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Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution … risk management and supervision …
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An expert analysis of the cutting-edge risk measures banks can use to manage and allocate their capital. … -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1 … Required Capital and the Different Notions of Bank Capital -- 2.4 Summary -- 2.5 Further Reading -- CHAPTER 3: Market Risk -- 3 …
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