Re: the RAROC equation in the golfarb paper (top of pg 40), does anyone find it odd that the first term (premium + risk margin - expense) is evaluated at the end of the period (hence it earns the invest return %), yet the losses are evaluated at beginning of the period (we're discounting them back to time 0). In this example the capital earns no return (I think).
Doesn't that seem inconsistent?
Doesn't that seem inconsistent?
Is Goldfarb's RAROC equation inconsistent?
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