Engelmann, Bernd; Pham Ha - In: Risks : open access journal 8 (2020) 2/63, pp. 1-20
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...