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Optimal Capital Allocation Using RAROC(tm) and EVA

Citations

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Cited by:

  1. Magni, Carlo Alberto, 2009. "Splitting up value: A critical review of residual income theories," European Journal of Operational Research, Elsevier, vol. 198(1), pages 1-22, October.
  2. Roberto Ghiselli Ricci & Carlo Alberto Magni, 2014. "Axiomatization of residual income and generation of financial securities," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1257-1271, July.
  3. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
  4. García, Diego, 2014. "Optimal contracts with privately informed agents and active principals," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 695-709.
  5. Florian El Mouaaouy & Jan Riepe, 2018. "Benford and the Internal Capital Market: A Useful Indicator of Managerial Engagement," German Economic Review, Verein für Socialpolitik, vol. 19(3), pages 309-329, August.
  6. Socol Adela, 2008. "Capital Adequacy In The Romanian Banking System," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(10), pages 1-42.
  7. Mencía, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
  8. Shelagh Heffernan & Xiaoqing Fu, 2010. "Determinants of financial performance in Chinese banking," Applied Financial Economics, Taylor & Francis Journals, vol. 20(20), pages 1585-1600.
  9. Bernd Engelmann & Ha Pham, 2020. "Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL," Risks, MDPI, vol. 8(3), pages 1-21, September.
  10. Björn Häckel, 2010. "Risikoadjustierte Wertbeiträge zur ex ante Entscheidungsunterstützung: Ein axiomatischer Ansatz," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 81-108, June.
  11. Homburg, Carsten & Scherpereel, Peter, 2008. "How should the cost of joint risk capital be allocated for performance measurement?," European Journal of Operational Research, Elsevier, vol. 187(1), pages 208-227, May.
  12. Carsten Homburg & Marliese Uhrig-Homburg, 2004. "Zentrales und dezentrales Risikocontrolling in Industrieunternehmen," Schmalenbach Journal of Business Research, Springer, vol. 56(4), pages 311-332, June.
  13. Konstantinos J. Liapis, 2010. "The Residual Value Models: A Framework for Business Administration," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 83-102.
  14. Baule, Rainer, 2014. "Allocation of risk capital on an internal market," European Journal of Operational Research, Elsevier, vol. 234(1), pages 186-196.
  15. Roper, Andrew H. & Ruckes, Martin E., 2012. "Intertemporal capital budgeting," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2543-2551.
  16. Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers 02-34, Bank of Canada.
  17. Kulpmann, Mathias, 2000. "Incentives in an international bank," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 481-493, December.
  18. Daniel Bauer & George Zanjani, 2016. "The Marginal Cost of Risk, Risk Measures, and Capital Allocation," Management Science, INFORMS, vol. 62(5), pages 1431-1457, May.
  19. George Zanjani, 2010. "An Economic Approach to Capital Allocation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 523-549, September.
  20. Nicole Bastian Johnson & Thomas Pfeiffer & Georg Schneider, 2017. "Two-stage capital budgeting, capital charge rates, and resource constraints," Review of Accounting Studies, Springer, vol. 22(2), pages 933-963, June.
  21. Magni, Carlo Alberto, 2010. "Residual income and value creation: An investigation into the lost-capital paradigm," European Journal of Operational Research, Elsevier, vol. 201(2), pages 505-519, March.
  22. Chris D'Souza & Alexandra Lai, 2006. "The Effects Of Bank Consolidation On Risk Capital Allocation And Market Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(2), pages 271-291, June.
  23. Isil Erel & Stewart C. Myers & James A. Read, 2021. "Risk Capital: Theory and Applications," Journal of Applied Corporate Finance, Morgan Stanley, vol. 33(1), pages 8-21, March.
  24. Victoria Geyfman, 2005. "Risk-adjusted performance measures at bank holding companies with section 20 subsidiaries," Working Papers 05-26, Federal Reserve Bank of Philadelphia.
