantify this discrepancy under a range of assumptions showing that the RAROC hurdle rate differs substantially, being higher by a factor of five or more for equity which has a right skew compared to debt which has a pronounced left skew, and also between different qualities of debt exposure. We discuss implications for both financial institution risk management and supervision.