商业银行组合管理(2)--风险报酬的内涵

China's banking industry is heading to measuring their performance by using Risk-adjusted Return on Economic Capital (RAROC) or Econmic Value Added. In defining the RAROC, we need to first focus on the word "Return".中国华尔街博客空间WPS\!a1k\/i4Ch Q

Q*eV/P3hz0"Return" refers to a bank's profit leftover from the revenue after taking away the costs associated with providing the bank services.

In practice, revenue is generally determinable. The costs of banking services, however, can be perceived in different ways. One common way, which we don't agree to, refers only to direct costs. The other view would include both direct and indirect costs. But a more comprehensive view would also have expected losses included, on top of direct and indirect costs.

2gX$w2y$D0F0s7a#u0Therefore, mathmatically,

V-\*vt4G,[_0Risk-adjusted Return=Bank Revenue-(direct costs + indirect costs + expexted losses)

(It is worth mentioning that direct costs include the bank's internal Fund-Transfer-Pricing)中国华尔街博客空间`Q1hc N6b Q