  25. Cipollini, Andrea & Fiordelisi, Franco, 2012. "Economic value, competition and financial distress in the European banking system," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3101-3109.
  26. Izhar, Hylmun, 2012. "Measuring Operational Risk Exposures in Islamic Banking: A Proposed Measurement Approach," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 45-86.
  27. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
  28. Joël Bessis, 2009. "Risk Management in Banking," Post-Print hal-00494876, HAL.
  29. Veprauskaite, Elena & Sherris, Michael, 2014. "Reinsurance decisions in life insurance: An empirical test of the risk–return criterion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 128-139.
  30. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
  31. Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
  32. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
  33. Wang, Wei & Xu, Huifu & Ma, Tiejun, 2023. "Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation," European Journal of Operational Research, Elsevier, vol. 306(1), pages 322-347.
  34. Bernd Engelmann & Ha Pham, 2020. "A Raroc Valuation Scheme for Loans and Its Application in Loan Origination," Risks, MDPI, vol. 8(2), pages 1-20, June.
  35. Christian Bach, 2011. "Conservatism in Corporate Valuation," CREATES Research Papers 2011-32, Department of Economics and Business Economics, Aarhus University.
  36. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
  37. Kang, Woo-Young & Poshakwale, Sunil, 2019. "A new approach to optimal capital allocation for RORAC maximization in banks," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 153-165.
  38. Gopalakrishnan, Balagopal & Jacob, Joshy & Mohapatra, Sanket, 2021. "Risk-sensitive Basel regulations and firms’ access to credit: Direct and indirect effects," Journal of Banking & Finance, Elsevier, vol. 126(C).
  39. Boot, Arnoud W. A. & Schmeits, Anjolein, 2000. "Market Discipline and Incentive Problems in Conglomerate Firms with Applications to Banking," Journal of Financial Intermediation, Elsevier, vol. 9(3), pages 240-273, July.
  40. Naik, Narayan Y. & Yadav, Pradeep K., 2003. "Do dealer firms manage inventory on a stock-by-stock or a portfolio basis?," Journal of Financial Economics, Elsevier, vol. 69(2), pages 325-353, August.
  41. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
  42. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
  43. Mierzejewski, Fernando, 2006. "Economic capital allocation under liquidity constraints," MPRA Paper 2414, University Library of Munich, Germany.
  44. Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri, 2018. "Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming," Computational Management Science, Springer, vol. 15(3), pages 599-632, October.
  45. El Mouaaouy Florian & Riepe Jan, 2018. "Benford and the Internal Capital Market: A Useful Indicator of Managerial Engagement," German Economic Review, De Gruyter, vol. 19(3), pages 309-329, August.
  46. Liu, Yangyang & Jiang, Chuanwen & Shen, Jingshuang & Hu, Jiakai & Luo, Yifan, 2015. "Coordination of hydro units with wind power generation based on RAROC," Renewable Energy, Elsevier, vol. 80(C), pages 783-792.
  47. Pegaret Pichler, 2004. "Optimal Contracts for Teams of Money Managers," Econometric Society 2004 North American Winter Meetings 495, Econometric Society.
  48. Erel, Isil & Myers, Stewart C. & Read, James A., 2015. "A theory of risk capital," Journal of Financial Economics, Elsevier, vol. 118(3), pages 620-635.
  49. Schosser, Josef, 2019. "Consistency between principal and agent with differing time horizons: Computing incentives under risk," European Journal of Operational Research, Elsevier, vol. 277(3), pages 1113-1123.
  50. Trenca Ioan & Zoicas-Ienciu Adrian, 2010. "The Correlation Between The Market Risk And The Liquidity Risk In The Romanian Banking Sector," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 437-442, July.
  51. Ishikawa, Tatsuya & Yamai, Yasuhiro & Ieda, Akira, 2003. "On the Risk Capital Framework of Financial Institutions," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(3), pages 83-105, October.
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